IEF Options History — June 2016

In June 2016, IEF traded between $109.53 and $113.18. ATM implied volatility averaged 7.0%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.2% (HV 20d: 5.8%). Max pain ranged from $109.00 to $111.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.11.

Notable Days

  • 2016-06-17: Highest Volume — 33,887 contracts
  • 2016-06-15: Largest IV spike — 79.7% change
  • 2016-06-15: Highest IV Rank — 100.0%
  • 2016-06-15: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.48$109.53$113.18$109.53$112.96
Max Pain$110.73$109.00$111.00$109.00$111.00
ATM IV7.0%5.2%12.7%5.6%7.0%
Expected Move2.0%1.6%3.6%1.6%2.0%
HV 20d5.8%4.2%7.5%4.8%7.5%
HV 60d5.2%4.9%5.9%5.0%5.9%
IV Rank38.6%17.9%100.0%28.1%32.6%
IV Percentile60.0%1.2%100.0%10.3%80.2%
Term Structure-0.3%-1.6%0.4%0.4%-0.5%
VWIV6.7%5.8%8.2%6.0%6.5%
Skew 25d-1.2%-15.4%0.2%0.0%-1.1%
Skew 10d-2.1%-19.3%2.2%0.4%-1.5%
Call IV 25d7.9%5.8%22.9%5.9%7.5%
Put IV 25d6.7%5.9%7.9%5.9%6.4%
Bid-Ask Spread %91.8648.72117.7594.7548.72
Gamma HHI0.290.190.410.340.35
Net GEX39.9M9.4M60.5M34.8M36.5M
Net DEX-324.9M-470.4M-155.6M-211.5M-387.2M
Net VEX-2.3M-2.8M-1.9M-2.3M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.245.063.521.21
Total Volume13,845.4096,23033,88711,82221,219
Total OI107,257.36490,811126,40390,811126,403

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$109.53$109.005.6%1.6%4.8%28.1%6.0%0.0%0.4%34.8M-211.5M-2.3M3.5294.752,6149,20856,53634,275
2016-06-02$109.87$110.005.6%1.7%4.9%27.1%6.1%0.0%-0.2%41.4M-233.0M-2.3M4.0885.042,2819,29956,67634,389
2016-06-03$110.88$110.005.6%1.7%5.8%26.6%6.1%0.2%0.0%48.3M-331.3M-2.0M2.1187.162,2574,76056,63534,490
2016-06-06$110.62$110.005.2%1.7%5.8%18.8%6.2%0.1%-0.1%50.3M-308.7M-2.2M2.1680.412,2574,86557,05535,508
2016-06-07$110.78$110.005.2%1.7%5.8%17.9%5.8%-0.2%0.3%54.4M-317.3M-2.1M1.4892.476,84410,10857,06535,526
2016-06-08$110.89$111.006.0%1.7%5.8%35.3%5.9%0.1%0.1%51.5M-335.6M-2.0M4.74100.871,9269,13662,07741,960
2016-06-09$111.09$111.005.7%1.6%5.8%29.9%5.9%-0.3%0.3%48.1M-353.7M-2.1M5.06101.101,8059,13162,00442,018
2016-06-10$111.49$111.006.4%1.8%5.9%43.9%6.7%-0.3%-0.0%46.8M-374.8M-2.0M1.2987.232,8323,66462,03342,040
2016-06-13$111.68$111.007.3%2.1%5.8%63.8%7.4%-0.9%-0.9%46.5M-396.9M-1.9M1.2180.724,2065,08962,87142,131
2016-06-14$111.64$111.007.1%2.0%5.5%58.3%6.6%-0.6%0.1%40.7M-371.6M-2.3M1.1292.434,9735,58564,90743,594
2016-06-15$111.96$111.0012.7%3.6%5.6%100.0%6.8%-15.4%-0.8%39.9M-435.9M-2.2M0.50117.755,1532,59567,81846,660
2016-06-16$112.07$111.007.8%2.2%4.2%41.3%7.1%-0.7%-1.4%37.9M-470.4M-2.1M1.5371.434,9847,60867,98446,773
2016-06-17$111.73$111.007.6%2.2%4.4%38.8%7.4%-0.1%-1.6%40.3M-412.4M-2.3M1.0993.7216,23917,64867,80151,776
2016-06-20$111.25$111.006.9%2.0%4.8%30.5%6.8%-0.7%0.1%17.6M-173.3M-2.8M3.4990.135,00517,48162,77746,868
2016-06-21$111.01$111.006.9%2.0%4.9%30.9%6.5%-0.8%-0.2%15.0M-198.1M-2.7M2.56105.824,90012,55462,80946,829
2016-06-22$111.21$111.007.4%2.1%4.9%36.8%7.0%-1.1%-0.5%20.4M-195.2M-2.4M2.5096.245,01212,55062,83446,859
2016-06-23$110.65$111.006.8%2.0%5.3%29.6%6.8%-0.4%-0.2%9.4M-155.6M-2.7M2.53106.995,00812,69463,01646,872
2016-06-24$112.18$111.007.5%2.2%7.0%38.4%7.8%-1.3%-0.1%38.6M-283.6M-2.6M0.24103.805,0431,18763,03947,091
2016-06-27$113.14$111.008.6%2.5%7.3%51.1%8.2%-0.7%-1.5%50.1M-382.0M-2.2M0.6293.8210,0866,24562,97847,149
2016-06-28$113.18$111.007.9%2.3%7.4%43.1%7.2%-1.4%-0.7%47.7M-440.4M-2.0M1.1693.705,3276,16068,43952,224
2016-06-29$112.73$111.006.5%1.9%7.5%26.4%6.6%-0.3%-0.1%60.5M-380.2M-2.3M2.1896.645,36511,69668,64752,226
2016-06-30$112.96$111.007.0%2.0%7.5%32.6%6.5%-1.1%-0.5%36.5M-387.2M-2.2M1.2148.729,61611,60368,62557,778