IEF Options History — August 2014

In August 2014, IEF traded between $103.57 and $104.92. ATM implied volatility averaged 5.1%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.7% (HV 20d: 4.4%). Max pain ranged from $102.00 to $104.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 16.57.

Notable Days

  • 2014-08-26: Highest Volume — 10,098 contracts
  • 2014-08-14: Largest IV spike — 38.1% change
  • 2014-08-18: Highest IV Rank — 43.2%
  • 2014-08-15: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.30$103.57$104.92$103.57$104.90
Max Pain$102.95$102.00$104.00$102.00$104.00
ATM IV5.1%3.9%5.7%4.8%5.3%
Expected Move1.7%1.6%1.8%1.6%1.7%
HV 20d4.4%3.3%4.8%4.8%3.3%
HV 60d4.5%4.2%4.7%4.7%4.2%
IV Rank35.3%19.1%43.2%30.7%37.5%
IV Percentile35.2%2.0%68.3%10.3%39.7%
Term Structure0.2%-0.3%0.6%0.3%0.0%
VWIV6.7%5.9%8.1%6.3%5.9%
Skew 25d0.0%-0.3%0.5%0.1%-0.3%
Skew 10d1.7%-0.9%20.5%0.3%20.5%
Call IV 25d5.4%4.3%6.0%4.3%5.6%
Put IV 25d5.5%4.4%5.8%4.4%5.4%
Bid-Ask Spread %55.8648.7560.3854.9060.38
Gamma HHI0.460.440.530.450.53
Net GEX172.6M126.4M272.1M126.4M272.1M
Net DEX-304.0M-434.1M-187.1M-187.1M-395.9M
Net VEX-1.1M-1.3M-891.7K-1.2M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.570.00218.5221.181.18
Total Volume1,032.19510,098754238
Total OI121,344.095117,084133,889117,084133,889

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$103.57$102.004.8%1.6%4.8%30.7%0.0%0.1%0.3%126.4M-187.1M-1.2M21.1854.903472098,47818,606
2014-08-04$103.63$102.004.5%1.7%4.8%27.2%0.0%0.5%0.3%130.7M-200.4M-1.2M4.0056.321498,50419,043
2014-08-05$103.68$102.004.4%1.7%4.5%25.9%0.0%0.3%0.4%133.1M-207.7M-1.2M0.0053.1222098,50519,047
2014-08-06$103.77$102.004.5%1.7%4.5%27.1%0.0%0.3%0.4%138.5M-225.1M-1.2M7.1352.4985798,51519,047
2014-08-07$104.24$102.005.2%1.8%4.7%36.4%6.3%0.3%0.3%152.9M-314.0M-1.2M0.2648.751554198,51619,082
2014-08-08$104.15$102.005.2%1.8%4.7%36.5%7.1%0.2%0.6%150.2M-288.3M-1.3M13.9455.46971,35298,61019,097
2014-08-11$104.10$102.005.1%1.8%4.6%34.8%0.0%0.0%0.4%150.2M-279.8M-1.2M0.5453.0229916198,64920,220
2014-08-12$103.95$102.004.6%1.8%4.7%28.2%6.8%0.2%0.5%148.1M-246.7M-1.2M16.4152.63641,05098,94720,301
2014-08-13$104.29$102.003.9%1.8%4.8%19.1%0.0%0.2%0.5%157.8M-296.5M-1.2M8.3855.218672198,94820,658
2014-08-14$104.50$102.005.4%1.7%4.4%39.2%0.0%-0.1%0.4%172.9M-349.1M-1.2M0.3452.981535298,97320,868
2014-08-15$104.92$102.005.6%1.8%4.5%42.0%6.4%-0.1%0.5%184.1M-434.1M-1.2M3.8054.733021,14998,96520,833
2014-08-18$104.59$104.005.7%1.7%4.7%43.2%8.1%-0.1%0.0%175.3M-363.5M-1.2M12.1955.782631799,03120,778
2014-08-19$104.48$104.005.6%1.7%4.7%42.0%0.0%0.0%-0.3%176.4M-339.1M-1.2M6.7154.674228299,04221,094
2014-08-20$104.17$104.005.6%1.7%4.8%41.6%0.0%-0.1%0.2%165.3M-280.0M-1.1M3.7457.307728899,05821,368
2014-08-21$104.39$104.005.6%1.7%4.6%42.3%6.4%-0.1%-0.0%176.4M-313.4M-1.1M4.0159.6416666599,05321,610
2014-08-22$104.40$104.005.3%1.7%4.4%37.7%0.0%0.1%0.1%183.3M-315.2M-969.0K14.9759.416089899,13722,253
2014-08-25$104.48$104.005.2%1.7%4.4%36.6%0.0%-0.0%-0.0%207.1M-339.3M-957.3K3.6059.604215199,19523,131
2014-08-26$104.46$104.005.2%1.7%4.4%36.4%0.0%-0.0%0.0%206.8M-329.7M-891.7K218.5259.504610,05299,23423,254
2014-08-27$104.75$104.005.2%1.6%3.5%36.0%0.0%-0.2%-0.1%211.6M-318.8M-1.1M6.6959.181610799,01733,292
2014-08-28$104.89$104.005.6%1.7%3.5%41.8%5.9%-0.1%-0.2%206.3M-360.9M-1.2M0.3658.061,22944699,01033,368
2014-08-29$104.90$104.005.3%1.7%3.3%37.5%0.0%-0.3%0.0%272.1M-395.9M-1.0M1.1860.38109129100,15233,737