IEF Options History — January 2017

In January 2017, IEF traded between $104.42 and $105.93. ATM implied volatility averaged 6.5%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.0% (HV 20d: 5.5%). Max pain ranged from $103.00 to $106.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2017-01-13: Highest Volume — 12,490 contracts
  • 2017-01-06: Largest IV drop — 13.5% change
  • 2017-01-25: Highest IV Rank — 30.0%
  • 2017-01-25: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.12$104.42$105.93$104.78$105.08
Max Pain$105.75$103.00$106.00$105.00$106.00
ATM IV6.5%5.9%6.8%6.4%6.7%
Expected Move1.9%1.8%2.0%1.8%1.9%
HV 20d5.5%4.5%6.2%5.0%6.0%
HV 60d6.0%5.6%6.3%5.6%6.3%
IV Rank25.7%18.3%30.0%25.2%28.6%
IV Percentile63.5%34.9%76.2%62.3%73.0%
Term Structure0.2%-0.1%0.5%0.2%0.1%
VWIV6.7%6.1%7.1%6.5%6.9%
Skew 25d0.3%-0.2%0.9%0.7%0.2%
Skew 10d0.7%-1.9%3.2%1.9%-0.1%
Call IV 25d6.6%6.2%6.9%6.5%6.7%
Put IV 25d6.9%6.4%7.5%7.2%6.8%
Bid-Ask Spread %86.8120.86108.8784.9896.39
Gamma HHI0.280.200.390.300.22
Net GEX12.3M-7.6M26.2M10.7M2.9M
Net DEX49.5M-70.4M163.0M102.7M96.1M
Net VEX-3.8M-3.9M-3.6M-3.9M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.672.910.940.76
Total Volume7,563.43,58612,4908,1113,586
Total OI156,915.2134,692170,297164,411140,271

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$104.78$105.006.4%1.8%5.0%25.2%6.5%0.7%0.2%10.7M102.7M-3.9M0.9484.984,1753,93687,58776,824
2017-01-04$104.87$105.006.2%1.8%5.0%22.7%6.1%0.8%0.5%11.7M80.2M-3.9M0.8187.144,2573,42787,88677,099
2017-01-05$105.54$103.006.8%1.9%5.5%29.2%6.6%0.4%0.1%18.2M-9.3M-3.9M1.2262.334,1105,02987,67577,125
2017-01-06$105.08$106.005.9%1.9%5.6%18.3%6.6%0.3%0.2%13.7M46.7M-3.9M1.2720.864,3105,48887,69678,531
2017-01-09$105.49$106.006.1%1.9%5.6%21.7%6.6%0.3%0.2%19.9M-9.2M-3.9M1.0283.323,9113,97287,63879,042
2017-01-10$105.44$106.006.1%1.9%5.3%21.0%6.5%0.1%0.2%18.5M-10.8M-3.9M0.9490.324,1773,93487,65179,134
2017-01-11$105.53$106.006.5%1.9%5.3%25.6%6.6%0.3%0.2%19.3M-35.2M-3.9M0.9486.393,9043,67987,45779,187
2017-01-12$105.63$106.006.5%1.9%5.3%26.4%6.5%0.2%-0.0%19.4M-69.3M-3.9M2.71105.621,7894,85787,47379,312
2017-01-13$105.37$106.006.3%1.8%4.6%24.0%6.3%0.1%0.2%19.5M-15.6M-3.9M1.6866.004,6687,82288,10780,549
2017-01-17$105.93$106.006.4%1.8%4.5%25.3%6.7%0.5%0.3%23.5M-70.4M-3.8M1.5162.704,4636,74786,38578,952
2017-01-18$105.18$106.006.6%1.9%5.4%26.7%6.6%-0.2%0.0%23.1M373.0K-3.8M0.89101.804,1863,72587,42878,050
2017-01-19$104.81$106.006.7%1.9%5.4%28.2%6.7%0.9%0.3%19.2M95.5M-3.7M0.67106.465,7763,86390,59178,060
2017-01-20$104.82$106.006.6%1.9%5.3%27.1%6.8%0.5%0.1%26.2M64.1M-3.7M2.8498.782,5007,10592,36377,934
2017-01-23$105.43$106.006.5%1.9%5.6%25.8%7.1%0.5%0.4%14.0M48.6M-3.8M2.9193.922,4087,00870,47664,216
2017-01-24$104.93$106.006.7%1.9%5.9%28.4%7.1%0.6%-0.0%6.3M99.1M-3.7M2.58108.062,0955,40070,64666,507
2017-01-25$104.42$106.006.8%2.0%6.2%30.0%6.8%0.4%-0.0%-7.6M163.0M-3.6M0.7469.692,1691,60570,66869,413
2017-01-26$104.62$106.006.7%1.9%6.2%28.8%7.0%-0.1%0.1%-5.1M151.0M-3.7M0.75108.872,1851,64870,70569,425
2017-01-27$104.77$106.006.4%1.8%6.0%25.0%6.5%0.0%0.1%-4.3M142.4M-3.6M0.7193.772,1581,53970,69369,425
2017-01-30$104.75$106.006.5%1.9%6.0%26.3%6.5%0.2%-0.1%-3.9M120.8M-3.6M0.77108.812,0691,58870,68369,440
2017-01-31$105.08$106.006.7%1.9%6.0%28.6%6.9%0.2%0.1%2.9M96.1M-3.7M0.7696.392,0351,55170,77669,495