IEF Options History — September 2016

In September 2016, IEF traded between $110.68 and $112.18. ATM implied volatility averaged 5.5%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.2% (HV 20d: 4.3%). Max pain ranged from $111.00 to $113.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.64.

Notable Days

  • 2016-09-12: Highest Volume — 52,840 contracts
  • 2016-09-21: Largest IV drop — 17.0% change
  • 2016-09-13: Highest IV Rank — 28.1%
  • 2016-09-20: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.49$110.68$112.18$111.74$111.81
Max Pain$111.90$111.00$113.00$113.00$112.00
ATM IV5.5%4.9%6.7%5.5%5.0%
Expected Move1.6%1.4%1.8%1.6%1.4%
HV 20d4.3%4.0%4.6%4.6%4.2%
HV 60d5.3%4.5%5.9%5.7%4.6%
IV Rank14.4%6.6%28.1%14.2%7.8%
IV Percentile22.0%0.4%77.0%9.1%2.4%
Term Structure0.3%-0.0%0.6%0.1%0.6%
VWIV5.8%4.3%6.9%6.3%4.3%
Skew 25d0.5%-0.5%1.1%0.6%-0.5%
Skew 10d1.7%-1.0%4.1%1.2%-1.0%
Call IV 25d5.5%4.7%6.2%5.8%5.0%
Put IV 25d5.9%4.5%6.9%6.4%4.5%
Bid-Ask Spread %96.6979.41120.0797.27100.69
Gamma HHI0.300.240.440.280.25
Net GEX-18.6M-75.3M17.9M-28.6M5.3M
Net DEX7.1M-100.6M125.4M30.4M-40.4M
Net VEX-2.2M-2.5M-2.0M-2.4M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.628.143.781.63
Total Volume21,400.23810,63952,84020,52413,249
Total OI124,914.09598,346148,526139,936111,503

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$111.74$113.005.5%1.6%4.6%14.2%6.3%0.6%0.1%-28.6M30.4M-2.4M3.7897.274,29816,22642,40397,533
2016-09-02$111.49$113.005.4%1.6%4.2%13.4%6.1%0.3%0.3%-31.5M31.4M-2.3M3.7695.714,31216,22342,42397,647
2016-09-06$112.00$112.005.1%1.6%4.5%9.0%5.6%0.4%0.5%6.5M-34.6M-2.0M3.7379.414,34316,19242,41297,617
2016-09-07$112.11$112.004.9%1.5%4.3%7.4%5.5%0.4%0.5%12.8M-53.0M-2.0M3.3186.175,11516,92642,42697,616
2016-09-08$111.49$112.005.3%1.6%4.6%11.5%5.5%0.0%0.4%-18.2M25.3M-2.3M3.2483.585,22316,93043,20698,366
2016-09-09$111.03$112.005.9%1.7%4.5%18.3%5.7%0.4%0.0%-44.0M42.5M-2.1M3.0481.055,77417,56243,35198,359
2016-09-12$111.11$112.006.7%1.7%4.2%28.0%6.6%0.9%0.2%-38.9M37.5M-2.0M8.1484.075,78447,05644,04998,822
2016-09-13$110.68$112.006.7%1.8%4.3%28.1%6.3%1.1%-0.0%-75.3M125.4M-2.3M5.79114.545,78033,45144,03998,673
2016-09-14$110.94$112.006.0%1.7%4.4%20.0%6.2%0.8%0.3%-52.6M119.9M-2.5M3.2791.625,84219,13244,065102,206
2016-09-15$110.96$112.005.9%1.7%4.4%18.6%5.5%0.7%0.5%-36.4M124.8M-2.5M2.88100.796,85719,76844,146102,406
2016-09-16$111.08$112.006.0%1.7%4.3%19.8%6.1%0.5%0.3%-30.4M82.5M-2.3M2.7094.157,64520,61445,094103,432
2016-09-19$110.95$112.006.0%1.7%4.2%19.7%6.4%0.7%0.2%-30.4M51.0M-2.5M0.7394.786,1464,49336,50961,837
2016-09-20$111.04$112.006.4%1.8%4.1%24.5%6.9%0.6%-0.0%-25.7M7.1M-2.3M1.1797.386,2127,24236,72861,708
2016-09-21$111.25$112.005.3%1.5%4.2%11.6%6.5%0.4%0.4%-28.0M21.8M-2.5M1.20120.076,2477,47236,74563,821
2016-09-22$111.56$111.005.1%1.5%4.3%8.9%4.3%0.4%0.6%-19.6M-14.7M-2.2M1.10105.386,2276,81936,93064,046
2016-09-23$111.67$111.005.1%1.5%4.3%9.6%5.2%0.1%0.4%-14.5M-28.1M-2.2M0.6296.1913,2198,16236,95464,281
2016-09-26$111.95$111.004.9%1.4%4.2%7.1%5.4%0.6%0.3%9.3M-80.4M-2.1M0.67105.5612,9828,72543,95865,681
2016-09-27$112.13$111.005.0%1.4%4.0%8.2%5.3%0.1%0.6%15.3M-100.4M-2.1M1.52106.996,0659,20443,96366,264
2016-09-28$112.07$112.004.9%1.4%4.0%6.6%5.4%0.6%0.5%17.9M-100.6M-2.1M1.61100.485,0478,15144,01166,975
2016-09-29$112.18$112.005.2%1.5%4.0%10.9%6.0%0.4%0.3%16.0M-98.3M-2.1M1.5194.535,0497,64144,02266,969
2016-09-30$111.81$112.005.0%1.4%4.2%7.8%4.3%-0.5%0.6%5.3M-40.4M-2.4M1.63100.695,0318,21844,10267,401