IEF Options History — May 2018

In May 2018, IEF traded between $100.36 and $103.00. ATM implied volatility averaged 4.4%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.6% (HV 20d: 3.8%). Max pain ranged from $102.00 to $102.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2018-05-10: Highest Volume — 56,233 contracts
  • 2018-05-29: Largest IV spike — 50.9% change
  • 2018-05-29: Highest IV Rank — 53.6%
  • 2018-05-29: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.40$100.36$103.00$101.38$102.59
Max Pain$102.00$102.00$102.00$102.00$102.00
ATM IV4.4%3.6%5.9%4.4%5.1%
Expected Move1.3%1.1%1.7%1.3%1.4%
HV 20d3.8%3.2%5.7%3.7%5.7%
HV 60d3.9%3.6%4.4%4.1%4.4%
IV Rank18.1%0.0%53.6%15.8%33.0%
IV Percentile30.7%0.0%95.6%24.2%77.0%
Term Structure-0.3%-0.9%0.2%-0.1%-0.4%
VWIV4.5%3.8%6.0%4.1%5.3%
Skew 25d0.3%-0.1%0.7%-0.0%0.3%
Skew 10d0.1%-1.6%1.9%0.2%-0.3%
Call IV 25d4.4%3.8%5.8%4.0%5.4%
Put IV 25d4.7%3.9%6.0%3.9%5.7%
Bid-Ask Spread %16.706.8949.938.879.04
Gamma HHI0.180.150.250.170.16
Net GEX-196.1M-292.2M-96.0M-203.1M-129.5M
Net DEX1.37B374.2M1.96B1.32B672.5M
Net VEX-11.0M-12.3M-10.0M-11.8M-11.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.562.881.581.76
Total Volume33,139.0917,87456,23316,30240,722
Total OI531,553.955494,027575,112499,737575,112

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$101.38$102.004.4%1.3%3.7%15.8%4.1%-0.0%-0.1%-203.1M1.32B-11.8M1.588.876,3279,975190,060309,677
2018-05-02$101.38$102.004.3%1.2%3.7%12.9%4.7%-0.1%-0.1%-217.1M1.34B-11.2M1.5649.936,0579,427191,845309,503
2018-05-03$101.62$102.004.2%1.2%3.8%10.3%3.8%0.3%-0.1%-212.9M1.22B-11.9M0.5616.626,2463,525191,868309,443
2018-05-04$101.63$102.003.6%1.1%3.3%0.0%3.8%0.3%-0.2%-224.8M1.29B-11.5M0.818.854,3563,518192,617309,514
2018-05-07$101.59$102.004.0%1.1%3.3%9.1%4.3%0.4%-0.1%-220.7M1.36B-11.2M1.5322.804,5126,889192,715309,537
2018-05-08$101.41$102.004.2%1.2%3.3%14.1%4.4%0.2%-0.1%-224.1M1.36B-11.6M0.8017.074,6203,692192,716313,078
2018-05-09$101.18$102.004.3%1.2%3.3%14.4%4.3%0.2%-0.4%-270.7M1.47B-10.8M1.1410.0314,56616,543192,838313,325
2018-05-10$101.38$102.004.2%1.2%3.2%13.0%4.1%0.4%-0.3%-220.5M1.30B-11.5M0.9013.0829,53826,695188,279305,748
2018-05-11$101.40$102.003.9%1.1%3.2%6.7%4.0%0.3%-0.1%-218.5M1.30B-11.6M1.2417.5420,59025,432201,182315,681
2018-05-14$101.20$102.004.1%1.2%3.2%10.6%4.3%0.3%-0.1%-261.4M1.44B-10.7M1.5111.5920,66331,284198,953315,851
2018-05-15$100.63$102.004.2%1.2%3.6%13.9%4.3%0.6%-0.1%-245.7M1.88B-10.0M2.2124.5617,39738,471198,899321,350
2018-05-16$100.45$102.004.8%1.4%3.5%28.2%4.6%0.3%-0.7%-204.8M1.90B-10.1M2.8816.988,25323,778197,610338,683
2018-05-17$100.36$102.004.5%1.3%3.4%20.9%4.9%0.1%-0.4%-182.0M1.96B-10.3M0.8922.7524,02721,336200,384346,409
2018-05-18$100.76$102.004.5%1.3%3.7%19.7%3.9%0.7%-0.2%-292.2M1.91B-10.2M0.5915.6923,34413,879206,371346,502
2018-05-21$100.83$102.004.5%1.3%3.7%19.1%4.3%0.6%-0.3%-178.7M1.69B-10.1M0.858.4416,25813,782205,530329,873
2018-05-22$100.80$102.004.4%1.3%3.7%17.2%4.1%0.5%-0.4%-157.9M1.67B-10.3M1.4112.9815,57621,988215,509329,862
2018-05-23$101.25$102.004.5%1.3%3.9%19.2%4.4%0.4%-0.6%-151.5M1.41B-11.3M1.7414.5013,65623,789224,536338,900
2018-05-24$101.47$102.004.4%1.3%3.9%17.1%4.9%0.2%-0.3%-139.1M1.41B-10.4M1.7611.4213,51923,823224,628340,864
2018-05-25$101.88$102.003.9%1.1%4.1%6.8%4.2%0.1%0.2%-135.5M1.18B-10.8M1.649.7115,20124,923224,675340,911
2018-05-29$103.00$102.005.9%1.7%5.6%53.6%6.0%0.1%-0.9%-96.0M374.2M-12.3M1.8538.1114,61027,059225,332344,054
2018-05-30$102.57$102.005.5%1.6%5.7%43.1%5.7%0.3%-0.8%-126.5M764.4M-11.5M1.826.8913,90825,306225,750348,013
2018-05-31$102.59$102.005.1%1.4%5.7%33.0%5.3%0.3%-0.4%-129.5M672.5M-11.5M1.769.0414,74425,978225,760349,352