IEF Options History — November 2016

In November 2016, IEF traded between $105.38 and $110.51. ATM implied volatility averaged 7.1%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.6% (HV 20d: 5.5%). Max pain ranged from $109.00 to $111.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 2.42.

Notable Days

  • 2016-11-30: Highest Volume — 37,634 contracts
  • 2016-11-14: Largest IV spike — 15.0% change
  • 2016-11-30: Highest IV Rank — 44.2%
  • 2016-11-30: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.34$105.38$110.51$109.94$105.42
Max Pain$109.86$109.00$111.00$110.00$109.00
ATM IV7.1%5.9%8.0%5.9%8.0%
Expected Move2.0%1.7%2.3%1.7%2.3%
HV 20d5.5%3.1%7.0%3.1%7.0%
HV 60d4.6%3.7%5.1%3.9%5.1%
IV Rank33.5%19.1%44.2%19.1%44.2%
IV Percentile84.2%49.6%97.2%49.6%97.2%
Term Structure-0.5%-0.9%-0.1%-0.1%-0.8%
VWIV7.2%5.7%9.4%6.0%8.8%
Skew 25d0.8%0.1%1.4%0.6%0.5%
Skew 10d1.9%-0.6%5.4%-0.5%2.6%
Call IV 25d6.8%5.8%7.9%6.0%7.9%
Put IV 25d7.6%6.1%8.6%6.6%8.4%
Bid-Ask Spread %60.7817.48117.2595.3428.31
Gamma HHI0.290.180.510.260.18
Net GEX-40.9M-99.7M-15.7M-24.6M-21.2M
Net DEX332.2M-30.4M624.4M65.0M391.2M
Net VEX-2.8M-3.5M-2.5M-3.1M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.666.100.661.14
Total Volume17,074.5249,23737,63412,31837,634
Total OI126,260.238111,515155,693116,323155,693

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$109.94$110.005.9%1.7%3.1%19.1%6.0%0.6%-0.1%-24.6M65.0M-3.1M0.6695.347,4274,89150,65865,665
2016-11-02$110.23$110.006.1%1.8%3.2%21.7%6.2%0.5%-0.1%-23.6M59.1M-3.2M1.11117.254,3834,85450,82565,851
2016-11-03$110.18$111.006.1%1.7%3.1%21.6%5.7%0.4%-0.3%-24.6M62.7M-3.2M1.0285.684,7814,85750,81465,820
2016-11-04$110.51$110.006.5%1.7%3.3%25.5%5.8%0.1%-0.3%-15.7M-30.4M-3.0M1.0780.424,7815,09851,18965,829
2016-11-07$110.08$110.006.5%1.7%3.4%26.5%5.9%0.3%-0.3%-21.3M13.0M-2.9M1.0589.324,6814,91651,19466,060
2016-11-08$109.65$110.006.8%1.7%3.6%30.0%5.7%0.1%-0.2%-32.4M107.3M-3.2M2.3395.414,2839,96751,20466,117
2016-11-09$108.03$110.006.5%1.9%6.3%26.4%6.1%1.1%-0.3%-47.2M329.5M-3.0M1.5696.994,3486,76951,46771,177
2016-11-10$107.43$110.006.9%2.0%6.3%30.6%5.8%1.4%-0.4%-37.3M373.5M-2.8M2.7796.764,52112,50351,49070,719
2016-11-11$107.11$110.006.9%2.0%6.3%31.3%6.7%0.9%-0.2%-65.3M431.2M-2.8M5.2423.363,81219,97351,56978,178
2016-11-14$106.50$110.008.0%2.3%6.3%43.7%7.5%1.2%-0.7%-85.5M531.1M-2.7M6.1072.373,78423,09851,60787,376
2016-11-15$106.48$110.007.7%2.2%6.3%40.1%7.3%1.1%-0.7%-91.3M545.8M-2.7M5.9040.223,78722,34651,67787,956
2016-11-16$106.58$110.007.0%2.0%6.3%32.4%7.5%1.1%-0.3%-99.7M531.2M-2.8M4.0723.933,69215,01151,78587,973
2016-11-17$106.10$110.007.3%2.1%6.3%35.8%8.3%0.5%-0.5%-62.9M595.3M-2.6M3.4662.873,68612,76051,83387,381
2016-11-18$105.65$110.007.6%2.2%6.2%39.5%7.2%0.7%-0.7%-37.1M624.4M-2.5M3.2129.584,11613,22551,87387,334
2016-11-21$105.72$110.007.8%2.2%6.3%41.0%8.3%0.8%-0.6%-29.6M371.8M-2.5M1.8541.174,0717,55047,15664,359
2016-11-22$105.88$110.007.3%2.1%6.4%35.4%8.4%0.8%-0.6%-31.4M374.4M-2.5M3.8378.694,06115,55147,20064,442
2016-11-23$105.43$110.007.8%2.2%6.4%41.9%7.6%1.2%-0.8%-34.6M427.5M-2.5M0.7559.439,2276,93547,23772,352
2016-11-25$105.38$109.007.8%2.2%6.4%41.1%7.6%0.9%-0.6%-23.5M413.7M-2.5M1.6519.404,1876,89452,29972,432
2016-11-28$105.86$109.007.6%2.2%6.8%39.2%8.6%1.4%-0.9%-23.9M389.1M-2.6M1.3822.357,1039,80652,34772,438
2016-11-29$105.99$109.007.4%2.1%6.8%37.4%9.4%1.0%-0.6%-26.4M369.8M-2.8M0.7717.4813,11810,07855,39975,490
2016-11-30$105.42$109.008.0%2.3%7.0%44.2%8.8%0.5%-0.8%-21.2M391.2M-3.5M1.1428.3117,59320,04169,67386,020