IEF Options History — September 2017

In September 2017, IEF traded between $106.52 and $108.70. ATM implied volatility averaged 4.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 0.0% (HV 20d: 4.8%). Max pain ranged from $108.00 to $108.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.09.

Notable Days

  • 2017-09-12: Highest Volume — 63,360 contracts
  • 2017-09-05: Largest IV spike — 38.5% change
  • 2017-09-05: Highest IV Rank — 28.9%
  • 2017-09-07: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.49$106.52$108.70$107.75$106.52
Max Pain$108.00$108.00$108.00$108.00$108.00
ATM IV4.7%4.0%5.5%4.0%4.8%
Expected Move1.4%1.1%1.5%1.1%1.4%
HV 20d4.8%3.8%5.2%3.8%4.9%
HV 60d4.2%3.8%4.3%3.8%4.1%
IV Rank14.1%0.0%28.9%0.0%15.6%
IV Percentile19.1%0.0%50.8%0.0%23.4%
Term Structure0.2%-0.0%0.6%0.6%-0.0%
VWIV4.5%3.0%5.4%3.4%4.7%
Skew 25d-0.2%-1.2%0.1%-0.3%-1.2%
Skew 10d-0.6%-2.2%1.0%-0.9%-2.1%
Call IV 25d4.9%4.3%5.4%4.3%5.1%
Put IV 25d4.6%3.9%5.1%4.0%3.9%
Bid-Ask Spread %16.968.6056.8910.7512.38
Gamma HHI0.230.170.300.180.25
Net GEX-81.3M-158.9M15.1M-37.9M-126.8M
Net DEX311.9M-4.6M544.9M201.5M515.6M
Net VEX-4.9M-5.1M-4.7M-4.8M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.629.002.139.00
Total Volume32,661.410,05763,36034,17010,057
Total OI228,232.9210,215263,955224,803222,300

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$107.75$108.004.0%1.1%3.8%0.0%3.4%-0.3%0.6%-37.9M201.5M-4.8M2.1310.7510,91323,25759,871164,932
2017-09-05$108.52$108.005.5%1.5%4.5%28.9%5.1%-0.0%0.1%-15.2M42.4M-4.8M1.9415.4111,18621,67764,865164,867
2017-09-06$108.20$108.005.0%1.4%4.6%19.4%5.1%-0.3%0.2%-14.1M75.3M-4.7M3.6615.285,94221,73064,998164,991
2017-09-07$108.70$108.005.3%1.5%4.8%23.5%5.4%-0.5%-0.0%-15.3M-4.6M-4.7M1.7414.3615,76827,42564,724165,147
2017-09-08$108.63$108.005.3%1.4%4.7%23.7%5.1%0.0%0.2%-42.9K2.0M-5.0M1.7713.1015,61727,57374,690170,990
2017-09-11$108.04$108.004.9%1.4%5.2%17.1%5.3%-0.2%0.3%15.1M106.0M-5.0M1.7816.4215,62527,75474,688171,177
2017-09-12$107.76$108.004.9%1.4%5.2%16.0%5.0%-0.1%0.3%10.6M175.7M-5.0M1.8435.4522,32341,03774,685171,188
2017-09-13$107.55$108.004.8%1.4%5.1%14.1%5.2%-0.3%0.3%-7.9M259.6M-5.1M1.7511.2315,98827,93380,060183,895
2017-09-14$107.55$108.004.7%1.3%5.0%13.1%3.0%0.0%0.4%-60.8M304.2M-5.1M1.7612.5215,83427,86973,706183,885
2017-09-15$107.48$108.004.5%1.3%4.8%8.8%4.2%-0.4%0.3%-86.6M296.8M-5.0M2.769.0716,46545,50473,704183,892
2017-09-18$107.27$108.004.6%1.3%4.9%10.9%3.5%-0.2%0.3%-131.5M424.9M-5.1M0.8440.8015,87213,26862,525147,822
2017-09-19$107.15$108.004.6%1.3%4.9%10.7%3.6%-0.0%0.1%-136.7M438.1M-5.1M0.8311.5615,92013,26562,322147,893
2017-09-20$106.95$108.004.7%1.3%4.9%12.2%5.1%-0.3%0.3%-145.0M521.1M-5.0M0.8356.8915,98413,29562,307148,684
2017-09-21$106.81$108.004.4%1.3%4.7%8.3%4.1%-0.2%0.3%-153.6M518.8M-5.0M2.179.875,99112,97662,362148,791
2017-09-22$107.00$108.004.6%1.3%4.7%11.3%4.2%-0.2%0.1%-146.7M477.1M-5.0M2.218.606,07613,43662,417148,833
2017-09-25$107.32$108.004.6%1.3%4.8%10.9%4.4%-0.0%0.3%-143.6M407.3M-4.9M1.6710.046,13210,24262,503149,206
2017-09-26$107.23$108.004.6%1.3%4.8%12.0%4.4%0.1%0.1%-147.8M439.6M-4.9M1.7011.416,03710,24062,548149,268
2017-09-27$106.69$108.004.8%1.4%4.9%14.2%4.6%-0.6%0.2%-158.9M544.9M-4.9M0.6210.7416,0119,97362,591149,268
2017-09-28$106.71$108.004.6%1.3%5.0%11.1%4.6%-0.0%0.2%-123.2M491.3M-4.9M0.9113.4211,02210,01172,775149,288
2017-09-29$106.52$108.004.8%1.4%4.9%15.6%4.7%-1.2%-0.0%-126.8M515.6M-4.8M9.0012.381,0069,05172,935149,365