IEF Options History — August 2017

In August 2017, IEF traded between $106.86 and $108.24. ATM implied volatility averaged 4.6%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.9% (HV 20d: 3.7%). Max pain ranged from $106.00 to $107.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.94.

Notable Days

  • 2017-08-15: Highest Volume — 58,101 contracts
  • 2017-08-02: Largest IV drop — 9.0% change
  • 2017-08-01: Highest IV Rank — 13.7%
  • 2017-08-01: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.43$106.86$108.24$106.96$108.24
Max Pain$106.48$106.00$107.00$107.00$107.00
ATM IV4.6%4.3%4.9%4.9%4.4%
Expected Move1.3%1.2%1.4%1.4%1.3%
HV 20d3.7%3.5%4.0%3.5%3.5%
HV 60d3.9%3.7%4.2%4.1%3.7%
IV Rank7.7%2.1%13.7%13.7%5.4%
IV Percentile6.8%0.8%12.3%11.9%4.4%
Term Structure0.3%-0.3%0.7%-0.3%0.6%
VWIV4.6%4.2%5.4%5.4%4.3%
Skew 25d0.1%-1.8%0.7%0.7%0.0%
Skew 10d0.0%-2.0%2.8%0.5%0.8%
Call IV 25d4.6%4.0%5.1%4.6%4.5%
Put IV 25d4.7%3.2%5.3%5.3%4.5%
Bid-Ask Spread %13.686.2025.1819.777.74
Gamma HHI0.280.180.480.230.18
Net GEX683.5K-38.3M62.0M-38.3M-12.9M
Net DEX148.5M44.3M270.5M245.0M44.3M
Net VEX-4.8M-5.1M-4.4M-4.6M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.941.033.151.043.03
Total Volume45,356.34832,71958,10142,52444,268
Total OI240,499.87223,496259,340235,431235,431

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$106.96$107.004.9%1.4%3.5%13.7%5.4%0.7%-0.3%-38.3M245.0M-4.6M1.0419.7720,81821,70663,908171,523
2017-08-02$106.88$107.004.4%1.3%3.5%5.2%4.7%0.2%0.0%-21.3M253.7M-4.6M1.0415.1920,82321,75663,905171,695
2017-08-03$107.22$106.004.5%1.3%3.5%5.6%4.5%0.4%0.5%-4.9M202.7M-4.4M1.0518.9620,77621,77063,909171,824
2017-08-04$106.94$106.004.5%1.3%3.6%6.0%4.5%0.7%0.3%-12.9M258.8M-4.5M1.0511.2820,65421,71863,893171,850
2017-08-07$106.97$106.004.5%1.3%3.6%6.8%4.7%0.6%0.4%6.0M236.8M-4.4M1.0525.1820,64921,66063,931171,878
2017-08-08$106.86$106.004.3%1.3%3.6%3.7%4.6%0.6%0.6%151.6K270.5M-4.5M1.0315.3825,75826,66063,929171,880
2017-08-09$107.09$106.004.7%1.3%3.6%10.5%4.9%0.2%0.3%14.8M186.9M-4.7M1.5312.7820,80731,73769,052176,906
2017-08-10$107.46$106.004.7%1.4%3.6%11.1%4.9%-0.0%0.2%12.0M133.4M-5.1M1.5317.5020,73231,70674,137182,012
2017-08-11$107.56$106.004.8%1.4%3.6%12.3%4.5%-0.2%0.4%14.3M98.7M-5.0M2.0321.7115,67431,74874,141182,079
2017-08-14$107.28$106.004.4%1.3%3.8%5.1%4.4%-0.2%0.5%39.4M141.0M-5.0M2.0210.0215,69831,71174,154182,177
2017-08-15$106.92$106.004.3%1.2%3.8%3.4%4.3%-0.3%0.7%62.0M216.6M-4.9M1.279.7025,64532,45674,120182,198
2017-08-16$107.19$106.004.6%1.3%3.9%8.1%4.6%0.6%0.4%52.6M149.5M-4.9M1.5713.7720,64132,43477,088182,208
2017-08-17$107.57$106.004.7%1.3%4.0%10.4%4.6%0.2%0.1%23.4M89.0M-5.0M2.0315.6415,59831,61577,096182,223
2017-08-18$107.56$106.004.7%1.3%4.0%9.5%4.6%-0.0%0.4%3.2M78.0M-4.8M1.5017.4222,37533,50277,102182,238
2017-08-21$107.63$107.004.7%1.3%4.0%10.2%4.7%0.3%0.3%-9.3M94.6M-4.9M1.9812.5311,00621,81670,234153,262
2017-08-22$107.37$107.004.6%1.3%3.5%8.5%4.5%0.1%0.1%-12.9M139.7M-4.9M2.018.2210,85821,86170,237153,272
2017-08-23$107.76$107.004.5%1.3%3.6%7.3%4.2%0.3%0.4%-6.3M81.2M-4.9M2.207.7510,61223,29570,232153,322
2017-08-24$107.60$107.004.7%1.3%3.5%10.1%4.2%-0.3%0.2%-8.9M96.2M-5.0M3.1415.6910,60433,29970,233154,759
2017-08-25$107.79$107.004.6%1.3%3.6%9.3%4.2%-0.1%0.4%-24.5M139.7M-5.0M3.1511.0210,60933,43770,233163,201
2017-08-28$107.91$107.004.5%1.3%3.6%6.0%4.4%-0.1%0.4%-21.5M94.6M-4.9M3.119.0010,74533,43070,207163,255
2017-08-29$108.15$107.004.5%1.3%3.6%7.5%4.5%0.3%0.4%-21.2M86.1M-5.0M3.1312.0610,77033,66970,372164,766
2017-08-30$108.07$107.004.3%1.2%3.6%2.1%4.6%-1.8%0.6%-17.1M78.0M-4.8M3.086.2010,81733,27370,472164,953
2017-08-31$108.24$107.004.4%1.3%3.5%5.4%4.3%0.0%0.6%-12.9M44.3M-4.9M3.037.7410,98533,28370,442164,989