IEF Options History — December 2016

In December 2016, IEF traded between $103.48 and $105.56. ATM implied volatility averaged 7.1%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.0% (HV 20d: 6.1%). Max pain ranged from $105.00 to $109.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2016-12-08: Highest Volume — 40,831 contracts
  • 2016-12-14: Largest IV drop — 24.8% change
  • 2016-12-13: Highest IV Rank — 59.7%
  • 2016-12-01: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.43$103.48$105.56$104.66$104.78
Max Pain$105.95$105.00$109.00$109.00$105.00
ATM IV7.1%5.9%9.3%8.6%5.9%
Expected Move1.9%1.7%2.5%2.5%1.7%
HV 20d6.1%5.3%7.4%6.9%5.3%
HV 60d5.4%5.2%5.6%5.2%5.6%
IV Rank33.3%19.0%59.7%50.5%19.0%
IV Percentile73.8%40.9%99.6%97.6%40.9%
Term Structure0.2%-1.1%0.6%-1.1%0.4%
VWIV7.0%4.8%8.7%8.7%6.4%
Skew 25d0.8%0.4%1.5%1.5%0.5%
Skew 10d1.4%-1.6%3.3%1.8%-0.4%
Call IV 25d6.4%5.8%8.1%8.1%6.0%
Put IV 25d7.2%6.5%9.6%9.6%6.6%
Bid-Ask Spread %56.5112.0779.2279.2261.69
Gamma HHI0.250.190.320.210.25
Net GEX-8.9M-26.4M17.1M-16.1M17.1M
Net DEX323.7M88.1M517.7M416.2M88.1M
Net VEX-3.7M-4.0M-3.5M-3.5M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.311.941.381.23
Total Volume24,5936,59740,83138,93611,431
Total OI164,710.429147,165186,310158,138162,067

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$104.66$109.008.6%2.5%6.9%50.5%8.7%1.5%-1.1%-16.1M416.2M-3.5M1.3879.2216,38622,55072,15085,988
2016-12-02$105.11$109.008.3%2.4%7.3%47.6%8.3%0.7%-1.1%-14.9M370.5M-3.7M1.6653.1713,57422,53874,67787,651
2016-12-05$105.15$108.008.3%2.1%7.1%47.2%7.6%0.9%0.1%-12.6M357.2M-3.7M1.8463.6812,18122,39176,44388,522
2016-12-06$105.19$108.007.7%2.0%7.2%39.9%7.7%1.3%0.2%-10.4M361.2M-3.7M1.8256.9612,01421,85376,73888,519
2016-12-07$105.56$108.007.2%1.9%7.4%35.0%7.2%0.4%0.5%-7.7M334.9M-3.7M1.5812.0711,97918,89976,84488,508
2016-12-08$105.13$108.007.8%1.9%5.7%41.3%6.6%0.7%0.3%-10.2M367.8M-3.6M1.4154.7716,93523,89676,85688,548
2016-12-09$104.60$105.007.5%1.9%5.7%37.9%6.7%1.1%0.1%-8.9M419.0M-3.7M1.9418.9512,26723,84581,91893,422
2016-12-12$104.60$105.008.9%1.9%5.7%55.2%7.3%0.7%0.1%-7.9M427.9M-3.7M1.5265.4312,36918,81782,29693,396
2016-12-13$104.67$105.009.3%2.0%5.4%59.7%7.5%1.0%0.1%-8.5M419.8M-3.7M1.6066.6612,10819,35582,72894,166
2016-12-14$103.95$105.007.0%2.0%5.8%32.2%7.0%0.7%0.4%-19.7M464.5M-3.6M1.3071.0116,44721,43183,09694,643
2016-12-15$103.48$105.006.7%1.9%5.9%28.9%6.8%1.0%0.5%-26.4M514.4M-3.8M0.7855.0515,68212,23087,25798,738
2016-12-16$103.64$105.006.3%1.8%5.9%24.3%6.7%0.7%0.5%-26.3M517.7M-3.7M0.8222.2515,32512,51287,59998,711
2016-12-19$104.11$105.006.4%1.8%6.1%24.9%6.9%0.9%0.2%-16.4M256.6M-3.7M0.4672.9313,9646,44772,40274,902
2016-12-20$103.93$105.006.2%1.8%6.1%22.0%7.0%0.8%0.5%-18.5M277.0M-3.6M1.4262.414,1945,94772,40874,938
2016-12-21$104.08$105.006.0%1.7%6.1%20.5%7.7%0.7%0.6%-18.6M259.1M-3.6M1.5462.603,8875,98172,20474,961
2016-12-22$103.86$105.006.1%1.7%5.9%20.9%6.0%0.6%0.5%-18.2M252.4M-3.7M0.3169.8018,8935,93072,24574,981
2016-12-23$103.99$105.006.1%1.7%6.0%21.0%6.2%0.6%0.3%7.4M191.7M-3.9M1.4937.364,0176,00187,35474,499
2016-12-27$103.80$105.006.2%1.8%5.7%22.1%7.6%0.7%0.4%5.1M223.6M-3.8M0.8868.364,1663,67087,53274,469
2016-12-28$104.21$105.006.3%1.8%5.9%23.3%4.8%0.8%0.4%9.8M167.4M-3.8M0.9164.534,0583,68687,57474,571
2016-12-29$104.50$105.006.5%1.9%5.8%26.4%5.8%0.6%0.3%14.2M111.2M-4.0M0.7367.763,8112,78687,78974,609
2016-12-30$104.78$105.005.9%1.7%5.3%19.0%6.4%0.5%0.4%17.1M88.1M-3.9M1.2361.695,1226,30987,79974,268