IEF Options History — December 2017

In December 2017, IEF traded between $104.99 and $106.19. ATM implied volatility averaged 4.5%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 1.1% (HV 20d: 3.4%). 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 17 of 20 days. Put/call ratio averaged 2.90.

Notable Days

  • 2017-12-15: Highest Volume — 54,340 contracts
  • 2017-12-13: Largest IV drop — 35.5% change
  • 2017-12-12: Highest IV Rank — 42.9%
  • 2017-12-01: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.69$104.99$106.19$105.91$105.55
Max Pain$107.40$106.00$108.00$107.00$106.00
ATM IV4.5%3.7%6.3%5.3%3.7%
Expected Move1.2%1.1%1.5%1.5%1.1%
HV 20d3.4%3.0%3.7%3.6%3.4%
HV 60d3.4%3.3%3.5%3.5%3.4%
IV Rank12.1%0.0%42.9%23.5%0.0%
IV Percentile23.4%0.0%82.5%57.5%0.0%
Term Structure0.2%-0.7%0.4%-0.7%0.3%
VWIV4.1%3.4%5.1%5.1%3.6%
Skew 25d0.2%-0.8%1.4%-0.8%1.0%
Skew 10d0.2%-2.3%2.7%-0.5%0.8%
Call IV 25d4.0%3.0%5.9%5.9%3.0%
Put IV 25d4.1%3.6%5.1%5.1%4.0%
Bid-Ask Spread %12.726.9443.0212.457.95
Gamma HHI0.230.210.270.250.23
Net GEX-131.2M-172.7M-95.9M-127.6M-128.9M
Net DEX500.4M323.5M712.1M446.6M323.5M
Net VEX-7.8M-9.0M-6.8M-7.1M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.1617.880.540.29
Total Volume17,162.23,96054,3406,8599,315
Total OI352,645.5322,116371,312322,116371,312

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$105.91$107.005.3%1.5%3.6%23.5%5.1%-0.8%-0.7%-127.6M446.6M-7.1M0.5412.454,4412,418103,296218,820
2017-12-04$105.88$108.005.4%1.3%3.5%26.5%4.7%0.0%0.0%-133.4M541.6M-7.1M0.6611.884,2692,831103,608218,869
2017-12-05$105.96$108.005.0%1.3%3.5%18.2%4.7%-0.0%0.2%-126.4M511.8M-7.0M1.7813.321,4272,533103,842219,731
2017-12-06$106.19$108.005.0%1.2%3.6%19.2%4.5%-0.0%0.3%-96.9M389.7M-6.8M0.1611.4911,9841,902103,957220,111
2017-12-07$105.98$108.005.0%1.3%3.6%18.6%4.6%-0.1%0.3%-112.8M454.1M-7.2M0.589.7724,46414,277114,127220,511
2017-12-08$105.90$108.004.9%1.2%3.6%16.2%4.0%-0.1%0.2%-117.6M482.4M-7.8M0.746.9419,46414,358126,619232,041
2017-12-11$105.83$108.006.0%1.2%3.1%38.3%4.3%0.1%0.3%-124.1M509.6M-7.7M0.3112.837,0242,173126,643232,266
2017-12-12$105.73$108.006.3%1.2%3.1%42.9%4.3%0.3%0.3%-130.5M549.9M-7.6M17.8814.511,80032,189126,654232,391
2017-12-13$106.17$108.004.0%1.2%3.4%1.0%4.1%0.3%0.4%-95.9M407.3M-7.9M6.4643.022,61816,923128,312237,330
2017-12-14$106.15$108.003.9%1.1%3.2%0.0%3.7%0.2%0.4%-98.3M393.8M-7.7M7.9514.162,15417,121128,619237,228
2017-12-15$106.12$108.003.8%1.1%3.0%0.0%3.8%0.1%0.4%-105.5M418.0M-7.6M1.758.7319,72934,611128,321237,433
2017-12-18$105.89$108.004.1%1.2%3.0%6.6%3.9%0.2%-0.1%-114.6M466.5M-7.9M10.189.071,89519,292144,263223,030
2017-12-19$105.40$108.004.0%1.2%3.4%4.8%3.8%0.2%0.1%-159.0M709.3M-8.2M2.5213.331,9434,898144,349223,101
2017-12-20$105.11$107.004.0%1.1%3.5%4.1%3.4%-0.1%0.4%-170.2M707.3M-8.1M1.3414.102,9143,911144,479212,979
2017-12-21$104.99$107.004.1%1.2%3.3%5.9%3.5%0.2%0.1%-171.1M712.1M-8.1M1.368.622,8763,914145,546213,134
2017-12-22$105.03$107.003.8%1.1%3.3%0.0%3.9%-0.1%0.4%-172.7M645.3M-8.1M1.368.892,8593,885145,639207,364
2017-12-26$105.08$106.004.1%1.2%3.3%5.6%3.6%0.3%0.2%-170.8M573.8M-8.0M0.8611.065,6984,925145,676204,292
2017-12-27$105.52$106.004.0%1.2%3.7%4.9%4.1%1.4%0.0%-124.0M374.0M-8.4M0.8714.0010,7909,372148,688207,182
2017-12-28$105.43$106.004.1%1.2%3.6%5.4%4.0%0.3%-0.1%-143.9M391.0M-9.0M0.478.199,5824,465156,468214,679
2017-12-29$105.55$106.003.7%1.1%3.4%0.0%3.6%1.0%0.3%-128.9M323.5M-8.9M0.297.957,2482,067156,540214,772