IEF Options History — December 2014

In December 2014, IEF traded between $105.10 and $107.18. ATM implied volatility averaged 6.0%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.2% (HV 20d: 5.7%). Max pain ranged from $104.00 to $106.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.21.

Notable Days

  • 2014-12-08: Highest Volume — 8,038 contracts
  • 2014-12-12: Largest IV spike — 17.0% change
  • 2014-12-16: Highest IV Rank — 57.7%
  • 2014-12-16: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.92$105.10$107.18$105.79$105.99
Max Pain$104.81$104.00$106.00$105.00$104.00
ATM IV6.0%5.4%7.1%6.0%5.8%
Expected Move1.8%1.7%2.0%1.8%1.8%
HV 20d5.7%4.1%7.2%4.1%6.8%
HV 60d5.2%4.7%5.7%4.7%5.6%
IV Rank43.8%37.0%57.7%44.7%41.2%
IV Percentile80.9%53.6%98.8%86.9%79.0%
Term Structure0.3%-0.5%0.8%-0.3%0.3%
VWIV6.3%4.8%7.1%6.2%4.8%
Skew 25d-0.4%-1.1%0.0%-0.7%-0.1%
Skew 10d-0.4%-2.5%4.1%-1.2%0.0%
Call IV 25d6.3%5.5%7.7%6.4%5.9%
Put IV 25d5.8%5.2%6.7%5.6%5.7%
Bid-Ask Spread %69.6027.2780.3367.7727.27
Gamma HHI0.480.390.590.450.54
Net GEX-18.7M-24.2M-11.0M-15.1M-17.3M
Net DEX19.3M-13.6M45.1M16.6M7.2M
Net VEX-243.8K-292.4K-207.2K-270.2K-223.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.1219.753.190.22
Total Volume4,428.3183448,0385,027344
Total OI37,095.63627,14843,97438,45228,852

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$105.79$105.006.0%1.8%4.1%44.7%6.2%-0.7%-0.3%-15.1M16.6M-270.2K3.1967.771,2003,8275,42533,027
2014-12-02$105.32$105.006.0%1.8%4.4%44.8%6.5%-0.5%-0.5%-19.4M39.3M-292.4K1.2862.002,9903,8145,84234,305
2014-12-03$105.31$105.005.9%1.7%4.4%43.6%6.2%-0.0%-0.3%-20.1M41.8M-269.9K1.3564.482,7503,7234,77034,137
2014-12-04$105.69$105.005.9%1.8%4.5%42.9%6.1%-0.6%-0.5%-19.5M29.5M-254.0K19.7567.77791,5604,60634,140
2014-12-05$105.10$105.005.4%1.7%4.9%37.0%6.2%-0.3%0.7%-20.8M45.1M-257.0K1.3570.012,7343,6924,86434,016
2014-12-08$105.49$105.005.8%1.7%4.5%42.3%6.2%-0.2%0.7%-21.9M35.2M-255.6K1.5672.453,1394,8994,93734,696
2014-12-09$105.85$105.005.9%1.8%4.4%42.6%6.2%0.0%0.8%-20.0M23.0M-254.8K0.9172.473,1512,8685,01735,679
2014-12-10$106.35$105.006.3%1.8%4.7%48.6%6.3%-0.3%0.6%-16.0M7.7M-238.4K1.1869.112,7563,2575,13535,779
2014-12-11$106.16$105.005.9%1.8%4.7%42.9%6.6%-0.5%0.5%-17.5M14.4M-251.6K1.3470.212,8313,7855,17136,204
2014-12-12$106.96$105.006.9%1.9%5.3%55.4%6.6%-1.1%-0.2%-14.6M-6.7M-214.8K1.3567.133,2914,4395,23137,014
2014-12-15$106.62$105.006.5%1.9%5.5%50.4%6.7%-0.4%0.3%-13.9M-64.5K-234.7K0.8270.533,2752,6965,76737,732
2014-12-16$107.18$105.007.1%2.0%5.7%57.7%7.1%-1.1%-0.1%-11.0M-13.6M-207.2K2.1770.021,2992,8185,76337,848
2014-12-17$106.45$105.006.0%1.9%6.3%44.4%6.6%-0.5%0.5%-15.5M1.5M-222.2K2.2570.591,2562,8325,83537,914
2014-12-18$105.85$105.005.7%1.9%6.6%40.9%6.8%-0.4%0.8%-23.0M21.4M-244.5K2.3970.751,1522,7515,92538,049
2014-12-19$106.21$105.006.0%1.9%6.7%44.4%6.7%-0.5%0.4%-22.5M12.9M-228.7K0.9573.812202095,67638,067
2014-12-22$106.24$0.005.6%1.8%6.7%39.3%6.2%-0.5%0.6%-17.8M17.5M-216.4K2.4077.067131,7113,81023,338
2014-12-23$105.45$106.005.5%1.7%7.2%37.9%6.0%-0.2%0.5%-22.7M38.2M-230.5K1.5477.201,1651,7973,84223,365
2014-12-24$105.25$104.005.5%1.7%7.2%37.9%6.1%-0.4%0.6%-24.2M40.6M-267.8K0.8979.402,1061,8674,21423,458
2014-12-26$105.36$104.005.5%1.7%7.2%38.5%6.1%-0.4%0.4%-21.5M26.5M-254.1K0.8579.832,1841,8675,32723,495
2014-12-29$105.68$104.006.0%1.8%7.1%44.9%6.2%-0.1%0.2%-19.0M16.7M-243.3K0.7480.332,2551,6795,40323,495
2014-12-30$105.87$104.005.7%1.8%7.0%40.5%4.8%-0.5%0.5%-17.6M10.0M-233.0K0.1270.95393495,35723,577
2014-12-31$105.99$104.005.8%1.8%6.8%41.2%0.0%-0.1%0.3%-17.3M7.2M-223.0K0.2227.27282625,27123,581