IEF Options History — March 2018

In March 2018, IEF traded between $101.92 and $103.17. ATM implied volatility averaged 4.7%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.8% (HV 20d: 3.9%). Max pain ranged from $102.00 to $104.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2018-03-01: Highest Volume — 52,065 contracts
  • 2018-03-13: Largest IV drop — 13.3% change
  • 2018-03-06: Highest IV Rank — 49.1%
  • 2018-03-01: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.36$101.92$103.17$102.46$103.17
Max Pain$102.19$102.00$104.00$104.00$102.00
ATM IV4.7%4.0%5.9%5.6%4.0%
Expected Move1.3%1.1%1.6%1.6%1.1%
HV 20d3.9%3.3%5.6%5.6%3.7%
HV 60d4.2%4.0%4.3%4.1%4.3%
IV Rank23.6%6.6%49.1%43.2%6.9%
IV Percentile38.3%2.0%88.5%84.5%3.2%
Term Structure-0.0%-0.8%0.4%-0.8%0.2%
VWIV4.7%3.9%6.5%5.7%4.1%
Skew 25d0.0%-0.5%0.4%0.2%-0.1%
Skew 10d-0.1%-1.4%2.1%-1.0%-0.2%
Call IV 25d4.6%3.9%5.8%5.6%4.4%
Put IV 25d4.6%3.4%5.8%5.8%4.3%
Bid-Ask Spread %21.219.9952.409.9912.62
Gamma HHI0.200.180.230.210.20
Net GEX-54.6M-103.9M11.1M-32.2M-101.1M
Net DEX966.0M440.8M1.34B1.07B440.8M
Net VEX-11.9M-12.9M-10.9M-11.5M-12.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.832.960.832.96
Total Volume35,935.90524,88752,06552,06524,887
Total OI484,810401,210555,744514,517446,044

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$102.46$104.005.6%1.6%5.6%43.2%5.7%0.2%-0.8%-32.2M1.07B-11.5M0.839.9928,49923,566230,819283,698
2018-03-02$102.07$104.005.6%1.6%5.1%42.5%5.4%-0.1%-0.7%-50.8M1.26B-11.6M1.3821.8215,31321,191226,137284,037
2018-03-05$101.92$102.005.8%1.4%5.0%47.3%3.9%0.4%-0.1%-49.0M1.32B-11.5M1.4014.6215,25921,378228,651286,853
2018-03-06$101.95$102.005.9%1.4%4.1%49.1%4.8%0.1%0.1%-61.7M1.34B-10.9M0.9615.0722,34021,426228,712287,328
2018-03-07$101.94$102.005.6%1.4%4.0%43.4%4.5%0.1%-0.1%-29.9M1.26B-11.6M1.3411.7816,33621,824234,821287,138
2018-03-08$102.13$102.005.3%1.4%3.9%34.8%4.8%0.2%-0.1%-29.4M1.28B-11.2M1.2414.8017,27721,360236,908287,476
2018-03-09$101.93$102.004.9%1.3%3.9%25.6%4.0%0.2%0.1%-11.4M1.27B-11.5M1.3412.0115,77421,139237,937288,007
2018-03-12$102.15$102.005.4%1.3%4.0%38.5%5.1%0.1%-0.1%8.3M1.21B-11.7M1.7622.1410,71018,903238,024288,490
2018-03-13$102.32$102.004.7%1.3%4.0%22.2%4.7%0.2%-0.0%11.1M1.08B-11.5M1.4228.2817,68825,040238,110289,145
2018-03-14$102.52$102.004.2%1.2%4.1%11.6%6.5%0.1%0.0%-1.7M1.01B-12.4M1.6129.8512,36119,888253,115295,153
2018-03-15$102.52$102.004.3%1.2%3.4%13.4%4.2%-0.2%0.2%-29.0M1.03B-12.1M1.6413.1312,40720,337260,344295,400
2018-03-16$102.34$102.004.3%1.2%3.5%14.1%4.7%0.1%0.4%-82.4M1.08B-11.9M1.5312.4213,21920,176260,288295,186
2018-03-19$102.28$102.004.7%1.4%3.4%24.0%5.0%0.1%-0.1%-74.2M760.4M-12.0M1.6015.6611,11317,814162,470238,740
2018-03-20$102.05$102.004.5%1.3%3.5%17.7%4.8%0.0%0.1%-74.1M930.7M-11.5M1.3215.9720,97227,776162,623238,864
2018-03-21$102.14$102.004.3%1.2%3.3%12.5%4.7%0.1%0.2%-77.6M925.3M-11.7M1.3651.0016,45322,432172,744246,361
2018-03-22$102.57$102.004.0%1.1%3.6%6.6%4.0%-0.1%0.0%-71.0M631.6M-12.7M1.1223.1417,25819,281178,149251,555
2018-03-23$102.71$102.004.2%1.2%3.4%10.4%4.2%-0.5%0.2%-95.2M618.6M-12.8M1.6639.1310,41817,295173,122253,692
2018-03-26$102.42$102.004.2%1.2%3.5%11.4%4.7%-0.5%-0.1%-103.9M656.1M-12.5M1.5513.9316,70325,965173,351253,790
2018-03-27$102.98$102.004.2%1.2%3.8%11.4%4.2%0.4%0.2%-91.7M509.8M-12.9M2.7552.406,82818,785179,882261,614
2018-03-28$102.98$102.004.1%1.2%3.8%8.1%4.3%0.0%0.3%-100.2M589.3M-12.5M2.8115.557,15520,108181,561264,671
2018-03-29$103.17$102.004.0%1.1%3.7%6.9%4.1%-0.1%0.2%-101.1M440.8M-12.5M2.9612.626,28818,599181,675264,369