IEF Options History — October 2015 In October 2015, IEF traded between $106.82 and $108.48. ATM implied volatility averaged 6.1%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.4% (HV 20d: 5.7%). Max pain ranged from $108.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.68.
Notable Days 2015-10-26 : Highest Volume — 40,830 contracts2015-10-12 : Largest IV spike — 12.9% change2015-10-28 : Highest IV Rank — 34.8%2015-10-01 : Largest Expected Move — 1.9%Monthly Statistics Metric Avg Min Max Open Close Price $107.76 $106.82 $108.48 $107.90 $106.99 Max Pain $113.45 $108.00 $120.00 $108.00 $120.00 ATM IV 6.1% 5.6% 6.8% 6.8% 6.1% Expected Move 1.8% 1.6% 1.9% 1.9% 1.8% HV 20d 5.7% 4.6% 6.8% 6.4% 5.2% HV 60d 5.7% 5.7% 6.0% 6.0% 5.8% IV Rank 24.4% 11.9% 34.8% 33.8% 27.7% IV Percentile 26.4% 7.9% 52.4% 52.4% 28.2% Term Structure 0.3% -0.1% 0.7% 0.0% 0.3% VWIV 6.3% 5.8% 6.8% 6.8% 6.2% Skew 25d 0.2% -0.4% 0.7% 0.5% 0.2% Skew 10d 0.4% -2.0% 3.2% 3.2% 2.1% Call IV 25d 6.2% 5.3% 6.6% 6.5% 6.1% Put IV 25d 6.4% 5.9% 7.0% 7.0% 6.4% Bid-Ask Spread % 97.07 68.79 116.75 116.75 98.15 Gamma HHI 0.26 0.20 0.47 0.21 0.20 Net GEX 68.9M 13.0M 164.9M 53.2M 16.0M Net DEX -270.9M -388.4M -64.4M -323.6M -69.6M Net VEX -1.9M -2.1M -1.7M -2.0M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.68 1.29 5.60 1.61 1.29 Total Volume 25,131.909 729 40,830 11,923 29,922 Total OI 157,605.682 149,865 177,657 151,108 169,594
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-10-01 $107.90 $108.00 6.8% 1.9% 6.4% 33.8% 6.8% 0.5% 0.0% 53.2M -323.6M -2.0M 1.61 116.75 4,566 7,357 89,946 61,162 2015-10-02 $108.29 $108.00 6.2% 1.8% 6.5% 23.6% 6.1% -0.4% 0.3% 75.3M -388.4M -1.9M 1.31 91.13 6,119 7,998 89,977 61,181 2015-10-05 $107.71 $108.00 6.2% 1.8% 6.8% 22.9% 6.4% 0.0% 0.1% 69.8M -324.8M -1.9M 1.60 75.62 280 449 89,906 61,879 2015-10-06 $107.91 $108.00 6.0% 1.9% 6.6% 19.6% 6.6% 0.4% -0.1% 89.9M -332.6M -1.8M 1.42 68.79 5,413 7,711 90,377 62,263 2015-10-07 $107.63 $108.00 5.9% 1.8% 6.7% 17.2% 6.7% -0.2% 0.1% 74.0M -309.3M -1.8M 1.38 99.02 5,446 7,506 90,515 62,273 2015-10-08 $107.38 $108.00 5.6% 1.8% 6.7% 11.9% 6.3% -0.4% 0.5% 75.1M -292.8M -1.8M 1.63 90.88 5,336 8,681 90,514 62,279 2015-10-09 $107.46 $108.00 5.7% 1.7% 6.6% 14.4% 6.0% 0.5% 0.4% 65.4M -280.0M -1.7M 1.62 90.57 5,373 8,710 90,632 63,445 2015-10-12 $107.75 $108.00 6.5% 1.8% 6.6% 28.0% 6.4% 0.2% 0.1% 89.7M -311.5M -1.7M 1.63 92.22 4,647 7,594 90,630 63,478 2015-10-13 $107.92 $108.00 6.3% 1.7% 5.9% 24.7% 6.3% 0.0% 0.4% 100.3M -334.5M -1.7M 3.79 91.63 4,629 17,561 90,642 63,467 2015-10-14 $108.48 $108.00 6.0% 1.7% 6.0% 19.5% 6.7% -0.2% 0.5% 90.7M -374.4M -1.8M 3.13 101.81 5,542 17,342 90,598 73,500 2015-10-15 $108.10 $108.00 6.0% 1.7% 5.7% 18.9% 6.8% 0.2% 0.5% 108.2M -349.5M -1.8M 5.44 101.89 5,475 29,786 91,578 73,543 2015-10-16 $108.01 $108.00 6.0% 1.7% 5.5% 24.5% 6.3% 0.1% 0.5% 164.9M -319.6M -1.9M 4.80 100.29 6,645 31,903 91,601 86,056 2015-10-19 $108.00 $120.00 6.0% 1.7% 5.0% 26.2% 6.3% 0.3% 0.3% 61.3M -263.5M -1.9M 5.60 100.68 5,743 32,157 88,293 61,572 2015-10-20 $107.66 $120.00 6.2% 1.8% 4.8% 30.5% 6.4% 0.2% 0.3% 55.8M -221.6M -1.9M 5.45 95.74 5,736 31,264 88,480 63,328 2015-10-21 $107.96 $120.00 5.9% 1.7% 4.8% 21.5% 6.1% 0.1% 0.6% 59.2M -248.9M -1.9M 3.67 98.46 5,800 21,277 88,477 63,346 2015-10-22 $108.05 $120.00 5.7% 1.6% 4.8% 18.1% 5.8% 0.7% 0.7% 59.9M -262.7M -1.8M 3.67 104.75 5,795 21,245 88,519 63,349 2015-10-23 $107.50 $120.00 6.1% 1.7% 5.1% 26.9% 6.1% 0.3% 0.3% 52.1M -199.9M -1.9M 1.80 99.26 11,809 21,230 88,522 63,351 2015-10-26 $107.75 $120.00 6.1% 1.7% 4.7% 26.6% 6.3% -0.1% 0.4% 61.6M -248.9M -2.0M 2.45 102.70 11,849 28,981 94,581 63,320 2015-10-27 $108.00 $120.00 6.3% 1.8% 4.6% 32.4% 6.3% 0.2% 0.2% 43.5M -259.0M -2.0M 2.44 100.76 11,850 28,966 94,613 71,164 2015-10-28 $107.44 $120.00 6.4% 1.8% 5.0% 34.8% 6.4% 0.7% 0.1% 37.5M -180.3M -2.0M 1.87 116.55 13,046 24,379 94,607 71,163 2015-10-29 $106.82 $120.00 6.3% 1.8% 5.4% 32.9% 6.0% 0.5% 0.3% 13.0M -64.4M -2.1M 1.31 97.88 12,889 16,895 93,879 75,725 2015-10-30 $106.99 $120.00 6.1% 1.8% 5.2% 27.7% 6.2% 0.2% 0.3% 16.0M -69.6M -2.1M 1.29 98.15 13,038 16,884 93,874 75,720
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