IEF Options History — March 2015

In March 2015, IEF traded between $105.50 and $108.78. ATM implied volatility averaged 6.9%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded below realized volatility by 0.7% (HV 20d: 7.7%). Max pain ranged from $106.00 to $108.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-03-27: Highest Volume — 90,821 contracts
  • 2015-03-11: Largest IV drop — 8.8% change
  • 2015-03-02: Highest IV Rank — 63.6%
  • 2015-03-02: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.29$105.50$108.78$106.66$108.37
Max Pain$107.32$106.00$108.00$108.00$108.00
ATM IV6.9%6.2%7.8%7.8%6.6%
Expected Move2.0%1.8%2.2%2.2%1.9%
HV 20d7.7%7.1%8.2%7.6%7.3%
HV 60d7.7%7.5%7.8%7.7%7.8%
IV Rank51.5%41.9%63.6%63.6%47.6%
IV Percentile82.6%72.2%97.2%97.2%75.4%
Term Structure0.1%-0.7%0.5%-0.7%0.2%
VWIV7.0%6.0%7.9%7.9%6.7%
Skew 25d-0.2%-0.7%0.2%-0.4%-0.5%
Skew 10d-0.5%-3.0%3.7%-3.0%3.7%
Call IV 25d7.1%6.4%8.0%8.0%7.1%
Put IV 25d6.9%6.4%7.6%7.6%6.5%
Bid-Ask Spread %61.1919.3086.6420.9985.52
Gamma HHI0.430.190.770.190.31
Net GEX21.4M-2.4M89.1M-846.2K89.1M
Net DEX-43.4M-344.4M44.7M24.8M-344.4M
Net VEX-590.6K-2.6M-284.4K-284.4K-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.012.191.230.06
Total Volume12,366.86429390,8218,03049,858
Total OI49,956.68232,415123,84834,242123,848

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$106.66$108.007.8%2.2%7.6%63.6%7.9%-0.4%-0.7%-846.2K24.8M-284.4K1.2320.993,5934,43710,10824,134
2015-03-03$106.47$108.007.4%2.1%7.6%57.9%7.5%-0.2%-0.2%1.1M22.6M-300.9K0.9365.384,2193,90411,90424,049
2015-03-04$106.53$108.007.4%2.1%7.3%58.6%7.3%0.2%-0.3%4.3M16.5M-338.4K1.3885.333,3844,67314,42823,907
2015-03-05$106.56$108.007.3%2.0%7.2%56.3%7.3%-0.4%0.1%4.9M15.5M-347.9K1.3776.053,2994,51715,12524,660
2015-03-06$105.50$108.007.3%2.0%7.8%57.2%7.7%-0.1%0.1%-2.4M44.7M-310.5K1.2669.837,1408,96715,15524,720
2015-03-09$105.98$107.007.4%2.1%7.3%58.3%7.8%-0.6%0.1%-387.3K38.1M-393.2K0.2330.822,34354718,75627,424
2015-03-10$106.43$107.007.6%2.1%7.5%61.3%7.3%-0.4%-0.1%8.9M15.4M-445.2K0.8629.851,8381,57520,83527,724
2015-03-11$106.62$107.007.0%2.0%7.5%51.9%7.2%-0.4%0.1%10.4M10.7M-459.8K1.0682.6664768921,62929,238
2015-03-12$106.72$107.007.0%2.0%7.5%52.4%7.1%-0.1%-0.0%12.3M6.7M-441.0K0.4882.112,9631,40921,41029,004
2015-03-13$106.56$107.007.1%2.0%7.5%53.6%7.2%-0.7%0.3%8.9M13.3M-436.2K0.0619.301,5929621,29429,183
2015-03-16$106.93$106.007.1%2.0%7.6%54.3%7.0%0.0%0.1%15.2M1.2M-422.9K0.1183.685275721,53229,209
2015-03-17$107.15$106.006.9%2.0%7.1%51.2%7.1%-0.0%0.2%18.9M-8.5M-420.6K2.1932.0715133021,55129,183
2015-03-18$108.38$106.006.7%1.9%7.9%48.7%6.7%-0.4%0.3%39.1M-90.9M-403.8K0.0380.929,45027521,51729,218
2015-03-19$107.87$107.006.5%1.9%8.1%45.4%6.5%-0.2%0.4%50.0M-43.9M-417.9K0.0869.389507921,62129,228
2015-03-20$108.31$107.006.2%1.8%8.2%41.9%6.5%-0.3%0.5%31.9M-100.4M-390.7K0.2186.641,20725821,65229,272
2015-03-23$108.45$107.006.3%1.8%8.1%43.5%6.4%-0.1%0.5%19.4M-56.9M-381.1K0.8053.3028723015,67816,745
2015-03-24$108.78$107.006.5%1.9%7.9%45.1%6.4%0.0%0.2%20.1M-66.6M-369.1K0.0624.851,1716915,67516,740
2015-03-25$108.31$108.006.3%1.8%8.0%42.7%6.6%-0.1%0.5%19.8M-55.6M-387.9K0.3060.012266716,02016,760
2015-03-26$107.68$108.006.3%1.8%8.0%43.3%6.0%-0.1%0.4%17.5M-31.5M-399.2K1.1335.092,2522,54716,07916,778
2015-03-27$108.12$108.006.7%1.9%8.1%48.6%6.8%-0.3%0.3%20.3M-45.2M-379.9K0.0185.9689,7041,11715,89816,783
2015-03-30$108.09$108.006.8%1.9%7.3%49.3%6.8%-0.1%0.2%82.5M-321.3M-2.6M0.0786.4046,2853,142105,73317,640
2015-03-31$108.37$108.006.6%1.9%7.3%47.6%6.7%-0.5%0.2%89.1M-344.4M-2.6M0.0685.5246,9442,914105,77018,078