IEF Options History — February 2018

In February 2018, IEF traded between $101.59 and $103.01. ATM implied volatility averaged 5.9%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.9% (HV 20d: 5.0%). Max pain ranged from $104.00 to $106.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.92.

Notable Days

  • 2018-02-22: Highest Volume — 62,745 contracts
  • 2018-02-08: Largest IV spike — 21.8% change
  • 2018-02-08: Highest IV Rank — 79.0%
  • 2018-02-08: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.16$101.59$103.01$102.57$102.17
Max Pain$104.21$104.00$106.00$106.00$104.00
ATM IV5.9%5.1%7.2%6.2%5.5%
Expected Move1.6%1.5%2.1%1.6%1.6%
HV 20d5.0%3.7%5.4%3.7%5.4%
HV 60d4.0%3.6%4.1%3.6%4.1%
IV Rank48.2%31.0%79.0%55.7%41.2%
IV Percentile83.5%63.5%98.8%89.7%81.3%
Term Structure-0.7%-1.9%0.5%-0.8%-0.8%
VWIV5.6%4.9%7.3%4.9%4.9%
Skew 25d0.1%-0.5%0.5%0.4%0.1%
Skew 10d-0.8%-2.6%2.4%0.6%-0.0%
Call IV 25d5.7%5.2%7.2%5.2%5.6%
Put IV 25d5.8%5.1%7.2%5.6%5.6%
Bid-Ask Spread %26.847.9849.9429.5139.18
Gamma HHI0.210.180.270.270.20
Net GEX-69.0M-130.6M-25.7M-130.6M-25.7M
Net DEX1.18B855.7M1.42B1.14B1.35B
Net VEX-9.3M-11.2M-6.9M-6.9M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.375.304.621.41
Total Volume33,576.7379,37562,7459,37556,680
Total OI425,637.211330,431491,599330,431491,599

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$102.57$106.006.2%1.6%3.7%55.7%4.9%0.4%-0.8%-130.6M1.14B-6.9M4.6229.511,6687,707134,191196,240
2018-02-02$102.23$106.005.9%1.7%3.7%50.2%5.7%0.5%-0.8%-104.9M1.14B-7.1M0.7713.2932,91825,403134,370197,807
2018-02-05$103.01$104.006.3%1.6%4.9%58.4%5.8%0.5%-0.6%-84.0M855.7M-8.7M5.3047.132,54313,468165,418215,448
2018-02-06$102.64$104.006.5%1.6%5.0%63.3%4.9%-0.5%-1.1%-85.8M895.0M-8.4M1.2537.5317,15821,473160,270214,026
2018-02-07$102.31$104.005.9%1.7%4.9%49.8%5.3%0.0%-1.1%-83.3M1.06B-9.3M2.6718.1410,40627,737175,287229,330
2018-02-08$102.38$104.007.2%2.1%4.9%79.0%7.3%-0.0%-1.6%-84.5M1.04B-10.0M1.6128.8511,36818,275183,916238,621
2018-02-09$102.24$104.006.8%1.9%4.9%68.9%7.3%-0.2%-1.9%-76.4M1.02B-10.0M0.9442.829,1968,619184,675237,781
2018-02-12$102.20$104.006.1%1.8%4.9%54.2%6.0%0.5%-0.2%-81.0M1.11B-9.7M0.6734.3710,2146,852183,559239,406
2018-02-13$102.34$104.005.8%1.7%4.9%48.0%5.6%0.4%-0.3%-77.9M1.07B-9.7M0.7829.1410,8118,453184,844239,056
2018-02-14$101.73$104.005.4%1.5%5.2%38.1%5.8%0.2%0.5%-41.3M1.22B-9.0M0.9622.9020,97220,183186,858237,825
2018-02-15$101.79$104.005.5%1.6%5.2%41.1%5.5%0.3%-0.6%-47.0M1.40B-8.9M0.3922.2121,0428,182197,056248,700
2018-02-16$101.99$104.005.3%1.5%5.3%34.9%5.5%0.1%-0.4%-49.1M1.30B-9.4M0.3735.0521,7758,034197,208248,117
2018-02-20$101.92$104.005.4%1.6%5.3%38.7%5.5%0.2%-0.6%-53.8M1.30B-8.7M0.5711.8313,2317,592195,298239,440
2018-02-21$101.59$104.005.4%1.5%5.1%37.4%5.7%0.1%-0.5%-47.6M1.29B-9.2M0.4149.9413,0905,350196,333239,657
2018-02-22$101.73$104.005.5%1.6%5.2%41.2%5.5%0.4%-0.8%-44.7M1.25B-9.2M2.8015.3616,53146,214196,489240,132
2018-02-23$102.11$104.005.1%1.5%5.3%31.0%5.3%-0.2%-0.2%-66.9M1.28B-11.2M4.707.989,61745,213208,259278,768
2018-02-26$102.24$104.005.6%1.6%5.3%42.5%5.4%-0.5%-0.8%-69.9M1.34B-10.4M5.0911.657,87040,045209,352276,017
2018-02-27$101.94$104.005.6%1.6%5.3%42.8%5.5%0.4%-0.7%-56.2M1.42B-10.8M1.2613.1514,22017,848209,835275,919
2018-02-28$102.17$104.005.5%1.6%5.4%41.2%4.9%0.1%-0.8%-25.7M1.35B-10.7M1.4139.1823,56533,115215,642275,957