IEF Options History — January 2018

In January 2018, IEF traded between $103.29 and $105.34. ATM implied volatility averaged 4.6%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.2% (HV 20d: 3.4%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.28.

Notable Days

  • 2018-01-19: Highest Volume — 39,264 contracts
  • 2018-01-08: Largest IV spike — 13.0% change
  • 2018-01-31: Highest IV Rank — 38.7%
  • 2018-01-31: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.32$103.29$105.34$105.23$103.29
Max Pain$105.10$105.00$106.00$106.00$105.00
ATM IV4.6%3.9%5.4%4.4%5.4%
Expected Move1.3%1.2%1.6%1.3%1.6%
HV 20d3.4%3.1%3.7%3.5%3.1%
HV 60d3.4%3.3%3.6%3.5%3.4%
IV Rank18.9%3.2%38.7%14.7%38.7%
IV Percentile28.2%1.2%77.4%9.1%77.4%
Term Structure-0.0%-0.3%0.3%-0.0%-0.3%
VWIV4.7%3.5%7.8%4.3%7.8%
Skew 25d0.4%-0.5%0.9%0.6%0.3%
Skew 10d0.1%-2.0%2.4%1.5%0.5%
Call IV 25d4.5%4.0%5.3%4.2%5.1%
Put IV 25d4.8%3.6%6.0%4.8%5.4%
Bid-Ask Spread %18.939.1763.7517.4239.43
Gamma HHI0.330.250.610.260.26
Net GEX-173.6M-259.4M-96.5M-174.0M-113.1M
Net DEX769.4M457.8M1.12B484.1M969.3M
Net VEX-8.2M-8.8M-7.6M-8.7M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.267.730.454.71
Total Volume11,530.1433,81239,26411,90712,463
Total OI350,884.429305,745378,037372,062327,957

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$105.23$106.004.4%1.3%3.5%14.7%4.3%0.6%-0.0%-174.0M484.1M-8.7M0.4517.428,1863,721156,917215,145
2018-01-03$105.34$106.004.2%1.2%3.5%11.5%4.2%-0.5%-0.1%-174.6M457.8M-8.8M0.4818.227,8243,738157,173216,417
2018-01-04$105.27$105.004.0%1.3%3.5%7.5%3.5%0.4%-0.1%-190.9M519.5M-8.8M0.6017.497,0164,177157,450216,671
2018-01-05$105.14$105.003.9%1.2%3.4%3.2%4.1%0.4%-0.1%-213.5M551.7M-8.7M0.5614.546,9093,875157,543216,963
2018-01-08$105.10$105.004.4%1.2%3.3%14.5%4.2%0.2%0.0%-221.3M599.4M-8.6M0.2611.136,9621,837157,753218,969
2018-01-09$104.59$105.004.1%1.2%3.7%9.0%4.1%0.3%0.3%-259.4M783.0M-8.1M5.7810.982,09412,101157,862218,989
2018-01-10$104.57$105.004.2%1.2%3.7%11.1%4.3%0.6%0.0%-212.4M737.7M-8.5M0.869.172,2081,902158,341211,729
2018-01-11$104.63$105.004.2%1.2%3.7%11.4%4.2%0.0%0.1%-225.1M710.6M-8.3M0.8811.522,0271,785158,528209,506
2018-01-12$104.58$105.004.1%1.2%3.3%9.4%4.1%0.2%0.1%-234.5M780.5M-8.2M1.0612.282,0482,181158,566209,579
2018-01-16$104.62$105.004.3%1.2%3.3%13.6%4.4%0.3%-0.0%-244.7M726.4M-8.2M0.7514.236,3714,802158,706206,742
2018-01-17$104.37$105.004.5%1.3%3.3%17.2%4.4%0.2%-0.2%-166.0M818.5M-8.1M1.4715.393,6975,424163,308207,710
2018-01-18$104.04$105.004.5%1.3%3.4%18.2%4.6%0.2%-0.1%-236.0M961.7M-8.0M2.2015.574,1649,181163,439210,912
2018-01-19$103.76$105.005.1%1.5%3.2%30.4%5.0%0.3%-0.2%-112.1M1.12B-7.8M7.7335.494,49634,768163,162214,875
2018-01-22$103.75$105.005.0%1.4%3.1%28.8%5.1%0.7%-0.1%-140.3M895.2M-7.7M6.4711.981,87912,156116,634189,111
2018-01-23$104.05$105.004.9%1.4%3.3%26.1%5.0%0.7%-0.1%-137.3M831.2M-7.7M2.0413.622,4725,052117,496188,262
2018-01-24$103.82$105.004.8%1.4%3.4%23.8%5.3%0.9%0.0%-137.3M860.6M-7.9M2.5614.261,8614,768118,113189,005
2018-01-25$104.07$105.004.5%1.3%3.5%17.6%4.5%0.3%0.2%-142.4M817.5M-7.9M0.2710.5917,1464,645118,228189,397
2018-01-26$103.78$105.004.7%1.3%3.2%22.2%4.6%0.3%0.1%-96.5M777.8M-8.1M1.9863.752,2994,553133,407188,765
2018-01-29$103.51$105.005.0%1.4%3.2%29.0%4.9%0.4%0.0%-108.7M852.6M-7.7M3.6121.912,0347,348133,601189,215
2018-01-30$103.29$105.005.4%1.6%3.1%38.2%5.4%0.7%-0.3%-105.3M906.9M-7.8M3.1818.622,3857,578133,688192,739
2018-01-31$103.29$105.005.4%1.6%3.1%38.7%7.8%0.3%-0.3%-113.1M969.3M-7.6M4.7139.432,18310,280134,021193,936