IEF Options History — October 2014

In October 2014, IEF traded between $103.96 and $106.69. ATM implied volatility averaged 6.3%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.9% (HV 20d: 5.3%). Max pain ranged from $102.00 to $102.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 8.23.

Notable Days

  • 2014-10-15: Highest Volume — 8,649 contracts
  • 2014-10-15: Largest IV spike — 36.6% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.35$103.96$106.69$104.30$105.01
Max Pain$102.00$102.00$102.00$102.00$102.00
ATM IV6.3%4.9%10.4%5.3%5.4%
Expected Move1.9%1.7%2.2%1.7%1.8%
HV 20d5.3%4.6%5.9%4.7%5.5%
HV 60d4.8%4.5%5.1%4.5%4.8%
IV Rank56.4%36.9%100.0%53.7%36.9%
IV Percentile72.2%19.0%100.0%40.1%54.0%
Term Structure0.2%-0.1%0.7%0.4%0.5%
VWIV6.8%6.3%7.9%6.3%6.5%
Skew 25d-0.2%-1.2%1.4%0.0%-0.3%
Skew 10d0.9%-4.5%15.8%1.8%15.2%
Call IV 25d6.4%3.8%9.4%5.7%5.7%
Put IV 25d6.2%5.3%8.2%5.7%5.4%
Bid-Ask Spread %60.3653.1767.6465.4463.77
Gamma HHI0.340.220.490.360.31
Net GEX-10.4M-20.3M7.8M7.8M-20.3M
Net DEX20.2M-23.9M51.7M16.4M50.0M
Net VEX-389.6K-563.1K-324.0K-488.9K-393.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.230.0538.760.055.73
Total Volume3,277.872398,6494,9795,429
Total OI40,004.60937,42143,54740,66641,129

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$104.30$102.005.3%1.7%4.7%53.7%6.3%0.0%0.4%7.8M16.4M-488.9K0.0565.444,73224712,09528,571
2014-10-02$103.99$102.005.3%1.7%4.6%54.8%0.0%0.1%0.5%-7.7M51.7M-563.1K0.0564.961,280669,28528,545
2014-10-03$103.96$102.004.9%1.7%4.6%47.5%6.5%1.4%0.7%-7.0M49.1M-458.5K1.7566.60871528,82528,596
2014-10-06$104.13$102.005.3%1.7%4.6%53.9%6.9%0.5%0.2%-5.0M37.2M-441.8K20.0461.15489628,83228,702
2014-10-07$104.74$102.005.5%1.8%4.9%58.3%6.4%0.3%0.4%-6.2M17.0M-424.1K3.2460.594721,5298,51329,372
2014-10-08$105.13$102.005.0%1.8%4.9%48.3%6.4%0.2%0.1%-9.3M7.9M-382.5K10.5861.963703,9158,22530,201
2014-10-09$104.93$102.005.1%1.8%5.0%50.8%7.2%0.1%0.2%-7.9M8.7M-375.5K12.1062.88809688,17030,401
2014-10-10$105.14$102.005.1%1.8%4.7%51.0%6.6%0.2%0.1%-9.0M2.5M-371.6K13.4662.153284,4168,18531,238
2014-10-13$105.89$102.006.2%1.9%5.1%72.3%6.7%-0.0%0.1%-10.1M-18.2M-324.0K22.1359.88541,1958,26531,855
2014-10-14$105.84$102.007.6%1.9%5.1%99.4%6.9%-0.1%0.3%-8.1M-10.2M-353.2K10.3056.223873,9878,25632,193
2014-10-15$106.69$102.0010.4%2.2%5.4%100.0%7.9%-1.2%0.1%-7.6M-23.9M-334.1K5.3558.901,3617,2888,34133,672
2014-10-16$106.41$102.007.7%2.1%5.6%65.2%7.5%-0.5%-0.1%-11.1M-2.6M-378.4K2.5755.503238297,92535,303
2014-10-17$106.10$102.006.9%2.0%5.8%56.2%6.9%-0.7%0.1%-12.5M260.8K-377.6K1.0053.173063068,10335,444
2014-10-20$106.25$102.006.8%1.9%5.8%53.8%6.9%-0.5%0.0%-12.3M13.9M-336.8K7.8957.751149006,00533,041
2014-10-21$106.10$102.006.7%1.9%5.8%52.6%6.9%-0.5%0.0%-12.3M14.8M-333.8K5.8855.997764,5596,15333,627
2014-10-22$105.92$102.006.6%1.9%5.8%52.1%6.8%-0.4%-0.1%-12.8M19.4M-333.4K5.8256.057844,5616,15433,630
2014-10-23$105.52$102.006.6%1.9%5.9%52.2%6.9%-0.6%0.2%-12.9M34.5M-377.6K7.9755.066114,8706,13533,645
2014-10-24$105.59$102.006.8%2.0%5.8%53.7%7.0%-0.7%0.2%-12.5M32.2M-377.7K6.3354.676984,4216,18533,942
2014-10-27$105.69$102.006.7%2.0%5.7%53.0%0.0%-0.4%0.4%-13.0M31.2M-373.3K38.7660.60176596,20633,989
2014-10-28$105.43$102.006.2%1.9%5.8%46.8%0.0%-0.5%0.4%-14.4M39.9M-382.3K0.3662.384371596,21034,628
2014-10-29$105.09$102.006.0%1.9%5.6%44.5%6.6%-0.3%0.0%-15.6M48.0M-378.4K4.3864.891,0524,6126,61334,666
2014-10-30$105.18$102.005.7%1.8%5.4%40.5%6.7%0.1%0.2%-20.1M45.5M-400.4K3.6367.641,0893,9556,72334,312
2014-10-31$105.01$102.005.4%1.8%5.5%36.9%6.5%-0.3%0.5%-20.3M50.0M-393.2K5.7363.778074,6226,71834,411