IEF Options History — January 2015

In January 2015, IEF traded between $106.52 and $110.50. ATM implied volatility averaged 7.2%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 0.2% (HV 20d: 7.1%). Max pain ranged from $104.00 to $108.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.69.

Notable Days

  • 2015-01-09: Highest Volume — 5,348 contracts
  • 2015-01-12: Largest IV spike — 15.5% change
  • 2015-01-15: Highest IV Rank — 67.4%
  • 2015-01-15: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.68$106.52$110.50$106.52$110.50
Max Pain$106.80$104.00$108.00$104.00$108.00
ATM IV7.2%6.1%8.1%6.1%7.1%
Expected Move2.1%1.8%2.3%1.8%2.0%
HV 20d7.1%6.6%7.6%7.0%7.6%
HV 60d5.9%5.5%6.4%5.5%6.4%
IV Rank57.5%46.0%67.4%46.0%54.0%
IV Percentile96.3%90.1%99.6%90.1%93.3%
Term Structure0.2%-0.0%0.5%0.1%0.4%
VWIV7.2%6.2%8.1%6.2%7.0%
Skew 25d-0.7%-1.1%-0.2%-0.2%-0.4%
Skew 10d-0.9%-2.7%4.3%1.0%4.3%
Call IV 25d7.8%6.2%8.4%6.2%7.5%
Put IV 25d7.0%6.0%7.7%6.0%7.1%
Bid-Ask Spread %76.2168.0387.7287.7281.01
Gamma HHI0.440.210.610.520.54
Net GEX-1.6M-11.9M7.2M-11.9M-5.5M
Net DEX-20.6M-46.5M809.5K-9.0M-21.7M
Net VEX-191.8K-244.2K-151.6K-201.0K-244.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.2615.980.811.42
Total Volume3,112.05985,3483,8815,042
Total OI28,334.620,83433,57828,92527,923

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$106.52$104.006.1%1.8%7.0%46.0%6.2%-0.2%0.1%-11.9M-9.0M-201.0K0.8187.722,1391,7425,35423,571
2015-01-05$107.18$104.006.7%1.9%7.2%53.3%6.5%-0.6%0.2%-5.0M-20.4M-171.1K1.6076.723275225,24023,598
2015-01-06$107.90$105.007.4%2.0%7.1%62.2%7.0%-0.9%0.2%1.1M-29.6M-160.2K0.6868.031,6661,1265,46724,088
2015-01-07$107.88$105.007.1%2.1%7.1%58.3%6.9%-0.7%0.3%117.4K-29.0M-177.0K6.0069.8514846,55725,274
2015-01-08$107.43$106.006.3%2.0%7.3%48.7%6.5%-0.6%0.4%-2.6M-24.9M-178.1K0.9575.052,2602,1416,70825,210
2015-01-09$107.93$106.006.4%2.0%7.3%49.1%6.7%-0.9%0.5%1.1M-30.8M-174.8K1.1170.372,5392,8096,72625,424
2015-01-12$108.34$106.007.4%2.1%7.3%61.6%6.3%-0.8%0.2%3.5M-32.4M-178.2K0.9072.692,4752,2236,64426,021
2015-01-13$108.40$106.007.0%2.0%6.9%53.1%7.6%-0.9%0.4%3.8M-32.6M-176.9K0.9376.732,1511,9906,69826,060
2015-01-14$108.89$106.007.4%2.1%6.8%58.9%7.8%-1.1%0.0%7.2M-40.7M-151.6K1.3276.822,2783,0176,69126,079
2015-01-15$109.83$108.008.1%2.3%7.2%67.4%7.6%-0.9%-0.0%3.2M-46.5M-155.5K0.9473.972,3702,2246,51527,063
2015-01-16$109.07$108.007.8%2.2%7.2%63.5%8.1%-0.8%0.0%5.5M-24.1M-161.2K1.2173.132352855,26727,173
2015-01-20$109.32$108.007.9%2.3%6.7%65.7%7.6%-0.7%0.4%-958.1K-15.2M-158.7K15.9877.071632,6044,05816,776
2015-01-21$108.80$108.007.6%2.2%7.1%61.4%7.5%-0.5%0.2%-4.2M-29.6K-231.0K6.6779.93835544,21519,123
2015-01-22$108.58$108.007.5%2.2%7.2%60.0%7.5%-0.4%0.1%-5.1M809.5K-228.6K1.4775.711,4082,0684,41919,404
2015-01-23$109.27$108.007.3%2.1%6.6%56.9%7.7%-0.9%0.0%-4.2M-7.3M-224.6K1.3876.771,5412,1194,66319,293
2015-01-26$108.99$108.007.5%2.1%6.7%59.3%7.3%-1.0%0.1%-3.8M-6.4M-221.3K0.2673.46288764,89619,387
2015-01-27$109.14$108.007.2%2.1%6.7%55.1%7.2%-0.6%0.3%-4.0M-11.4M-214.7K5.9176.17563315,07919,420
2015-01-28$109.99$108.007.5%2.1%7.0%59.1%7.6%-0.9%0.2%-3.6M-18.5M-208.9K2.8680.771,1013,1465,09819,622
2015-01-29$109.61$108.007.3%2.1%7.3%56.9%6.9%-0.3%0.1%-5.7M-12.0M-218.9K1.4982.222,0273,0175,09420,794
2015-01-30$110.50$108.007.1%2.0%7.6%54.0%7.0%-0.4%0.4%-5.5M-21.7M-244.2K1.4281.012,0832,9596,03821,885