IEF Options History — April 2014

In April 2014, IEF traded between $100.89 and $102.57. ATM implied volatility averaged 5.2%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.0% (HV 20d: 5.2%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 31.34.

Notable Days

  • 2014-04-11: Highest Volume — 3,508 contracts
  • 2014-04-04: Largest IV drop — 28.8% change
  • 2014-04-03: Highest IV Rank — 44.1%
  • 2014-04-03: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.92$100.89$102.57$101.33$102.31
Max Pain$102.38$101.00$103.00$102.00$102.00
ATM IV5.2%4.1%5.8%5.5%5.5%
Expected Move1.5%1.4%1.7%1.6%1.6%
HV 20d5.2%4.3%6.0%5.7%4.3%
HV 60d5.3%5.0%5.6%5.5%5.0%
IV Rank36.3%21.7%44.1%41.1%40.2%
IV Percentile24.6%1.6%52.0%38.5%31.3%
Term Structure0.1%-0.3%0.5%0.3%-0.3%
VWIV5.4%5.0%5.9%5.5%5.4%
Skew 25d0.3%-0.0%1.0%0.4%0.3%
Skew 10d0.1%-1.5%1.6%1.6%1.0%
Call IV 25d5.3%4.2%5.9%5.2%5.3%
Put IV 25d5.6%5.2%6.0%5.6%5.6%
Bid-Ask Spread %91.3783.95107.8698.2896.64
Gamma HHI0.310.220.430.330.28
Net GEX-20.7M-33.5M-1.0M-26.3M-27.6M
Net DEX53.3M12.5M105.6M77.3M38.6M
Net VEX-436.8K-540.9K-390.0K-477.4K-390.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio31.340.03156.00156.0013.51
Total Volume804.8183,5081571,219
Total OI46,243.57142,48550,86042,85645,904

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$101.33$102.005.5%1.6%5.7%41.1%5.5%0.4%0.3%-26.3M77.3M-477.4K156.0098.28115611,26831,588
2014-04-02$100.89$102.005.4%1.6%5.9%39.5%5.3%0.5%0.4%-33.5M105.6M-540.9K0.4297.941496311,01931,466
2014-04-03$100.96$102.005.8%1.7%5.7%44.1%5.8%0.1%-0.1%-28.6M92.1M-461.6K65.2098.59532611,08331,473
2014-04-04$101.58$101.004.1%1.5%6.0%21.7%5.2%0.4%-0.0%-29.5M61.0M-402.9K0.6787.232,0851,39111,08731,704
2014-04-07$101.82$102.004.4%1.5%6.0%26.0%5.2%0.4%0.5%-20.1M44.3M-398.5K32.8787.70672,20212,35632,516
2014-04-08$101.96$103.004.2%1.5%6.0%22.6%5.3%0.3%0.3%-19.7M43.5M-439.2K8.1088.80108112,39834,600
2014-04-09$101.93$103.004.4%1.4%5.9%25.7%5.0%0.3%0.2%-18.7M46.1M-438.6K13.6883.953446512,40834,646
2014-04-10$102.36$103.005.1%1.5%5.7%34.9%5.2%1.0%0.2%-4.1M22.0M-420.6K0.9687.13938912,44234,930
2014-04-11$102.57$103.004.9%1.4%5.7%32.2%5.3%0.2%0.3%-1.0M12.5M-409.1K1.3586.331,4942,01412,49234,934
2014-04-14$102.41$103.005.5%1.6%5.5%40.0%5.6%0.1%0.2%-5.2M27.3M-453.7K2.0088.18214213,87236,947
2014-04-15$102.53$103.005.6%1.6%5.5%41.9%5.6%0.2%-0.0%-11.4M24.9M-448.4K70.6784.58321213,89336,967
2014-04-16$102.37$103.005.4%1.6%4.3%39.7%5.5%0.2%0.1%-12.5M31.8M-435.4K36.8087.621555213,87436,202
2014-04-17$101.79$103.005.1%1.5%4.8%35.4%5.7%0.3%0.2%-24.0M67.7M-463.3K128.8086.86101,28813,88136,606
2014-04-21$101.77$103.005.5%1.6%4.8%40.8%5.6%-0.0%-0.0%-24.2M67.4M-441.4K1.9691.2210220011,00033,432
2014-04-22$101.73$102.005.3%1.5%4.8%37.3%5.3%0.4%0.1%-25.2M71.1M-438.1K41.4092.59251,03511,02333,550
2014-04-23$101.99$102.005.2%1.5%4.9%36.6%5.3%0.3%0.0%-23.5M56.7M-429.1K1.1792.07829611,04834,554
2014-04-24$101.96$102.005.2%1.5%4.6%36.2%5.1%0.4%0.1%-23.8M58.3M-423.1K80.6291.39131,04811,07034,620
2014-04-25$102.10$102.005.5%1.6%4.6%40.4%5.6%-0.0%-0.2%-25.4M55.3M-441.4K0.60107.865311,08235,647
2014-04-28$101.95$102.005.7%1.6%4.5%43.3%5.9%0.1%0.0%-24.1M59.2M-412.1K1.3290.76445811,08234,650
2014-04-29$102.04$102.005.6%1.6%4.5%42.5%0.0%0.3%-0.3%-25.5M57.6M-408.4K0.0393.04100311,11434,687
2014-04-30$102.31$102.005.5%1.6%4.3%40.2%5.4%0.3%-0.3%-27.6M38.6M-390.0K13.5196.64841,13511,21434,690