IEF Options History — October 2017

In October 2017, IEF traded between $105.54 and $106.84. ATM implied volatility averaged 4.8%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.5% (HV 20d: 3.3%). Max pain ranged from $106.00 to $108.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 5.46.

Notable Days

  • 2017-10-20: Highest Volume — 50,570 contracts
  • 2017-10-09: Largest IV spike — 10.5% change
  • 2017-10-25: Highest IV Rank — 26.3%
  • 2017-10-25: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.25$105.54$106.84$106.25$106.17
Max Pain$106.82$106.00$108.00$108.00$106.00
ATM IV4.8%4.5%5.4%4.7%4.9%
Expected Move1.4%1.3%1.5%1.3%1.4%
HV 20d3.3%2.8%4.7%4.7%3.5%
HV 60d4.0%3.8%4.1%4.1%4.0%
IV Rank15.8%8.9%26.3%12.6%16.4%
IV Percentile26.8%7.5%52.8%17.1%31.0%
Term Structure0.1%-0.2%0.5%0.3%0.0%
VWIV4.9%4.6%5.6%4.7%5.0%
Skew 25d-0.1%-1.1%0.7%-1.1%-0.1%
Skew 10d-0.2%-2.8%1.9%-2.8%0.6%
Call IV 25d4.9%4.4%5.6%5.0%5.0%
Put IV 25d4.8%3.9%5.5%3.9%4.9%
Bid-Ask Spread %12.657.7426.269.3010.12
Gamma HHI0.290.240.480.250.26
Net GEX-138.5M-214.9M-101.8M-128.7M-129.6M
Net DEX526.7M406.8M619.6M547.0M497.0M
Net VEX-5.5M-6.7M-4.8M-4.9M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.460.9211.618.432.40
Total Volume20,981.7738,66650,57010,91211,591
Total OI239,101.455222,362262,554222,362262,554

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$106.25$108.004.7%1.3%4.7%12.6%4.7%-1.1%0.3%-128.7M547.0M-4.9M8.439.301,1579,75572,984149,378
2017-10-03$106.38$108.004.7%1.4%3.8%13.7%4.9%-0.9%0.4%-131.8M527.9M-4.9M10.207.741,00410,24573,163149,941
2017-10-04$106.42$108.005.0%1.4%3.8%17.9%4.7%-0.7%-0.1%-132.1M532.6M-4.9M10.068.631,08010,86073,167149,945
2017-10-05$106.26$107.004.7%1.4%3.2%12.8%4.9%0.1%0.0%-132.5M564.2M-4.9M10.2611.421,05910,86673,268150,470
2017-10-06$106.13$107.004.7%1.4%3.2%12.8%4.8%0.2%-0.0%-127.6M595.1M-4.8M10.6626.261,10211,75273,279150,446
2017-10-09$106.25$107.005.2%1.4%2.9%22.0%4.8%0.1%0.1%-133.8M580.8M-4.8M7.0811.621,0737,59373,442152,445
2017-10-10$106.30$107.004.9%1.4%2.8%17.3%4.9%-0.2%0.2%-142.9M544.2M-4.8M6.5113.881,2247,97173,461152,788
2017-10-11$106.39$107.004.9%1.4%2.8%16.0%4.9%0.0%0.1%-144.5M557.3M-4.8M1.7915.418,39115,03373,591153,293
2017-10-12$106.51$107.004.7%1.4%2.9%13.5%4.6%-0.1%0.3%-150.9M494.5M-5.1M1.489.7013,88720,48880,900157,042
2017-10-13$106.84$107.004.6%1.3%3.2%12.0%4.7%0.2%0.1%-163.8M410.5M-5.3M2.4213.768,42220,39078,425155,555
2017-10-16$106.71$107.004.6%1.3%3.1%10.7%4.7%0.1%0.2%-162.7M451.9M-5.1M4.0914.618,43934,51178,580155,622
2017-10-17$106.63$107.004.5%1.3%3.1%8.9%4.9%-0.1%0.5%-101.8M406.8M-5.2M4.9611.346,63632,92178,655155,677
2017-10-18$106.37$107.004.5%1.3%3.1%10.4%5.1%0.3%0.2%-103.1M485.4M-5.6M8.4311.613,55329,95984,182158,688
2017-10-19$106.58$107.004.5%1.3%3.2%10.3%4.6%0.1%0.3%-102.5M431.1M-5.7M4.2221.333,60815,24086,703161,228
2017-10-20$106.02$107.004.8%1.4%3.6%15.8%4.6%0.1%0.0%-214.9M580.0M-5.8M11.6111.124,00946,56186,744163,963
2017-10-23$106.16$106.004.9%1.4%3.5%17.5%5.0%-0.0%0.0%-128.1M486.7M-6.3M4.488.254,22618,92469,338177,229
2017-10-24$105.86$106.005.1%1.5%3.5%20.4%4.9%-0.5%-0.0%-142.4M566.3M-6.2M4.709.864,23319,88469,991178,441
2017-10-25$105.67$106.005.4%1.5%3.2%26.3%5.6%-0.2%-0.2%-148.0M619.6M-6.3M0.9217.055,1054,67370,113179,833
2017-10-26$105.54$106.005.2%1.5%3.2%22.6%5.3%0.0%0.1%-152.2M618.5M-6.3M0.9514.299,6849,21371,288179,457
2017-10-27$105.83$106.004.9%1.4%3.3%17.1%4.8%0.7%0.2%-144.5M586.7M-6.7M2.0211.894,5179,14376,410186,075
2017-10-30$106.23$106.005.1%1.5%3.5%21.6%5.0%0.3%-0.1%-128.0M504.0M-6.7M2.389.083,4378,18076,370186,108
2017-10-31$106.17$106.004.9%1.4%3.5%16.4%5.0%-0.1%0.0%-129.6M497.0M-6.6M2.4010.123,4118,18076,397186,157