IEF Options History — June 2017

In June 2017, IEF traded between $106.55 and $107.91. ATM implied volatility averaged 5.1%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.0% (HV 20d: 4.1%). Max pain ranged from $107.00 to $108.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 6.92.

Notable Days

  • 2017-06-01: Highest Volume — 38,844 contracts
  • 2017-06-14: Largest IV drop — 38.9% change
  • 2017-06-13: Highest IV Rank — 40.2%
  • 2017-06-01: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.46$106.55$107.91$107.10$106.55
Max Pain$107.55$107.00$108.00$107.00$108.00
ATM IV5.1%4.2%7.9%5.5%5.1%
Expected Move1.4%1.2%1.6%1.6%1.5%
HV 20d4.1%3.6%4.6%4.2%3.9%
HV 60d4.2%4.1%4.4%4.4%4.3%
IV Rank8.8%0.0%40.2%9.5%17.4%
IV Percentile15.9%0.0%95.2%25.8%13.1%
Term Structure0.1%-0.6%0.5%-0.4%0.1%
VWIV4.8%4.2%5.4%5.4%5.3%
Skew 25d-0.0%-0.6%0.5%-0.4%0.4%
Skew 10d0.1%-1.5%1.4%0.3%1.0%
Call IV 25d4.9%4.4%5.8%5.7%5.2%
Put IV 25d4.9%4.3%5.6%5.3%5.6%
Bid-Ask Spread %47.9211.46113.0029.0026.52
Gamma HHI0.330.200.450.350.28
Net GEX-56.8M-159.0M56.1M1.4M-129.1M
Net DEX233.8M5.6M621.3M134.8M621.3M
Net VEX-4.8M-4.9M-4.6M-4.9M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.921.9018.749.512.21
Total Volume18,002.5914,20438,84438,8444,204
Total OI177,164.545171,715208,844176,895174,139

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$107.10$107.005.5%1.6%4.2%9.5%5.4%-0.4%-0.4%1.4M134.8M-4.9M9.5129.003,69635,14859,183117,712
2017-06-02$107.64$107.005.3%1.5%4.4%7.8%4.9%-0.4%-0.6%16.0M64.7M-4.7M16.3624.132,16535,43059,205117,702
2017-06-05$107.43$107.005.3%1.4%4.5%7.8%4.9%-0.2%0.1%23.0M66.2M-4.7M18.7453.271,88935,39159,377117,711
2017-06-06$107.76$107.005.6%1.4%4.4%11.8%5.1%-0.2%0.0%23.9M11.8M-4.7M11.8564.702,97835,30259,369117,711
2017-06-07$107.50$107.005.3%1.4%4.5%7.9%5.3%-0.6%0.1%28.9M72.4M-4.7M8.5145.922,97925,35759,705117,729
2017-06-08$107.35$107.005.6%1.4%4.6%11.1%5.0%0.0%-0.0%27.8M93.6M-4.7M10.0422.202,41124,20359,713117,849
2017-06-09$107.26$107.005.1%1.4%4.6%5.3%4.7%0.2%0.2%42.7M95.1M-4.7M9.9439.772,43824,23959,709117,850
2017-06-12$107.25$107.006.0%1.4%4.3%16.4%4.9%-0.3%0.1%56.1M98.8M-4.6M10.2273.972,36724,20159,792117,915
2017-06-13$107.26$107.007.9%1.3%4.3%40.2%4.6%0.0%0.2%41.0M103.4M-4.6M10.5976.102,37725,17659,805117,805
2017-06-14$107.83$107.004.8%1.4%4.6%1.7%4.8%0.0%0.1%21.1M5.6M-4.6M6.77113.002,03213,75059,819118,637
2017-06-15$107.63$108.004.7%1.3%3.6%0.0%4.7%-0.1%0.2%-1.6M82.9M-4.7M9.6612.792,45523,70859,847128,945
2017-06-16$107.75$108.004.5%1.3%3.6%0.0%4.5%-0.2%0.1%-66.2M119.5M-4.9M5.8234.832,32113,51359,862148,982
2017-06-19$107.43$108.004.4%1.3%3.8%0.0%4.4%-0.1%0.4%-145.7M387.9M-4.9M1.9065.041,6383,10843,156128,679
2017-06-20$107.70$108.004.7%1.3%3.9%6.3%4.6%-0.1%0.2%-139.3M351.2M-4.9M2.2545.821,5623,51443,025128,690
2017-06-21$107.69$108.004.5%1.3%3.7%3.4%4.5%-0.1%0.3%-140.0M355.7M-4.9M2.2812.491,5053,43543,007128,889
2017-06-22$107.80$108.004.6%1.3%3.7%4.5%4.6%0.0%0.2%-147.7M360.6M-4.9M2.1947.511,5073,29543,036128,890
2017-06-23$107.81$108.004.2%1.2%3.7%0.0%4.2%0.1%0.5%-153.3M335.1M-4.9M2.1811.461,4813,22543,013128,895
2017-06-26$107.91$108.004.3%1.2%3.7%3.6%4.4%0.0%0.4%-152.1M301.5M-4.8M2.1397.621,5133,22443,015128,925
2017-06-27$107.35$108.004.6%1.3%4.1%9.3%5.0%0.4%0.2%-159.0M453.5M-4.9M3.4178.821,4905,07943,047129,020
2017-06-28$107.27$108.004.9%1.4%4.1%13.4%4.9%0.5%-0.0%-156.6M479.8M-4.8M3.5341.731,4175,00643,000131,126
2017-06-29$106.87$108.005.0%1.4%4.3%16.8%5.2%0.2%0.1%-141.4M549.0M-4.7M2.1737.601,3642,96442,970131,164
2017-06-30$106.55$108.005.1%1.5%3.9%17.4%5.3%0.4%0.1%-129.1M621.3M-4.7M2.2126.521,3112,89342,953131,186