IEF Options History — June 2015

In June 2015, IEF traded between $103.81 and $106.28. ATM implied volatility averaged 7.3%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.5% (HV 20d: 7.7%). Max pain ranged from $105.00 to $107.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2015-06-19: Highest Volume — 17,002 contracts
  • 2015-06-29: Largest IV spike — 22.8% change
  • 2015-06-29: Highest IV Rank — 75.8%
  • 2015-06-29: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.88$103.81$106.28$106.28$105.00
Max Pain$105.27$105.00$107.00$107.00$105.00
ATM IV7.3%6.4%8.8%7.2%8.4%
Expected Move2.1%1.8%2.5%2.1%2.4%
HV 20d7.7%7.2%8.7%7.2%8.4%
HV 60d6.6%6.4%7.0%6.6%7.0%
IV Rank51.7%38.4%75.8%50.9%69.7%
IV Percentile80.1%59.9%99.2%84.1%98.0%
Term Structure0.0%-1.3%0.7%-0.5%-1.1%
VWIV7.3%6.5%9.3%7.7%8.2%
Skew 25d0.3%-0.8%1.0%0.1%-0.8%
Skew 10d0.4%-1.6%2.0%-0.3%-1.6%
Call IV 25d7.2%6.6%9.3%7.3%8.9%
Put IV 25d7.5%6.7%9.2%7.3%8.1%
Bid-Ask Spread %78.6216.4897.8168.3880.90
Gamma HHI0.220.180.390.200.23
Net GEX25.0M-38.4M74.6M74.6M46.7M
Net DEX-33.8M-169.3M86.2M-169.3M-96.4M
Net VEX-1.6M-2.0M-1.3M-2.0M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.192.350.202.35
Total Volume11,593.7271,34117,00215,11216,090
Total OI160,361.591142,145171,912159,770155,454

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$106.28$107.007.2%2.1%7.2%50.9%7.7%0.1%-0.5%74.6M-169.3M-2.0M0.2068.3812,6392,473127,02332,747
2015-06-02$105.54$107.007.3%2.1%7.5%52.9%7.7%0.2%-0.4%48.6M-75.3M-1.8M0.1916.481,127214129,03833,346
2015-06-03$104.65$107.007.7%2.2%8.0%58.0%7.6%1.0%-0.4%23.6M10.3M-1.6M0.2987.137,0862,042128,79833,551
2015-06-04$105.14$105.008.1%2.1%8.1%63.8%7.3%0.7%0.1%39.3M-48.3M-1.8M0.3273.956,7022,160130,04733,441
2015-06-05$104.42$105.007.4%2.0%8.3%53.7%7.0%0.5%0.4%14.9M38.6M-1.5M0.3470.276,2572,142130,50933,869
2015-06-08$104.57$105.007.5%2.0%8.1%54.6%7.0%0.4%0.5%13.3M27.0M-1.5M0.3572.076,0582,136130,95433,930
2015-06-09$104.23$105.007.8%2.0%7.5%60.6%7.2%0.8%0.3%8.9M47.9M-1.4M0.3589.076,2842,224130,97333,934
2015-06-10$103.81$105.007.3%2.1%7.6%51.7%7.4%0.6%0.1%4.4M86.2M-1.3M0.9988.026,1506,112130,97634,002
2015-06-11$104.58$105.006.7%1.9%8.1%42.9%6.9%0.7%0.5%1.7M48.4M-1.4M0.8790.686,2845,482131,23735,149
2015-06-12$104.54$105.006.9%2.0%8.0%46.3%7.0%0.3%0.3%2.7M31.5M-1.5M0.5591.429,2195,066131,49935,874
2015-06-15$104.83$105.007.0%2.0%7.6%48.1%7.2%0.4%0.3%10.9M-10.5M-1.6M0.5392.247,9954,211134,28735,425
2015-06-16$105.20$105.006.9%2.0%7.4%46.5%7.1%0.3%0.3%15.9M-53.4M-1.7M0.4892.897,7173,696134,50436,381
2015-06-17$105.32$105.006.4%1.8%7.3%38.4%6.5%0.0%0.6%6.4M-49.1M-1.6M0.5293.407,9884,125134,48636,451
2015-06-18$105.17$105.006.4%1.8%7.3%38.5%6.7%0.1%0.7%-38.4M-30.1M-1.5M0.4629.898,0033,691134,66336,690
2015-06-19$105.76$105.006.7%1.9%7.3%43.0%6.9%-0.1%0.6%34.0M-96.9M-1.7M0.3189.2912,9574,045134,80037,112
2015-06-22$104.96$105.006.9%2.0%7.7%45.3%7.4%0.3%-0.0%44.7M-80.9M-1.5M0.2991.929,5372,797118,49323,652
2015-06-23$104.56$105.006.9%2.0%7.5%45.4%7.0%-0.1%0.0%38.9M-62.0M-1.5M0.7192.704,6183,273118,56223,770
2015-06-24$104.85$105.007.2%2.1%7.6%50.5%7.2%0.1%-0.2%42.7M-74.2M-1.5M0.3957.368,9453,499118,59223,782
2015-06-25$104.58$105.007.2%2.1%7.6%50.0%7.2%0.3%-0.2%39.3M-60.3M-1.5M0.3982.638,8693,500122,83724,473
2015-06-26$104.08$105.007.2%2.1%7.6%50.6%7.7%0.3%-0.2%29.8M-25.3M-1.4M2.2097.814,92510,843122,99624,475
2015-06-29$105.28$105.008.8%2.5%8.7%75.8%9.3%-0.1%-1.3%47.4M-102.4M-1.9M2.1181.195,10410,777123,09232,081
2015-06-30$105.00$105.008.4%2.4%8.4%69.7%8.2%-0.8%-1.1%46.7M-96.4M-1.9M2.3580.904,80111,289123,35932,095