IEF Options History — April 2018

In April 2018, IEF traded between $101.13 and $103.11. ATM implied volatility averaged 4.2%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.3% (HV 20d: 3.9%). Max pain ranged from $102.00 to $103.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.05.

Notable Days

  • 2018-04-24: Highest Volume — 39,322 contracts
  • 2018-04-27: Largest IV drop — 11.7% change
  • 2018-04-25: Highest IV Rank — 25.1%
  • 2018-04-25: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.24$101.13$103.11$103.11$101.70
Max Pain$102.48$102.00$103.00$102.00$102.00
ATM IV4.2%3.9%4.8%4.3%4.0%
Expected Move1.2%1.1%1.4%1.2%1.1%
HV 20d3.9%3.4%4.4%3.4%3.7%
HV 60d4.3%4.1%4.4%4.2%4.1%
IV Rank10.9%3.3%25.1%15.0%6.2%
IV Percentile13.5%1.2%56.3%15.9%3.6%
Term Structure0.1%-0.3%0.5%0.2%0.2%
VWIV4.3%3.2%4.9%4.8%4.3%
Skew 25d0.3%-0.3%1.3%0.0%0.7%
Skew 10d0.3%-1.3%1.9%0.4%-0.2%
Call IV 25d4.1%3.1%4.7%4.6%3.6%
Put IV 25d4.4%4.0%5.1%4.7%4.2%
Bid-Ask Spread %15.186.9631.6320.5817.41
Gamma HHI0.180.170.200.180.17
Net GEX-131.3M-217.3M-74.7M-74.7M-217.3M
Net DEX875.3M316.8M1.55B316.8M1.34B
Net VEX-11.8M-13.0M-10.7M-12.6M-11.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.256.445.333.06
Total Volume16,624.6195,75139,32221,46816,811
Total OI463,850.524445,616497,700445,616497,700

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$103.11$102.004.3%1.2%3.4%15.0%4.8%0.0%0.2%-74.7M316.8M-12.6M5.3320.583,39218,076182,267263,349
2018-04-03$102.80$102.004.1%1.2%3.5%10.0%4.8%-0.3%0.1%-82.2M410.6M-13.0M5.3423.363,33417,788182,829262,980
2018-04-04$102.71$102.004.0%1.2%3.6%7.4%3.2%0.7%0.1%-91.0M424.1M-12.6M5.6217.293,14217,653182,856263,271
2018-04-05$102.45$103.004.2%1.2%3.7%10.3%4.2%-0.1%0.1%-86.3M608.0M-12.4M6.4410.273,13620,211182,897263,343
2018-04-06$102.93$103.003.9%1.2%4.0%3.3%4.4%0.4%-0.0%-88.8M420.1M-12.6M1.299.913,1194,025182,850265,828
2018-04-09$102.88$103.004.0%1.2%3.9%6.2%3.2%0.1%-0.1%-89.8M467.2M-12.5M0.7915.033,2892,603183,322266,540
2018-04-10$102.75$103.004.2%1.2%3.9%11.2%4.4%0.3%0.2%-96.6M528.0M-12.3M1.109.783,3023,626183,399266,590
2018-04-11$102.86$103.004.2%1.2%3.9%10.7%4.6%0.2%0.0%-87.9M487.4M-12.5M1.0324.743,0543,161183,528268,096
2018-04-12$102.47$103.003.9%1.1%4.1%5.4%4.2%-0.0%0.5%-115.6M727.2M-11.6M0.8213.573,1522,599183,357268,539
2018-04-13$102.57$103.004.0%1.1%4.1%5.9%4.3%0.3%0.4%-112.7M747.6M-11.8M0.9714.458,1307,865183,436268,642
2018-04-16$102.51$103.004.3%1.2%4.1%13.2%4.6%0.2%-0.3%-117.6M793.1M-11.8M0.2518.5610,7702,673188,398273,566
2018-04-17$102.61$103.004.0%1.2%4.1%7.6%4.8%1.3%0.3%-121.3M766.0M-11.6M1.4010.489,97813,985187,718274,114
2018-04-18$102.23$103.004.0%1.1%4.2%6.2%4.0%-0.1%0.5%-150.0M959.3M-11.2M0.4516.558,9924,018187,909284,580
2018-04-19$101.89$102.004.0%1.2%4.4%7.6%4.8%0.4%0.1%-148.1M1.10B-11.8M0.4213.088,3993,527188,064286,088
2018-04-20$101.59$102.004.3%1.2%4.2%13.0%4.3%0.2%0.1%-166.0M1.26B-11.4M0.426.968,5473,585188,249285,974
2018-04-23$101.45$102.004.3%1.2%4.1%15.1%4.3%0.3%-0.3%-173.4M1.27B-11.0M1.0410.658,3238,656182,950281,789
2018-04-24$101.37$102.004.5%1.3%4.0%18.7%4.5%0.5%-0.1%-165.0M1.36B-10.7M1.8014.6014,06825,254183,016282,092
2018-04-25$101.13$102.004.8%1.4%3.4%25.1%4.9%0.0%0.0%-176.1M1.55B-11.1M1.0231.6314,03214,347188,953301,129
2018-04-26$101.40$102.004.6%1.3%3.6%21.5%4.6%0.8%-0.2%-182.7M1.47B-11.3M0.6911.1914,0869,693188,942304,057
2018-04-27$101.62$102.004.1%1.2%3.6%8.6%3.8%0.4%-0.1%-214.2M1.38B-11.4M3.738.803,11411,602188,972308,682
2018-04-30$101.70$102.004.0%1.1%3.7%6.2%4.3%0.7%0.2%-217.3M1.34B-11.1M3.0617.414,13712,674188,955308,745