IEF Options History — September 2014

In September 2014, IEF traded between $102.56 and $104.20. ATM implied volatility averaged 5.7%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.3% (HV 20d: 4.4%). Max pain ranged from $102.00 to $104.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 8.45.

Notable Days

  • 2014-09-10: Highest Volume — 9,359 contracts
  • 2014-09-05: Largest IV drop — 11.4% change
  • 2014-09-15: Highest IV Rank — 72.0%
  • 2014-09-02: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.34$102.56$104.20$104.05$103.62
Max Pain$103.33$102.00$104.00$104.00$102.00
ATM IV5.7%5.1%6.3%6.2%5.5%
Expected Move1.7%1.7%1.7%1.7%1.7%
HV 20d4.4%4.0%4.9%4.5%4.0%
HV 60d4.5%4.4%4.6%4.6%4.4%
IV Rank55.4%40.2%72.0%50.1%57.6%
IV Percentile63.3%26.2%87.3%81.3%56.0%
Term Structure0.0%-0.5%0.2%-0.2%0.2%
VWIV6.2%5.1%6.8%6.2%6.0%
Skew 25d0.1%-0.3%0.7%0.2%0.7%
Skew 10d1.0%-2.6%6.7%-2.6%1.7%
Call IV 25d5.6%4.5%6.5%6.2%4.8%
Put IV 25d5.7%5.0%6.4%6.4%5.5%
Bid-Ask Spread %62.0056.8066.5957.6765.48
Gamma HHI0.470.210.740.500.32
Net GEX73.3M-15.2M191.9M176.7M2.3M
Net DEX7.7M-222.1M120.3M-195.5M50.2M
Net VEX-685.7K-1.1M-461.8K-1.1M-468.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.450.0449.770.4012.24
Total Volume2,3032419,3591,575953
Total OI104,901.33336,661141,659133,64239,885

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$104.05$104.006.2%1.7%4.5%50.1%6.2%0.2%-0.2%176.7M-195.5M-1.1M0.4057.671,12245399,78433,858
2014-09-03$104.20$104.006.1%1.7%4.6%48.2%0.0%0.2%-0.3%191.9M-222.1M-1.1M2.0456.802,4915,076100,64534,199
2014-09-04$103.83$104.006.0%1.7%4.7%48.9%6.0%-0.3%-0.2%175.6M-140.6M-1.1M0.7258.17920660101,98234,266
2014-09-05$103.86$104.005.3%1.7%4.4%40.2%6.7%0.1%0.2%188.9M-129.6M-994.6K1.3960.49147205102,20534,854
2014-09-08$103.75$104.005.8%1.7%4.4%50.5%6.7%0.0%0.1%181.6M-93.5M-917.0K49.7759.23572,837102,29135,059
2014-09-09$103.51$104.006.0%1.7%4.5%53.9%5.9%0.2%-0.2%157.8M-24.0M-907.5K0.2062.391,486298102,34737,794
2014-09-10$103.25$104.006.2%1.7%4.6%59.0%6.3%-0.2%-0.0%132.3M26.7M-832.6K11.7561.987348,625103,59438,065
2014-09-11$103.12$104.005.8%1.7%4.4%52.7%0.0%-0.1%0.2%128.8M4.8M-712.5K0.4561.06379170104,31832,532
2014-09-12$102.73$104.006.0%1.7%4.4%64.6%6.3%0.0%-0.1%70.7M61.0M-624.2K1.5060.466941,039104,61632,657
2014-09-15$102.92$104.006.3%1.7%4.1%72.0%5.8%-0.2%-0.5%83.3M57.4M-580.9K0.7060.151,284897105,01932,608
2014-09-16$102.89$104.006.0%1.7%4.1%66.0%0.0%-0.3%0.1%84.0M56.5M-603.2K0.0460.2029412106,19433,167
2014-09-17$102.63$104.005.8%1.7%4.1%62.7%6.0%0.1%0.1%1.5M110.8M-502.6K1.5963.101,8792,990106,29333,163
2014-09-18$102.56$104.005.3%1.7%4.0%55.4%0.0%0.4%0.2%-15.2M120.3M-463.1K3.1863.994381,394107,50932,404
2014-09-19$102.95$104.005.3%1.7%4.2%53.5%6.2%0.1%0.1%-8.9M100.1M-478.1K0.6263.523,0221,859107,82732,977
2014-09-22$103.17$102.005.3%1.7%4.3%54.8%6.6%0.1%0.1%-1.9M68.1M-484.9K16.2662.46621,00812,00724,654
2014-09-23$103.39$102.005.1%1.7%4.4%49.5%5.1%0.2%0.2%-935.0K59.5M-461.8K1.7764.058715412,05725,503
2014-09-24$103.10$102.005.3%1.7%4.5%54.9%6.7%-0.1%0.1%-6.3M81.4M-558.7K46.9166.59542,53312,07125,556
2014-09-25$103.60$102.005.1%1.7%4.8%51.5%6.2%0.5%0.1%260.8K53.2M-479.5K1.3065.6524732012,07727,641
2014-09-26$103.38$102.005.5%1.7%4.7%58.5%0.0%0.3%0.2%-1.4M60.8M-477.2K11.9164.384553612,14827,454
2014-09-29$103.71$102.005.5%1.7%4.9%58.5%6.8%0.1%0.1%-1.1M56.9M-576.3K12.6764.206683612,16727,481
2014-09-30$103.62$102.005.5%1.7%4.0%57.6%6.0%0.7%0.2%2.3M50.2M-468.1K12.2465.487288112,16727,718