IEF Options History — April 2016

In April 2016, IEF traded between $109.04 and $111.07. ATM implied volatility averaged 5.8%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.9% (HV 20d: 4.9%). Max pain ranged from $109.00 to $110.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2016-04-15: Highest Volume — 37,086 contracts
  • 2016-04-07: Largest IV spike — 39.8% change
  • 2016-04-12: Highest IV Rank — 48.1%
  • 2016-04-05: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.17$109.04$111.07$110.13$110.02
Max Pain$109.43$109.00$110.00$109.00$109.00
ATM IV5.8%4.3%6.7%5.2%5.9%
Expected Move1.7%1.5%1.8%1.5%1.7%
HV 20d4.9%4.2%5.3%5.3%4.6%
HV 60d5.6%5.4%5.7%5.7%5.4%
IV Rank28.3%0.0%48.1%7.0%32.9%
IV Percentile16.7%0.0%56.7%1.2%21.0%
Term Structure0.0%-0.6%0.7%0.7%0.1%
VWIV5.9%5.3%6.1%5.3%6.0%
Skew 25d-0.1%-0.7%0.5%-0.5%-0.7%
Skew 10d-0.8%-2.2%1.0%-1.2%-0.7%
Call IV 25d6.0%5.7%6.5%5.7%6.4%
Put IV 25d5.9%5.2%6.4%5.2%5.7%
Bid-Ask Spread %100.1090.33117.34106.0595.56
Gamma HHI0.230.180.310.310.22
Net GEX37.4M-477.4K64.9M44.3M48.7M
Net DEX-369.1M-477.4M-232.9M-387.8M-292.4M
Net VEX-2.4M-2.7M-2.0M-2.1M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.621.002.542.541.93
Total Volume31,079.95220,62137,08624,73820,621
Total OI106,115.23896,699115,128104,153100,073

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$110.13$109.005.2%1.5%5.3%7.0%5.3%-0.5%0.7%44.3M-387.8M-2.1M2.54106.056,98017,75865,55738,596
2016-04-04$110.28$109.005.2%1.7%5.2%7.7%6.1%-0.2%-0.2%28.6M-361.0M-2.0M1.99107.3812,01323,86465,59138,684
2016-04-05$110.72$109.006.0%1.8%5.2%25.8%5.9%-0.4%-0.1%29.9M-448.9M-2.5M1.8892.8611,99322,55370,63343,712
2016-04-06$110.47$109.004.3%1.7%5.0%0.0%5.7%-0.2%0.0%30.0M-393.4M-2.7M1.88103.0811,99322,57370,65443,945
2016-04-07$111.07$109.006.0%1.7%5.0%35.5%5.9%-0.2%0.1%16.4M-477.4M-2.3M1.9593.7612,03723,49770,65444,030
2016-04-08$110.85$109.005.5%1.7%4.9%24.6%5.9%-0.2%-0.1%12.9M-464.9M-2.4M1.9690.3311,98623,53470,63144,149
2016-04-11$110.82$110.006.6%1.7%4.7%46.1%5.9%0.3%0.0%21.2M-453.5M-2.2M1.9695.4211,99523,53570,64944,170
2016-04-12$110.39$110.006.7%1.7%5.0%48.1%6.0%-0.0%0.0%20.1M-458.8M-2.2M1.8797.2112,03622,55570,68344,171
2016-04-13$110.48$110.005.6%1.6%4.9%27.3%5.7%-0.2%0.0%-477.4K-473.1M-2.1M1.88109.0012,02422,56470,78144,191
2016-04-14$110.26$110.005.9%1.7%4.9%31.6%5.8%-0.1%-0.1%5.8M-427.1M-2.4M1.87115.9412,04222,53470,78744,212
2016-04-15$110.55$110.005.8%1.7%4.9%29.8%5.8%-0.0%-0.1%35.7M-434.3M-2.4M1.55101.1914,54122,54570,81044,318
2016-04-18$110.43$110.005.9%1.7%4.9%32.6%5.9%-0.1%-0.6%56.9M-366.6M-2.4M1.1993.1914,54517,24765,53331,166
2016-04-19$110.23$110.005.8%1.7%4.8%31.3%5.8%-0.1%-0.3%51.7M-390.0M-2.2M1.1993.5315,24218,10365,62031,167
2016-04-20$109.78$110.005.8%1.6%5.0%29.5%5.8%0.2%0.3%49.0M-269.0M-2.7M1.4296.8212,73618,13766,42832,092
2016-04-21$109.55$110.005.7%1.6%4.8%29.3%5.9%0.5%0.1%54.6M-276.4M-2.6M1.3997.4012,97118,04866,45332,140
2016-04-22$109.43$109.005.8%1.7%4.8%30.7%5.8%-0.1%0.5%48.5M-232.9M-2.7M1.0090.3813,05713,01966,71532,137
2016-04-25$109.34$109.005.9%1.7%4.8%31.8%5.8%0.3%0.2%64.9M-311.6M-2.4M1.0099.6213,03213,03866,76632,194
2016-04-26$109.04$109.005.9%1.7%4.2%33.1%6.0%0.0%-0.5%64.5M-265.1M-2.3M1.0199.5912,98813,14766,78132,264
2016-04-27$109.68$109.005.7%1.6%4.7%29.2%6.1%0.1%0.1%52.8M-261.7M-2.6M1.05117.3412,94013,59466,86932,455
2016-04-28$110.04$109.005.8%1.7%4.7%29.8%5.9%-0.1%0.2%49.8M-304.8M-2.7M1.42106.369,54613,51666,87433,085
2016-04-29$110.02$109.005.9%1.7%4.6%32.9%6.0%-0.7%0.1%48.7M-292.4M-2.6M1.9395.567,04813,57366,97333,100