IEF Options History — July 2017

In July 2017, IEF traded between $105.79 and $107.16. ATM implied volatility averaged 4.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.7% (HV 20d: 4.0%). Max pain ranged from $106.00 to $108.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 14.26.

Notable Days

  • 2017-07-25: Highest Volume — 52,356 contracts
  • 2017-07-07: Largest IV drop — 12.2% change
  • 2017-07-06: Highest IV Rank — 23.8%
  • 2017-07-03: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.51$105.79$107.16$106.06$106.83
Max Pain$106.50$106.00$108.00$108.00$107.00
ATM IV4.7%4.3%5.4%5.4%4.5%
Expected Move1.4%1.2%1.5%1.5%1.3%
HV 20d4.0%3.8%4.4%4.2%3.9%
HV 60d4.2%4.0%4.4%4.4%4.1%
IV Rank11.4%1.8%23.8%23.6%7.0%
IV Percentile8.2%0.4%30.2%29.4%3.2%
Term Structure0.0%-0.2%0.3%-0.0%0.1%
VWIV5.1%4.2%10.0%5.4%4.7%
Skew 25d0.3%-0.1%1.1%0.5%0.3%
Skew 10d1.5%-0.4%8.9%0.6%8.9%
Call IV 25d4.7%3.6%5.3%5.1%4.7%
Put IV 25d5.0%4.4%5.6%5.6%4.9%
Bid-Ask Spread %41.2110.22111.3474.2316.48
Gamma HHI0.300.230.670.270.25
Net GEX-157.2M-481.4M-19.6M-112.1M-19.6M
Net DEX575.9M285.1M797.8M663.5M302.2M
Net VEX-4.6M-4.9M-4.5M-4.5M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.261.6036.622.211.97
Total Volume30,613.22,64552,3564,25132,473
Total OI217,273.35174,099259,239174,099235,442

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$106.06$108.005.4%1.5%4.2%23.6%5.4%0.5%-0.0%-112.1M663.5M-4.5M2.2174.231,3252,92642,910131,189
2017-07-05$106.18$108.005.2%1.5%4.0%20.3%5.8%0.3%-0.1%-119.1M670.2M-4.6M1.60111.341,0161,62942,937131,269
2017-07-06$105.96$106.005.4%1.5%4.0%23.8%5.5%0.6%-0.1%-98.6M723.7M-4.5M14.3830.861,15916,66743,152131,286
2017-07-07$105.79$106.004.7%1.4%4.0%11.0%5.2%0.3%-0.0%-110.0M797.8M-4.5M17.4339.7195616,66643,257146,182
2017-07-10$105.94$106.004.9%1.4%4.1%14.5%5.2%0.3%-0.1%-125.0M780.3M-4.6M21.0056.3779316,65143,295146,045
2017-07-11$106.06$106.005.1%1.5%4.1%19.2%5.1%0.1%-0.2%-131.1M767.1M-4.6M20.8574.4579416,55143,346146,116
2017-07-12$106.40$106.005.0%1.4%4.3%15.7%5.2%0.1%-0.0%-160.0M707.0M-4.5M30.4373.581,20136,54743,339146,131
2017-07-13$106.22$106.004.8%1.4%3.8%13.1%4.8%0.1%0.0%-158.9M750.1M-4.7M26.0393.001,21431,60243,857164,634
2017-07-14$106.44$106.004.8%1.4%3.9%13.1%4.8%-0.1%-0.0%-202.3M737.1M-4.9M26.6312.041,18631,58443,975194,739
2017-07-17$106.55$106.004.5%1.3%3.9%7.0%4.3%0.2%0.3%-204.3M715.5M-4.9M26.3416.791,19331,42044,218194,891
2017-07-18$106.94$106.004.6%1.3%4.0%7.9%4.3%0.2%0.0%-240.7M617.1M-4.6M32.3916.4597031,41644,225194,919
2017-07-19$106.89$106.004.4%1.3%3.9%4.8%4.4%0.4%0.3%-263.4M617.6M-4.6M3.7913.2710,92241,36444,289194,920
2017-07-20$106.94$106.004.4%1.3%3.9%4.7%4.2%0.1%0.2%-402.7M605.2M-4.7M36.6244.7785731,38754,287204,952
2017-07-21$107.16$106.004.3%1.2%4.0%1.8%4.4%0.2%0.3%-481.4M436.3M-4.6M6.0310.226,09736,74854,508194,947
2017-07-24$107.09$107.004.6%1.3%4.0%7.8%4.6%-0.1%0.1%-44.6M285.1M-4.6M6.2114.815,87736,52258,782166,395
2017-07-25$106.49$107.004.8%1.4%4.4%11.7%5.6%-0.0%-0.1%-86.3M374.9M-4.7M3.8239.4010,85441,50258,815166,453
2017-07-26$106.81$107.004.5%1.3%4.2%6.8%10.0%0.1%0.2%-57.3M314.7M-4.8M3.4045.7510,73836,52563,809171,274
2017-07-27$106.64$107.004.5%1.3%4.2%7.3%4.7%0.3%-0.1%-69.1M331.7M-4.8M2.0128.8710,74221,61263,892171,319
2017-07-28$106.82$107.004.5%1.3%4.1%6.0%4.7%1.1%0.2%-57.6M320.3M-4.7M1.9611.7611,00821,57063,951171,520
2017-07-31$106.83$107.004.5%1.3%3.9%7.0%4.7%0.3%0.1%-19.6M302.2M-4.6M1.9716.4810,91721,55663,919171,523