IEF Options History — September 2015

In September 2015, IEF traded between $105.79 and $107.87. ATM implied volatility averaged 7.1%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.2% (HV 20d: 5.9%). Max pain ranged from $105.00 to $107.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2015-09-09: Highest Volume — 32,663 contracts
  • 2015-09-17: Largest IV drop — 12.9% change
  • 2015-09-01: Highest IV Rank — 52.1%
  • 2015-09-01: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.79$105.79$107.87$106.62$107.87
Max Pain$106.81$105.00$107.00$105.00$107.00
ATM IV7.1%6.3%7.8%7.8%7.1%
Expected Move2.0%1.8%2.2%2.2%2.0%
HV 20d5.9%5.0%6.7%5.8%6.5%
HV 60d6.4%6.0%6.6%6.6%6.0%
IV Rank38.8%24.7%52.1%52.1%39.7%
IV Percentile65.6%37.3%90.1%90.1%65.9%
Term Structure-0.0%-0.8%0.5%-0.8%-0.5%
VWIV7.1%6.5%8.6%8.6%6.9%
Skew 25d0.2%-0.3%0.9%0.9%-0.2%
Skew 10d0.4%-3.4%2.9%0.0%1.6%
Call IV 25d6.9%6.1%7.7%7.5%7.1%
Put IV 25d7.1%6.6%8.4%8.4%6.9%
Bid-Ask Spread %88.2029.47115.52101.5271.14
Gamma HHI0.200.150.440.230.19
Net GEX74.5M15.1M128.3M118.3M47.1M
Net DEX-268.6M-390.3M-141.1M-334.8M-305.1M
Net VEX-2.1M-2.4M-1.9M-2.4M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.428.970.561.66
Total Volume19,691.4765,96032,66321,43812,223
Total OI214,020.19139,258276,179241,819149,157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$106.62$105.007.8%2.2%5.8%52.1%8.6%0.9%-0.8%118.3M-334.8M-2.4M0.56101.5213,7637,675193,42148,398
2015-09-02$106.37$105.007.5%2.1%5.7%46.1%8.5%0.1%-0.2%105.0M-302.1M-2.3M0.55104.4813,8027,651193,44348,292
2015-09-03$106.63$107.007.7%2.0%5.6%50.6%7.1%0.0%0.3%107.4M-314.8M-2.3M0.5196.6213,7726,995193,40448,293
2015-09-04$106.93$107.007.2%1.9%5.5%40.6%6.9%0.2%0.5%128.3M-372.6M-2.3M0.4294.8916,8376,993193,40848,442
2015-09-08$106.50$107.007.4%2.0%5.5%45.3%6.9%0.3%0.3%104.9M-305.1M-2.1M1.0199.383,1123,131195,88248,483
2015-09-09$106.57$107.006.8%2.0%5.0%34.6%7.2%0.5%0.3%98.7M-292.2M-2.1M0.4494.4922,7019,962198,42651,588
2015-09-10$106.26$107.006.7%1.9%5.1%32.8%6.7%0.1%0.5%88.7M-265.8M-2.1M0.55110.3918,0499,970204,41551,613
2015-09-11$106.58$107.006.8%1.9%5.1%33.2%6.9%-0.0%0.3%114.6M-324.6M-2.1M0.4893.4220,6499,992208,40351,623
2015-09-14$106.68$107.006.8%1.9%5.1%33.4%6.7%0.4%0.1%109.9M-345.6M-2.0M0.7592.1616,68512,532208,42451,608
2015-09-15$105.84$107.006.9%2.0%5.8%36.3%6.9%0.3%0.3%83.8M-186.7M-1.9M8.97108.255985,362208,25654,160
2015-09-16$105.79$107.007.2%2.1%5.8%41.7%7.2%0.5%-0.3%68.0M-158.6M-2.0M0.80101.9917,15113,788208,75558,758
2015-09-17$106.65$107.006.3%1.8%6.1%24.7%6.8%0.6%0.4%77.9M-262.0M-2.0M0.58115.5217,0059,886208,88865,146
2015-09-18$107.17$107.006.9%2.0%6.2%35.1%6.5%-0.2%-0.3%125.0M-390.3M-2.0M0.9466.4315,76114,738208,74967,430
2015-09-21$106.59$107.006.5%1.9%6.4%28.9%6.8%0.4%0.0%15.1M-141.1M-2.0M1.58101.466,91910,91384,77054,488
2015-09-22$107.20$107.006.8%1.9%6.7%34.0%6.9%-0.1%-0.2%16.9M-197.0M-2.2M1.3129.476,9179,04084,92259,035
2015-09-23$106.99$107.007.0%2.0%6.3%36.8%6.9%-0.1%-0.2%24.0M-186.5M-2.1M1.0090.286,8416,87588,95759,572
2015-09-24$107.15$107.007.0%2.0%6.1%37.8%7.0%-0.1%-0.0%34.1M-238.2M-2.1M0.9995.486,9486,86489,16059,662
2015-09-25$106.84$107.007.2%2.1%6.2%41.7%7.2%0.2%-0.4%17.4M-169.7M-2.2M1.8771.543,6796,87289,08759,905
2015-09-28$107.44$107.007.4%2.1%6.5%45.3%7.6%-0.3%-0.3%37.3M-259.1M-2.0M1.8468.593,7056,80689,04959,915
2015-09-29$107.82$107.007.3%2.1%6.5%43.3%7.0%0.2%-0.4%41.9M-288.3M-2.1M1.8044.683,7066,65389,10059,937
2015-09-30$107.87$107.007.1%2.0%6.5%39.7%6.9%-0.2%-0.5%47.1M-305.1M-2.0M1.6671.144,5887,63589,11760,040