IEF Options History — June 2018

In June 2018, IEF traded between $101.42 and $102.66. ATM implied volatility averaged 4.8%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded below realized volatility by 1.0% (HV 20d: 5.9%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.21.

Notable Days

  • 2018-06-15: Highest Volume — 131,848 contracts
  • 2018-06-11: Largest IV spike — 45.4% change
  • 2018-06-12: Highest IV Rank — 82.4%
  • 2018-06-12: Largest Expected Move — 1.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.95$101.42$102.66$101.94$102.52
Max Pain$101.10$101.00$103.00$103.00$101.00
ATM IV4.8%4.2%7.2%4.6%4.3%
Expected Move1.3%1.2%1.3%1.3%1.2%
HV 20d5.9%3.6%6.6%6.2%3.6%
HV 60d4.7%4.6%4.8%4.6%4.6%
IV Rank30.0%15.8%82.4%22.7%19.0%
IV Percentile50.2%17.9%99.2%52.0%26.2%
Term Structure-0.0%-0.4%0.3%-0.1%0.0%
VWIV4.2%3.4%5.3%4.5%4.0%
Skew 25d0.1%-0.9%0.5%0.0%-0.9%
Skew 10d-0.6%-2.1%1.3%-0.4%-1.9%
Call IV 25d4.5%4.2%4.9%4.9%4.5%
Put IV 25d4.6%3.6%4.9%4.9%3.6%
Bid-Ask Spread %22.297.2580.779.3780.77
Gamma HHI0.150.130.200.140.14
Net GEX-127.0M-182.8M-23.6M-140.6M-127.6M
Net DEX871.5M269.1M1.47B972.8M373.1M
Net VEX-11.0M-11.6M-10.4M-11.2M-10.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.211.187.202.072.24
Total Volume41,98623,673131,84842,90026,519
Total OI543,326.667483,131602,458575,185484,888

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$101.94$103.004.6%1.3%6.2%22.7%4.5%0.0%-0.1%-140.6M972.8M-11.2M2.079.3713,95628,944225,453349,732
2018-06-04$101.59$101.005.3%1.3%6.3%38.2%4.2%-0.2%0.1%-168.0M1.25B-10.6M2.2811.1411,70726,713224,938353,099
2018-06-05$101.84$101.005.1%1.3%6.4%34.4%4.1%0.3%-0.2%-130.3M1.07B-10.9M1.8010.2812,49922,560232,473350,872
2018-06-06$101.42$101.005.2%1.3%6.5%36.5%4.6%0.1%0.2%-137.8M1.29B-10.7M1.417.9622,55731,733232,601346,304
2018-06-07$101.78$101.005.4%1.3%6.6%41.9%4.5%0.3%-0.1%-104.6M1.05B-11.4M1.399.6622,66631,609242,909356,205
2018-06-08$101.76$101.004.9%1.3%6.5%28.3%4.2%-0.0%-0.1%-87.0M1.04B-11.5M1.4010.0722,70031,782242,989356,046
2018-06-11$101.61$101.007.0%1.3%6.6%79.9%4.1%0.3%-0.1%-109.0M1.20B-11.6M1.399.7022,36931,061243,160356,199
2018-06-12$101.58$101.007.2%1.3%6.5%82.4%4.3%0.4%-0.0%-115.7M1.27B-11.0M1.1810.6122,02425,961243,510356,248
2018-06-13$101.44$101.004.5%1.3%6.2%19.5%4.5%0.4%0.0%-137.8M1.47B-10.4M1.5141.7717,20225,933243,508356,282
2018-06-14$101.73$101.004.3%1.2%6.2%18.1%4.2%0.2%0.0%-45.8M1.33B-10.5M1.6412.1817,08527,966243,616356,239
2018-06-15$101.83$101.004.4%1.3%6.1%21.3%4.5%0.5%-0.2%-23.6M1.07B-10.5M1.647.2549,99381,855244,179358,279
2018-06-18$101.86$101.004.4%1.3%6.0%21.4%4.6%0.4%0.1%-182.8M751.2M-11.2M7.2012.037,57954,581176,778317,143
2018-06-19$102.15$101.004.3%1.2%6.1%18.3%3.7%0.2%0.0%-166.0M675.6M-10.7M2.377.957,19617,054176,891317,151
2018-06-20$101.84$101.004.2%1.2%6.2%15.8%3.4%-0.1%0.2%-169.6M789.1M-10.5M2.4346.327,04617,146176,531316,587
2018-06-21$102.12$101.004.5%1.3%6.1%23.9%4.0%-0.1%-0.0%-139.6M594.7M-11.4M2.4629.056,89316,965176,546316,491
2018-06-22$102.10$101.004.2%1.2%6.1%16.1%3.9%0.2%-0.2%-160.3M564.3M-11.1M2.487.536,81716,879176,602316,490
2018-06-25$102.25$101.004.6%1.3%5.9%25.6%5.3%-0.2%-0.4%-143.9M510.5M-11.4M2.4462.446,88616,808176,604316,498
2018-06-26$102.30$101.004.3%1.2%4.4%19.3%4.2%0.1%0.3%-139.2M406.7M-10.8M2.439.066,94716,858176,609306,522
2018-06-27$102.66$101.004.4%1.3%4.3%22.3%3.9%-0.0%0.0%-112.8M269.1M-11.3M2.3755.397,03116,642176,729306,518
2018-06-28$102.58$101.004.5%1.3%4.3%24.9%4.4%0.1%-0.2%-125.3M372.5M-11.1M2.2517.557,69617,288176,762306,679
2018-06-29$102.52$101.004.3%1.2%3.6%19.0%4.0%-0.9%0.0%-127.6M373.1M-10.6M2.2480.778,17618,343177,466307,422