IEF Options History — November 2017

In November 2017, IEF traded between $105.69 and $106.55. ATM implied volatility averaged 4.5%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.9% (HV 20d: 3.6%). Max pain ranged from $106.00 to $107.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-11-03: Highest Volume — 46,575 contracts
  • 2017-11-22: Largest IV drop — 6.4% change
  • 2017-11-01: Highest IV Rank — 16.4%
  • 2017-11-01: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.17$105.69$106.55$106.06$105.69
Max Pain$106.95$106.00$107.00$106.00$107.00
ATM IV4.5%4.2%4.9%4.9%4.7%
Expected Move1.3%1.2%1.4%1.4%1.3%
HV 20d3.6%3.1%4.0%3.5%3.5%
HV 60d3.9%3.6%4.0%4.0%3.6%
IV Rank9.9%4.1%16.4%16.4%12.6%
IV Percentile12.6%0.8%31.0%31.0%25.8%
Term Structure0.0%-0.4%0.5%0.1%-0.4%
VWIV4.6%4.1%5.9%5.9%4.4%
Skew 25d-0.0%-0.5%0.4%-0.1%-0.5%
Skew 10d-0.2%-2.2%1.5%0.6%-2.1%
Call IV 25d4.6%4.2%5.1%5.1%5.0%
Put IV 25d4.6%4.3%5.1%5.1%4.5%
Bid-Ask Spread %12.937.3146.7246.7212.35
Gamma HHI0.250.230.280.260.27
Net GEX-125.5M-170.2M-100.7M-130.5M-154.3M
Net DEX433.7M315.2M568.3M463.9M568.3M
Net VEX-7.5M-8.0M-6.4M-6.5M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.362.152.150.57
Total Volume16,737.195,55846,57510,8336,321
Total OI320,281262,638334,885262,638324,858

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$106.06$106.004.9%1.4%3.5%16.4%5.9%-0.1%0.1%-130.5M463.9M-6.5M2.1546.723,4437,39076,469186,169
2017-11-02$106.21$107.004.7%1.4%3.5%13.5%4.8%0.2%0.2%-121.5M415.2M-6.4M2.0916.6713,46428,10176,512186,184
2017-11-03$106.38$107.004.5%1.3%3.5%8.8%4.7%0.1%0.0%-120.7M430.7M-7.1M0.9913.8923,43823,13786,546206,345
2017-11-06$106.51$107.004.6%1.3%3.5%10.7%4.9%0.2%0.0%-108.6M354.9M-7.6M1.519.7918,47227,95096,529216,425
2017-11-07$106.55$107.004.5%1.4%3.5%9.0%4.7%0.0%-0.2%-100.7M315.2M-8.0M2.1310.1313,50828,733106,550226,430
2017-11-08$106.39$107.004.6%1.3%3.6%10.6%4.5%0.0%0.5%-108.4M339.4M-7.9M1.7516.2213,40723,509106,567226,891
2017-11-09$106.38$107.004.6%1.3%3.6%11.4%4.6%-0.3%0.3%-114.5M374.0M-8.0M1.6913.0413,55722,921106,554227,042
2017-11-10$105.83$107.004.7%1.3%3.8%12.6%4.6%0.1%0.1%-167.6M527.2M-7.9M0.7613.304,0103,041106,569227,117
2017-11-13$105.79$107.004.6%1.3%3.8%10.6%4.6%-0.2%0.2%-170.2M519.0M-7.8M0.597.314,2912,542106,830227,394
2017-11-14$105.93$107.004.6%1.3%3.8%11.1%4.5%-0.2%-0.1%-153.2M524.6M-7.8M0.437.724,4971,952107,185227,400
2017-11-15$106.32$107.004.6%1.3%4.0%11.7%4.7%-0.0%-0.1%-114.1M416.7M-7.8M0.3611.294,6181,663107,247227,363
2017-11-16$106.03$107.004.5%1.3%4.0%10.2%4.6%-0.3%0.2%-126.8M448.8M-7.7M0.4312.684,5091,943107,447227,438
2017-11-17$106.19$107.004.3%1.2%3.6%6.0%4.3%-0.1%0.1%-122.4M426.6M-7.7M0.418.184,5551,872107,451227,396
2017-11-20$106.01$107.004.5%1.3%3.6%8.6%4.5%-0.1%-0.0%-131.8M459.2M-7.4M0.409.654,0691,609105,949216,764
2017-11-21$106.03$107.004.6%1.3%3.5%10.6%4.7%0.2%0.0%-131.7M482.6M-7.6M0.379.204,0491,509105,903216,824
2017-11-22$106.35$107.004.3%1.2%3.6%5.2%4.4%0.1%-0.1%-103.4M387.8M-7.4M0.907.634,0323,616105,932216,834
2017-11-24$106.28$107.004.3%1.2%3.5%6.2%4.1%0.3%0.1%-110.2M409.3M-7.4M0.8911.294,0463,616106,098216,593
2017-11-27$106.35$107.004.5%1.3%3.4%8.5%4.7%0.4%0.0%-105.1M377.2M-7.3M0.4612.994,1501,898106,099217,538
2017-11-28$106.36$107.004.2%1.2%3.1%4.1%4.6%-0.0%0.0%-108.7M375.5M-7.3M0.579.023,8802,219106,233217,718
2017-11-29$106.03$107.004.5%1.3%3.3%8.6%4.6%-0.1%-0.1%-130.6M492.5M-7.2M0.5412.553,8482,096106,259218,249
2017-11-30$105.69$107.004.7%1.3%3.5%12.6%4.4%-0.5%-0.4%-154.3M568.3M-7.3M0.5712.354,0232,298106,316218,542