IEF Options History — August 2015

In August 2015, IEF traded between $105.66 and $107.77. ATM implied volatility averaged 6.8%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.1% (HV 20d: 5.7%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2015-08-13: Highest Volume — 71,268 contracts
  • 2015-08-11: Largest IV spike — 10.0% change
  • 2015-08-31: Highest IV Rank — 51.7%
  • 2015-08-31: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.57$105.66$107.77$106.60$106.36
Max Pain$105.14$105.00$106.00$106.00$105.00
ATM IV6.8%5.8%7.8%6.4%7.8%
Expected Move2.0%1.8%2.2%1.8%2.2%
HV 20d5.7%4.8%6.4%5.8%6.0%
HV 60d7.1%6.6%7.4%7.4%6.6%
IV Rank39.4%29.7%51.7%37.8%51.7%
IV Percentile62.2%27.4%89.3%51.2%89.3%
Term Structure0.2%-0.6%0.5%0.5%-0.6%
VWIV7.3%6.2%9.2%6.3%7.5%
Skew 25d-0.2%-0.7%0.2%-0.2%0.1%
Skew 10d-0.4%-2.9%1.6%0.8%-0.2%
Call IV 25d7.1%6.5%8.2%6.6%7.4%
Put IV 25d6.9%6.2%7.7%6.4%7.4%
Bid-Ask Spread %80.6466.04100.9987.1890.81
Gamma HHI0.220.190.280.210.20
Net GEX146.4M106.0M196.6M154.2M106.0M
Net DEX-435.6M-691.3M-300.8M-475.4M-300.8M
Net VEX-2.7M-3.0M-2.3M-3.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.063.053.050.70
Total Volume36,893.52459971,26890023,403
Total OI239,071.667234,490241,729238,567239,812

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$106.60$106.006.4%1.8%5.8%37.8%6.3%-0.2%0.5%154.2M-475.4M-3.0M3.0587.18222678200,95137,616
2015-08-04$106.02$106.006.3%1.8%6.1%36.6%7.1%-0.3%0.5%133.9M-392.7M-2.9M0.1988.2240,3017,799201,21538,068
2015-08-05$105.66$106.006.1%1.8%6.0%34.3%7.6%-0.2%0.5%117.7M-314.0M-2.7M0.1688.9748,5637,690201,36938,086
2015-08-06$106.01$105.006.4%1.9%5.5%38.0%7.0%-0.0%0.2%129.8M-354.1M-2.7M0.1666.0448,5387,684201,37938,126
2015-08-07$106.43$105.005.8%1.8%4.8%29.7%6.5%0.1%0.5%148.7M-416.2M-2.8M0.1667.6248,6097,626201,39038,127
2015-08-10$105.98$105.005.9%1.8%5.1%30.8%7.0%0.0%0.5%129.2M-343.7M-2.5M0.1673.1648,2527,635201,32438,113
2015-08-11$106.69$105.006.5%1.9%5.4%39.8%7.1%-0.0%0.4%159.6M-478.5M-2.8M0.0676.675,838350201,17738,151
2015-08-12$106.66$105.006.9%2.0%5.4%46.6%7.8%-0.3%0.1%159.9M-484.4M-2.8M0.1769.7748,8868,411201,48738,427
2015-08-13$106.37$105.006.7%1.9%5.5%43.5%6.8%-0.2%0.2%145.9M-405.0M-2.7M0.1372.5962,8578,411201,45139,282
2015-08-14$106.23$105.006.6%1.9%5.5%29.7%6.8%-0.1%0.4%138.9M-377.6M-2.5M0.1371.9462,8538,411199,96339,282
2015-08-17$106.46$105.006.7%1.9%5.5%31.6%6.8%0.0%0.2%149.4M-427.3M-2.6M0.2671.2432,5908,366199,96239,282
2015-08-18$106.27$105.006.7%1.9%5.5%31.6%7.1%0.2%0.2%143.0M-382.3M-2.4M0.2674.2032,5988,366199,94339,282
2015-08-19$106.93$105.006.7%1.9%5.8%31.9%6.8%-0.1%0.5%160.3M-489.1M-2.6M1.0873.81288311199,72939,282
2015-08-20$107.22$105.006.8%2.0%5.8%34.6%7.8%-0.2%0.3%175.1M-553.5M-2.7M0.3373.2024,6988,087200,05339,509
2015-08-21$107.57$105.007.2%2.1%5.8%40.6%6.2%-0.4%0.1%187.8M-640.7M-2.9M0.3472.1123,9488,034202,07539,654
2015-08-24$107.77$105.007.8%2.2%5.7%51.6%8.7%-0.5%-0.3%196.6M-691.3M-3.0M0.4993.3313,2796,559195,76838,722
2015-08-25$107.06$105.007.3%2.1%6.2%42.4%9.2%-0.7%0.1%158.4M-485.9M-2.5M0.46100.2613,7446,367195,78438,801
2015-08-26$106.57$105.007.5%2.2%6.4%47.5%7.5%-0.7%-0.2%143.8M-447.9M-2.6M1.23100.9915,34118,941196,06438,829
2015-08-27$106.53$105.007.6%2.2%6.4%49.0%7.7%0.1%-0.3%118.1M-341.8M-2.5M0.5788.4315,3418,787194,28247,126
2015-08-28$106.55$105.007.6%2.2%6.0%48.3%7.7%0.1%-0.1%118.5M-344.7M-2.5M0.5192.9317,3158,787194,28247,280
2015-08-31$106.36$105.007.8%2.2%6.0%51.7%7.5%0.1%-0.6%106.0M-300.8M-2.3M0.7090.8113,7699,634192,53247,280