IEF Options History — July 2014

In July 2014, IEF traded between $102.42 and $103.98. ATM implied volatility averaged 4.8%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.3% (HV 20d: 4.6%). Max pain ranged from $102.00 to $107.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 13.52.

Notable Days

  • 2014-07-30: Highest Volume — 1,865 contracts
  • 2014-07-03: Largest IV drop — 18.0% change
  • 2014-07-29: Highest IV Rank — 37.5%
  • 2014-07-15: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.40$102.42$103.98$103.05$103.16
Max Pain$103.10$102.00$107.00$107.00$102.00
ATM IV4.8%4.0%5.3%4.9%4.9%
Expected Move1.8%1.5%1.9%1.9%1.7%
HV 20d4.6%4.2%5.0%4.2%4.7%
HV 60d4.3%4.1%4.6%4.1%4.6%
IV Rank31.5%20.1%37.5%32.6%32.3%
IV Percentile14.1%2.0%34.5%11.1%13.1%
Term Structure0.3%-0.1%1.3%0.1%0.6%
VWIV6.0%4.4%6.7%6.7%6.7%
Skew 25d0.2%-0.4%0.9%0.4%0.1%
Skew 10d0.1%-1.8%1.9%-0.2%0.3%
Call IV 25d4.7%3.9%5.4%4.5%5.0%
Put IV 25d4.9%4.1%5.3%4.8%5.0%
Bid-Ask Spread %36.2919.9956.8421.7653.25
Gamma HHI0.450.410.480.430.45
Net GEX111.0M64.3M139.6M91.9M93.9M
Net DEX-182.2M-264.8M-69.3M-157.7M-117.3M
Net VEX-1.3M-1.5M-1.0M-1.4M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.520.1397.600.620.95
Total Volume412.955221,86523384
Total OI114,983.545113,456117,063113,456117,063

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$103.05$107.004.9%1.9%4.2%32.6%0.0%0.4%0.1%91.9M-157.7M-1.4M0.6221.761448998,64814,808
2014-07-02$102.63$107.005.0%1.8%4.5%33.2%6.7%0.8%0.1%76.7M-113.1M-1.2M2.4125.584281,03098,73314,880
2014-07-03$102.42$104.004.1%1.9%4.5%21.2%0.0%-0.3%1.3%64.3M-69.3M-1.1M18.5525.091120499,00615,355
2014-07-07$102.67$104.004.0%1.5%4.6%20.1%5.0%0.5%0.2%76.4M-97.9M-1.1M0.1334.2470999,01715,374
2014-07-08$103.14$103.004.5%1.8%4.8%26.7%0.0%0.1%0.2%99.0M-162.9M-1.3M13.6724.854561599,08615,383
2014-07-09$103.16$103.004.3%1.8%4.8%24.5%0.0%0.7%0.1%99.6M-160.3M-1.3M97.6023.88548899,08115,779
2014-07-10$103.38$103.005.0%1.9%4.8%34.1%0.0%0.2%0.1%109.1M-185.4M-1.3M22.5827.601227199,08115,795
2014-07-11$103.55$103.004.9%1.8%4.6%32.0%0.0%0.4%0.3%117.3M-199.4M-1.4M0.0025.59024699,08115,861
2014-07-14$103.32$103.005.0%1.8%4.7%34.1%0.0%0.3%0.3%106.9M-179.1M-1.3M0.9123.24222099,08116,106
2014-07-15$103.23$103.004.9%1.9%4.7%32.3%0.0%0.5%0.4%104.4M-171.4M-1.3M0.0022.28013499,08316,111
2014-07-16$103.38$103.005.0%1.8%4.4%33.3%0.0%0.9%-0.1%111.3M-177.7M-1.3M1.2021.17101299,08316,231
2014-07-17$103.98$103.005.0%1.8%4.5%33.2%6.5%0.3%-0.0%139.6M-264.8M-1.5M9.4119.991191,12099,05416,098
2014-07-18$103.77$103.004.9%1.8%4.4%32.2%4.4%-0.1%0.5%127.7M-225.9M-1.4M24.3921.632356198,85516,658
2014-07-21$103.80$0.004.8%1.7%4.4%30.9%6.2%0.0%0.5%129.5M-237.9M-1.4M10.1455.232828498,34216,290
2014-07-22$103.93$102.004.9%1.7%4.4%32.8%0.0%0.1%0.1%136.9M-252.0M-1.3M0.7251.35181398,37016,564
2014-07-23$103.92$102.005.0%1.7%4.2%33.2%0.0%-0.3%0.2%131.9M-246.3M-1.3M4.4753.517232298,38416,487
2014-07-24$103.50$102.004.9%1.7%4.5%32.4%6.3%0.4%0.3%117.1M-183.1M-1.2M3.3856.467425098,37716,740
2014-07-25$103.90$102.005.1%1.7%4.6%34.6%0.0%-0.4%0.2%137.2M-235.3M-1.2M20.6752.0936298,37216,964
2014-07-28$103.78$102.005.2%1.7%4.6%36.9%6.2%0.3%0.2%129.3M-210.2M-1.3M0.0052.03018398,37416,989
2014-07-29$103.92$102.005.3%1.7%4.6%37.5%0.0%-0.4%0.0%136.2M-229.2M-1.3M14.4450.65913098,37417,057
2014-07-30$103.19$102.004.9%1.7%5.0%32.9%6.7%-0.1%0.4%105.5M-133.3M-1.1M10.7356.841591,70698,37617,187
2014-07-31$103.16$102.004.9%1.7%4.7%32.3%0.0%0.1%0.6%93.9M-117.3M-1.0M0.9553.25434198,45318,610