IEF Options History — February 2016

In February 2016, IEF traded between $108.70 and $111.41. ATM implied volatility averaged 7.6%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.0% (HV 20d: 5.5%). Max pain ranged from $108.00 to $108.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2016-02-26: Highest Volume — 27,155 contracts
  • 2016-02-08: Largest IV spike — 23.0% change
  • 2016-02-11: Highest IV Rank — 96.5%
  • 2016-02-11: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.28$108.70$111.41$108.70$110.58
Max Pain$108.00$108.00$108.00$108.00$108.00
ATM IV7.6%6.5%9.0%6.5%7.1%
Expected Move2.2%1.9%2.6%1.9%2.0%
HV 20d5.5%4.8%6.2%4.8%6.1%
HV 60d5.7%5.2%6.0%5.3%6.0%
IV Rank62.6%36.6%96.5%36.6%52.6%
IV Percentile79.1%44.8%99.6%44.8%73.4%
Term Structure-0.4%-1.7%0.6%0.1%0.2%
VWIV7.9%6.2%10.4%7.0%7.6%
Skew 25d-0.8%-1.9%-0.3%-0.3%-0.7%
Skew 10d-1.5%-5.7%2.6%0.5%-1.3%
Call IV 25d8.2%7.0%10.2%7.0%7.4%
Put IV 25d7.4%6.5%8.6%6.7%6.8%
Bid-Ask Spread %92.9785.52107.95101.9295.05
Gamma HHI0.300.210.440.210.42
Net GEX36.7M30.4M48.6M30.6M31.0M
Net DEX-370.4M-464.4M-222.7M-222.7M-357.5M
Net VEX-1.5M-2.1M-1.2M-1.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.171.190.170.58
Total Volume17,623.5511,15827,15521,04026,250
Total OI97,753.0574,981113,33274,981113,332

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$108.70$108.006.5%1.9%4.8%36.6%7.0%-0.3%0.1%30.6M-222.7M-1.2M0.17101.9217,9383,10242,53932,442
2016-02-02$109.49$108.006.9%2.0%5.1%46.5%7.2%-0.3%0.2%48.6M-328.5M-1.5M0.1995.8217,9543,43956,65432,488
2016-02-03$109.36$108.007.0%2.0%5.2%48.8%7.4%-0.6%0.6%42.4M-313.1M-1.6M1.1998.1010,44312,37756,68533,305
2016-02-04$109.60$108.007.5%2.1%4.9%61.0%7.3%-1.1%-0.3%40.9M-321.6M-1.5M0.6890.609,1606,26956,70937,325
2016-02-05$109.72$108.007.0%2.2%4.9%48.1%7.3%-0.4%-0.3%36.2M-307.3M-1.6M0.6689.778,8155,79057,23937,742
2016-02-08$110.56$108.008.6%2.4%5.4%85.7%8.3%-0.7%-1.3%37.0M-385.0M-1.5M0.6486.758,8535,70457,27137,967
2016-02-09$110.58$108.008.8%2.5%5.1%91.3%8.6%-1.0%-1.1%36.9M-388.9M-1.5M0.2990.708,8882,55357,32038,242
2016-02-10$110.90$108.007.8%2.2%5.1%67.0%10.4%-0.5%-0.2%30.4M-424.2M-1.2M0.26107.958,8732,28557,34238,370
2016-02-11$111.41$108.009.0%2.6%5.1%96.5%9.2%-1.6%-1.7%30.7M-429.9M-1.4M0.4488.028,9923,95757,33038,395
2016-02-12$110.62$108.008.9%2.5%5.9%93.2%9.4%-1.9%-1.5%37.1M-395.9M-1.5M0.3089.1610,0002,98957,41839,684
2016-02-16$110.28$108.008.3%2.4%5.9%79.3%9.5%-1.5%-1.2%34.9M-357.6M-1.6M0.2885.5210,0422,85158,46439,757
2016-02-17$109.93$108.007.9%2.3%6.0%70.5%9.0%-0.9%-0.0%35.5M-318.3M-1.5M0.2986.2610,3042,97358,43139,791
2016-02-18$110.50$108.007.4%2.1%6.0%58.3%6.9%-0.5%0.3%37.0M-362.1M-1.4M0.2995.4210,2532,97158,72339,880
2016-02-19$110.48$108.007.4%2.1%5.9%59.2%6.8%-1.0%-1.5%40.0M-393.6M-1.4M0.4889.1413,7456,55358,66840,013
2016-02-22$110.42$108.007.0%2.0%5.8%49.4%8.5%-0.9%0.4%38.1M-363.2M-1.8M0.4891.8413,3706,48061,75342,737
2016-02-23$110.57$108.007.4%2.1%5.8%58.8%8.8%-0.9%-0.1%32.8M-422.3M-1.6M0.4996.3613,6996,71161,76842,810
2016-02-24$110.57$108.007.1%2.0%5.8%52.4%6.2%-0.4%-1.0%34.2M-444.1M-1.6M0.4994.7613,6446,67462,07143,284
2016-02-25$110.91$108.007.3%2.1%5.8%56.3%6.4%-1.0%-0.6%35.9M-464.4M-1.5M0.5092.1013,5946,82162,10843,373
2016-02-26$110.39$108.006.6%1.9%6.2%39.4%6.7%-0.7%0.4%44.2M-407.8M-1.8M0.8094.1415,05512,10062,17043,461
2016-02-29$110.58$108.007.1%2.0%6.1%52.6%7.6%-0.7%0.2%31.0M-357.5M-2.1M0.5895.0516,6229,62864,63648,696