IEF Options History — May 2014

In May 2014, IEF traded between $102.41 and $104.19. ATM implied volatility averaged 4.9%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.5% (HV 20d: 3.4%). Max pain ranged from $102.00 to $103.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 45.50.

Notable Days

  • 2014-05-22: Highest Volume — 12,068 contracts
  • 2014-05-15: Largest IV spike — 64.8% change
  • 2014-05-01: Highest IV Rank — 43.1%
  • 2014-05-01: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.21$102.41$104.19$102.41$103.98
Max Pain$102.10$102.00$103.00$102.00$103.00
ATM IV4.9%3.2%5.7%5.7%5.4%
Expected Move1.5%1.4%1.6%1.6%1.5%
HV 20d3.4%3.0%3.9%3.9%3.7%
HV 60d4.8%4.6%4.9%4.9%4.6%
IV Rank32.8%9.7%43.1%43.1%39.2%
IV Percentile15.9%0.4%46.4%46.4%29.4%
Term Structure0.2%-0.3%0.6%-0.2%-0.2%
VWIV5.2%3.0%5.7%5.7%3.0%
Skew 25d0.2%-0.8%0.6%-0.8%-0.1%
Skew 10d2.1%-1.1%19.8%-1.1%19.8%
Call IV 25d5.1%4.3%5.6%5.4%5.6%
Put IV 25d5.3%4.5%5.7%4.5%5.5%
Bid-Ask Spread %60.3231.0193.5893.5889.24
Gamma HHI0.250.220.310.260.29
Net GEX-16.5M-40.9M8.6M-24.7M8.6M
Net DEX5.7M-48.5M48.4M34.7M-21.8M
Net VEX-328.5K-456.7K-206.5K-393.2K-206.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio45.500.09846.9212.141.75
Total Volume1,378.8573212,06855266
Total OI51,298.47646,76057,31346,93154,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$102.41$102.005.7%1.6%3.9%43.1%5.7%-0.8%-0.2%-24.7M34.7M-393.2K12.1493.584251011,19335,738
2014-05-02$102.56$102.004.7%1.4%3.9%30.1%5.0%0.4%0.6%-24.0M26.9M-373.9K1.9891.9517835211,21335,744
2014-05-05$102.50$102.004.9%1.6%3.4%33.0%5.6%0.3%0.3%-27.7M29.7M-378.7K846.9289.671210,16311,35535,868
2014-05-06$102.62$102.005.0%1.5%3.3%33.4%5.5%0.3%0.2%-40.9M48.4M-456.7K0.3887.33321211,36745,946
2014-05-07$102.70$102.004.5%1.5%3.3%27.8%5.4%0.2%0.2%-33.4M36.0M-411.4K2.8043.745014011,37440,839
2014-05-08$102.81$102.004.2%1.4%3.3%23.2%5.1%0.2%0.5%-31.2M29.3M-397.0K4.8041.866028811,42340,794
2014-05-09$102.73$102.004.2%1.4%3.0%22.4%4.9%0.2%0.4%-31.3M32.5M-402.0K1.2239.58182211,47140,927
2014-05-12$102.46$102.004.8%1.4%3.1%30.5%5.4%0.5%0.6%-40.9M47.9M-406.6K6.8088.771501,02011,48140,949
2014-05-13$102.86$102.004.2%1.4%3.3%22.4%5.0%0.1%0.6%-19.0M19.3M-356.2K0.4286.9434014311,56440,898
2014-05-14$103.33$102.003.2%1.5%3.6%9.7%5.3%0.4%0.4%-19.0M5.3M-347.0K8.2536.458771811,85840,986
2014-05-15$103.70$102.005.3%1.5%3.7%37.7%5.5%0.1%0.3%-10.1M-17.8M-256.3K0.4337.5732714211,80538,423
2014-05-16$103.48$102.005.2%1.5%3.1%37.1%5.4%0.1%0.5%-12.4M-5.6M-315.4K1.8844.33407511,88838,465
2014-05-19$103.35$102.005.3%1.5%3.2%38.3%5.5%0.2%0.1%-11.2M-2.2M-310.8K7.0042.6842811,82334,997
2014-05-20$103.65$102.005.3%1.5%3.2%38.4%0.0%0.3%-0.1%-5.9M-18.1M-242.3K2.8243.84113111,82735,018
2014-05-21$103.49$102.005.3%1.5%3.3%38.3%5.3%0.5%-0.2%-11.1M-5.2M-290.4K0.0931.013303011,72735,033
2014-05-22$103.38$102.005.3%1.5%3.3%37.3%5.7%0.3%0.1%-11.4M-2.2M-305.9K0.3340.199,0603,00811,95935,042
2014-05-23$103.59$102.005.0%1.4%3.3%33.2%5.2%0.2%0.2%-3.7M-25.2M-289.7K2.0043.91112218,01038,047
2014-05-27$103.62$102.005.1%1.4%3.2%34.5%0.0%0.4%0.0%-299.7K-30.5M-261.4K0.0034.95020418,01738,062
2014-05-28$104.19$102.005.4%1.5%3.6%39.1%5.4%-0.1%-0.1%4.5M-48.5M-248.0K6.3590.6312680018,01738,266
2014-05-29$104.06$103.005.5%1.6%3.7%40.5%5.4%0.6%-0.3%-769.9K-13.8M-248.6K1.6468.5711518915,04738,759
2014-05-30$103.98$103.005.4%1.5%3.7%39.2%3.0%-0.1%-0.2%8.6M-21.8M-206.5K1.7589.24244215,14138,907