IEF Options History — May 2015

In May 2015, IEF traded between $105.54 and $106.95. ATM implied volatility averaged 7.4%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.0% (HV 20d: 6.4%). Max pain ranged from $107.00 to $108.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-05-27: Highest Volume — 22,431 contracts
  • 2015-05-11: Largest IV spike — 30.9% change
  • 2015-05-06: Highest IV Rank — 82.6%
  • 2015-05-12: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.29$105.54$106.95$106.79$106.95
Max Pain$107.05$107.00$108.00$108.00$107.00
ATM IV7.4%6.1%9.2%6.6%6.8%
Expected Move2.0%1.8%2.2%1.9%1.9%
HV 20d6.4%4.8%7.5%5.0%7.2%
HV 60d6.6%6.3%6.8%6.7%6.5%
IV Rank55.4%39.9%82.6%47.2%44.2%
IV Percentile84.5%61.5%99.6%73.4%72.6%
Term Structure-0.2%-0.7%0.3%-0.1%-0.0%
VWIV7.2%6.3%7.6%6.3%7.4%
Skew 25d0.4%-0.3%1.0%0.8%-0.3%
Skew 10d0.9%-0.9%1.9%-0.6%-0.9%
Call IV 25d7.0%6.1%7.6%6.7%7.2%
Put IV 25d7.4%6.8%8.0%7.5%6.9%
Bid-Ask Spread %71.9849.1389.2389.2370.99
Gamma HHI0.260.200.340.340.22
Net GEX60.0M33.0M96.9M55.9M96.9M
Net DEX-117.1M-265.9M19.7M-125.9M-265.9M
Net VEX-2.0M-2.3M-1.6M-2.1M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.092.070.620.58
Total Volume11,584.5554322,43110,98317,707
Total OI147,561.6135,970157,431135,970157,153

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$106.79$108.006.6%1.9%5.0%47.2%6.3%0.8%-0.1%55.9M-125.9M-2.1M0.6289.236,7614,222110,56125,409
2015-05-04$106.56$107.007.1%2.0%4.9%53.6%6.8%0.9%-0.1%50.5M-110.5M-2.0M2.0780.13177366110,44425,870
2015-05-05$106.39$107.008.3%2.0%4.8%70.4%7.2%0.8%-0.1%48.4M-84.5M-1.9M0.5375.487,5493,986110,72526,120
2015-05-06$105.90$107.009.2%2.1%5.0%82.6%7.5%0.4%-0.3%43.4M-53.8M-1.8M0.3873.399,4693,592111,74426,951
2015-05-07$106.29$107.008.7%2.0%5.2%76.3%7.0%0.9%0.0%51.8M-79.6M-1.9M0.4074.777,2162,862114,28327,262
2015-05-08$106.72$107.006.1%1.8%5.4%39.9%6.3%0.8%0.3%58.1M-115.9M-2.0M0.0976.501,356125114,62127,480
2015-05-11$105.67$107.008.0%2.0%6.2%66.0%7.2%0.5%-0.3%45.7M-31.2M-1.7M1.6373.243,3935,541115,53127,512
2015-05-12$105.78$107.008.8%2.2%6.1%76.9%7.5%0.7%-0.7%37.2M-3.1M-1.7M0.9472.1610,91610,285117,40532,472
2015-05-13$105.62$107.007.1%2.0%6.1%54.4%7.4%0.9%-0.3%33.0M19.7M-1.6M0.3774.109,0723,366119,01334,336
2015-05-14$105.99$107.007.0%2.0%6.3%53.0%7.2%1.0%-0.5%41.1M-20.1M-1.8M0.4072.806,6862,685121,64734,346
2015-05-15$106.71$107.006.8%1.9%6.8%43.6%7.0%0.4%0.1%72.2M-115.2M-2.1M0.3274.106,7142,142121,74334,982
2015-05-18$106.01$107.007.2%2.1%7.1%50.1%7.4%-0.2%-0.2%57.1M-130.4M-1.9M0.5776.614,1382,341114,19425,791
2015-05-19$105.54$107.007.2%2.1%7.2%51.3%7.6%-0.1%-0.2%50.7M-101.1M-1.9M1.2154.821,8892,280118,25427,447
2015-05-20$105.80$107.007.2%2.1%7.1%50.8%7.3%-0.0%-0.3%58.4M-111.9M-1.9M0.5377.907,1243,770120,17728,111
2015-05-21$106.39$107.007.1%2.0%7.4%48.7%7.2%0.1%-0.2%72.1M-169.6M-2.0M0.3158.1711,9253,660120,34028,779
2015-05-22$106.24$107.007.1%2.0%7.2%49.1%7.2%-0.0%-0.4%69.0M-162.2M-2.1M0.2682.8811,8853,133125,21628,799
2015-05-26$106.80$107.007.4%2.1%7.5%53.5%7.4%0.4%-0.5%83.9M-223.3M-2.3M0.2152.0513,4272,810125,21729,390
2015-05-27$106.80$107.006.9%2.0%7.3%46.3%7.2%0.4%-0.3%87.2M-225.9M-2.2M0.2749.1317,5964,835125,08729,389
2015-05-28$106.82$107.007.1%2.0%7.2%49.5%7.2%0.1%-0.5%87.7M-231.4M-2.2M0.4981.109,8864,804126,23731,194
2015-05-29$106.95$107.006.8%1.9%7.2%44.2%7.4%-0.3%-0.0%96.9M-265.9M-2.3M0.5870.9911,1836,524126,45930,694