IEF Options History — March 2017

In March 2017, IEF traded between $103.71 and $105.71. ATM implied volatility averaged 5.9%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.4% (HV 20d: 5.5%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.17.

Notable Days

  • 2017-03-02: Highest Volume — 23,546 contracts
  • 2017-03-15: Largest IV drop — 36.7% change
  • 2017-03-14: Highest IV Rank — 45.6%
  • 2017-03-02: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.80$103.71$105.71$104.73$105.59
Max Pain$105.00$105.00$105.00$105.00$105.00
ATM IV5.9%4.7%8.1%6.3%4.7%
Expected Move1.6%1.3%1.8%1.8%1.3%
HV 20d5.5%4.5%5.9%5.8%4.6%
HV 60d5.5%5.3%5.6%5.6%5.4%
IV Rank18.7%4.5%45.6%23.8%4.5%
IV Percentile37.1%0.4%97.2%61.9%0.4%
Term Structure0.4%-0.5%0.9%-0.3%0.7%
VWIV5.5%4.5%6.6%6.3%4.7%
Skew 25d0.2%-0.3%0.5%0.4%-0.1%
Skew 10d0.2%-1.7%2.8%-0.7%0.1%
Call IV 25d5.5%4.9%6.5%6.3%5.1%
Put IV 25d5.7%4.9%6.7%6.7%4.9%
Bid-Ask Spread %62.7413.82116.3813.8271.42
Gamma HHI0.330.230.610.250.37
Net GEX42.8M-1.8M130.7M45.8M58.8M
Net DEX69.3M-69.1M251.4M55.6M-43.1M
Net VEX-3.3M-3.6M-3.0M-3.5M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.170.457.100.802.23
Total Volume10,483.0432,54523,54620,3532,545
Total OI156,458.652136,195174,021159,107139,704

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$104.73$105.006.3%1.8%5.8%23.8%6.3%0.4%-0.3%45.8M55.6M-3.5M0.8013.8211,3359,01889,19969,908
2017-03-02$104.44$105.006.4%1.8%5.7%25.2%6.3%-0.1%-0.5%37.1M93.2M-3.6M1.0625.5911,43412,11294,20473,179
2017-03-03$104.54$105.005.9%1.7%5.8%19.4%6.6%0.1%-0.3%31.6M96.6M-3.6M1.0919.306,3736,95194,31876,183
2017-03-06$104.56$105.006.6%1.7%5.8%27.5%6.2%0.2%0.3%40.4M82.4M-3.6M1.0957.136,3326,92194,31976,375
2017-03-07$104.39$105.006.5%1.7%5.4%26.1%5.3%-0.1%0.2%36.2M117.9M-3.4M1.0778.846,5717,01994,23276,386
2017-03-08$104.07$105.006.8%1.6%5.4%30.1%5.6%0.2%0.4%16.7M177.7M-3.3M0.7934.459,3397,35094,37376,463
2017-03-09$103.77$105.007.2%1.6%5.2%34.3%5.7%0.1%0.4%8.5M222.3M-3.2M0.4584.569,4714,24997,32776,607
2017-03-10$103.96$105.006.3%1.6%5.1%23.4%5.4%0.2%0.5%17.9M203.3M-3.2M0.6631.186,2674,11997,39676,614
2017-03-13$103.71$105.008.0%1.6%5.1%43.6%5.6%0.4%0.4%-1.8M251.4M-3.0M0.6642.006,1914,08997,38576,636
2017-03-14$103.84$105.008.1%1.7%5.2%45.6%5.7%0.2%0.5%6.4M229.0M-3.1M1.2463.926,6688,23697,39876,615
2017-03-15$104.69$105.005.1%1.5%5.9%9.9%5.4%0.2%0.6%75.0M81.2M-3.2M2.02116.384,4388,94697,40876,601
2017-03-16$104.48$105.005.3%1.5%5.9%11.3%5.2%0.5%0.6%72.3M115.7M-3.2M1.4941.086,6619,92996,74873,567
2017-03-17$104.72$105.005.1%1.5%5.8%8.9%5.1%0.4%0.6%130.7M85.5M-3.3M1.23101.967,8639,69698,05974,564
2017-03-20$104.97$105.005.1%1.5%5.7%9.4%5.2%0.5%0.8%38.3M50.2M-3.3M5.2394.805492,87376,22459,971
2017-03-21$105.33$105.005.1%1.4%5.9%8.8%5.0%0.0%0.9%42.5M-1.4M-3.4M3.8171.517562,88476,26960,024
2017-03-22$105.53$105.005.5%1.6%5.9%13.7%5.5%-0.1%0.5%42.4M-28.8M-3.4M2.3276.481,2612,92676,52660,022
2017-03-23$105.48$105.005.7%1.6%5.8%16.5%5.6%0.4%0.2%42.4M-7.0M-3.3M2.60109.201,2663,29077,22060,078
2017-03-24$105.47$105.005.2%1.5%5.5%10.4%5.5%-0.1%0.6%46.3M-34.6M-3.4M2.5120.821,3523,38977,54060,282
2017-03-27$105.71$105.005.3%1.5%5.4%12.3%5.6%0.0%0.4%49.6M-69.1M-3.4M3.8939.371,1234,37277,82260,488
2017-03-28$105.39$105.005.0%1.4%5.5%7.7%4.7%-0.3%0.6%50.6M-28.7M-3.3M7.1091.089356,63977,71259,003
2017-03-29$105.69$105.005.0%1.4%4.5%7.9%4.5%0.3%0.5%48.1M-49.0M-3.4M4.2176.349183,86677,73660,390
2017-03-30$105.40$105.005.1%1.5%4.5%9.2%4.9%0.4%0.6%49.6M-5.8M-3.4M2.4281.767561,83277,73861,736
2017-03-31$105.59$105.004.7%1.3%4.6%4.5%4.7%-0.1%0.7%58.8M-43.1M-3.4M2.2371.427881,75777,83661,868