IEF Options History — July 2016

In July 2016, IEF traded between $111.89 and $113.77. ATM implied volatility averaged 6.7%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 0.2% (HV 20d: 6.9%). Max pain ranged from $111.00 to $114.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2016-07-13: Highest Volume — 31,879 contracts
  • 2016-07-05: Largest IV spike — 14.1% change
  • 2016-07-05: Highest IV Rank — 40.4%
  • 2016-07-05: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.68$111.89$113.77$113.15$113.08
Max Pain$113.30$111.00$114.00$111.00$113.00
ATM IV6.7%5.8%7.7%6.8%5.8%
Expected Move1.9%1.7%2.1%1.9%1.7%
HV 20d6.9%4.8%8.0%6.9%5.0%
HV 60d6.0%5.8%6.2%5.8%5.9%
IV Rank28.0%17.9%40.4%29.0%17.9%
IV Percentile63.4%21.0%92.1%71.0%21.0%
Term Structure-0.1%-0.4%0.3%0.3%0.1%
VWIV6.7%4.9%7.2%4.9%5.8%
Skew 25d-0.1%-0.6%0.4%-0.4%0.2%
Skew 10d0.4%-2.3%2.5%-2.3%2.2%
Call IV 25d6.7%5.6%7.5%7.3%5.6%
Put IV 25d6.6%5.7%7.1%6.9%5.8%
Bid-Ask Spread %62.3014.36100.5994.9326.41
Gamma HHI0.300.200.470.450.23
Net GEX-6.0M-70.1M76.2M53.2M2.5M
Net DEX-117.6M-336.3M44.6M-269.5M-125.8M
Net VEX-2.5M-3.0M-2.1M-2.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.472.821.240.95
Total Volume12,189.456,91331,87923,0738,377
Total OI135,227118,773163,149118,773129,682

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$113.15$111.006.8%1.9%6.9%29.0%4.9%-0.4%0.3%53.2M-269.5M-2.4M1.2494.9310,31912,75460,85457,919
2016-07-05$113.76$114.007.7%2.1%7.0%40.4%7.2%-0.4%-0.4%46.9M-324.6M-2.4M0.4748.055,7132,67661,60269,184
2016-07-06$113.71$114.007.3%2.1%7.0%36.1%7.0%-0.6%-0.3%51.3M-336.1M-2.4M0.5164.385,1232,61962,62269,197
2016-07-07$113.63$114.007.7%2.0%7.0%40.0%7.2%-0.3%-0.1%52.0M-318.0M-2.4M0.7149.985,1863,70362,85569,325
2016-07-08$113.77$114.006.9%1.9%7.0%31.1%6.9%-0.2%0.1%58.8M-336.3M-2.4M0.7253.355,1273,71363,01870,570
2016-07-11$113.21$114.007.3%1.8%7.3%36.0%6.5%-0.2%-0.1%76.2M-298.0M-2.4M0.8293.684,7393,88563,05570,071
2016-07-12$112.51$114.007.5%1.9%7.7%37.9%6.8%0.3%-0.0%66.3M-190.7M-2.4M1.7895.009,74717,30663,14670,297
2016-07-13$112.84$114.006.6%1.9%7.7%26.8%6.8%0.0%-0.2%59.1M-191.5M-2.5M2.3492.689,53722,34260,45485,206
2016-07-14$112.39$114.006.4%1.8%7.8%24.5%6.6%0.2%-0.1%-16.0M-67.5M-2.7M2.8282.154,38912,36757,682105,336
2016-07-15$111.91$113.006.4%1.8%8.0%25.3%6.9%0.1%0.1%-53.5M23.2M-3.0M1.5723.645,1608,09657,731105,418
2016-07-18$111.89$113.006.6%1.9%7.9%26.8%7.1%0.1%-0.1%-61.9M44.6M-2.6M1.6225.364,8147,77946,65784,972
2016-07-19$112.20$113.006.4%1.8%7.8%25.1%6.9%-0.2%-0.0%-53.5M19.8M-2.6M1.7514.364,5057,87346,79785,136
2016-07-20$111.95$113.006.4%1.8%7.8%25.0%6.8%0.1%-0.1%-60.7M43.2M-2.6M0.6584.764,5022,91146,81485,388
2016-07-21$112.16$113.006.3%1.8%7.8%24.2%6.8%0.1%0.0%-55.0M26.5M-2.6M0.6730.524,3062,88446,81785,472
2016-07-22$112.10$113.006.0%1.7%7.5%20.5%6.6%0.2%0.2%-58.6M14.9M-2.5M0.6717.634,2842,86546,82085,560
2016-07-25$112.02$113.006.4%1.8%5.7%24.7%6.7%-0.1%-0.2%-63.1M23.4M-2.5M0.5391.624,8152,52846,82985,580
2016-07-26$112.13$113.006.3%1.8%4.8%23.4%6.7%-0.0%0.0%-70.1M19.3M-2.4M0.61100.594,3092,62646,40985,687
2016-07-27$112.57$113.006.5%1.9%5.0%25.8%7.2%-0.6%-0.4%-49.3M-72.6M-2.2M0.6064.544,3092,60446,43785,776
2016-07-28$112.61$113.006.0%1.7%4.8%20.0%6.2%0.4%-0.0%-43.9M-35.3M-2.4M2.0292.394,3058,69246,44285,723
2016-07-29$113.08$113.005.8%1.7%5.0%17.9%5.8%0.2%0.1%2.5M-125.8M-2.1M0.9526.414,3054,07246,44783,235