IEF Options History — July 2018

In July 2018, IEF traded between $101.61 and $102.61. ATM implied volatility averaged 4.5%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.4% (HV 20d: 3.1%). 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 0 of 21 days. Put/call ratio averaged 2.80.

Notable Days

  • 2018-07-09: Highest Volume — 52,928 contracts
  • 2018-07-03: Largest IV spike — 15.0% change
  • 2018-07-03: Highest IV Rank — 39.5%
  • 2018-07-03: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.19$101.61$102.61$102.26$101.78
Max Pain$102.52$101.00$103.00$101.00$103.00
ATM IV4.5%4.0%5.1%4.4%4.4%
Expected Move1.3%1.2%1.4%1.3%1.3%
HV 20d3.1%2.8%3.5%3.5%3.0%
HV 60d4.5%4.4%4.6%4.5%4.5%
IV Rank23.4%9.8%39.5%21.0%20.4%
IV Percentile41.6%5.6%78.6%31.3%32.1%
Term Structure-0.3%-0.9%-0.1%-0.1%-0.2%
VWIV4.6%2.6%8.3%4.2%5.3%
Skew 25d-0.1%-0.8%0.4%-0.6%-0.3%
Skew 10d-0.9%-2.5%1.2%0.1%-2.5%
Call IV 25d4.6%4.1%5.1%4.3%4.9%
Put IV 25d4.4%3.7%4.9%3.7%4.6%
Bid-Ask Spread %45.149.1583.8563.4674.53
Gamma HHI0.200.130.250.130.24
Net GEX-160.5M-236.7M-102.2M-120.3M-134.7M
Net DEX589.3M301.4M1.05B346.1M973.4M
Net VEX-10.1M-11.1M-9.3M-11.1M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.800.655.622.062.45
Total Volume36,216.95225,00952,92825,00932,919
Total OI483,115.333420,062521,293486,279440,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$102.26$101.004.4%1.3%3.5%21.0%4.2%-0.6%-0.1%-120.3M346.1M-11.1M2.0663.468,16616,843177,243309,036
2018-07-03$102.51$101.005.1%1.4%3.5%39.5%5.5%0.4%-0.4%-102.2M379.7M-10.8M2.1763.838,01117,362177,201309,073
2018-07-05$102.52$102.004.4%1.3%3.1%22.4%4.2%-0.1%-0.1%-112.3M301.4M-10.9M2.5068.417,96019,940177,207309,027
2018-07-06$102.61$102.004.3%1.3%2.9%18.2%4.5%0.1%-0.2%-109.9M307.9M-10.7M5.6249.747,92744,554177,183308,203
2018-07-09$102.36$102.004.0%1.3%3.1%9.8%4.7%0.4%-0.5%-177.0M394.6M-10.7M5.1910.228,55744,371177,187333,066
2018-07-10$102.28$102.004.3%1.3%3.0%18.2%4.8%-0.1%-0.2%-198.2M539.5M-10.3M5.159.888,59344,292176,588333,107
2018-07-11$102.46$102.004.7%1.3%3.1%28.9%4.4%0.2%-0.8%-183.1M394.1M-10.4M2.4936.857,80219,413176,583333,125
2018-07-12$102.41$102.004.8%1.4%3.0%33.3%4.5%0.4%-0.9%-175.7M412.2M-10.5M2.439.677,94419,292176,627333,108
2018-07-13$102.59$103.004.4%1.3%2.9%21.6%4.5%0.0%-0.1%-165.9M331.6M-10.6M3.2828.598,85629,033176,621333,102
2018-07-16$102.42$103.004.4%1.2%3.0%20.0%4.3%-0.1%-0.3%-215.5M470.1M-10.0M3.6211.698,02429,084177,638343,118
2018-07-17$102.37$103.004.4%1.3%3.0%20.3%4.2%0.1%-0.7%-198.6M383.7M-10.1M3.6351.028,01529,088177,826343,191
2018-07-18$102.28$103.004.1%1.2%2.9%11.6%2.6%-0.0%-0.2%-236.7M477.4M-10.1M3.7450.527,78729,102177,841343,181
2018-07-19$102.54$103.004.5%1.3%2.8%24.7%4.5%0.0%-0.4%-196.2M391.7M-9.8M2.5183.857,57919,049178,052343,133
2018-07-20$102.21$103.004.4%1.3%2.9%21.4%4.6%-0.1%-0.2%-206.9M431.7M-9.9M0.6568.2928,98318,943178,064343,229
2018-07-23$101.73$103.004.7%1.3%3.3%29.2%3.4%-0.6%-0.3%-162.6M1.05B-9.5M2.4438.607,96619,433159,603260,878
2018-07-24$101.82$103.004.5%1.3%3.3%23.8%5.5%0.2%-0.2%-162.6M1.00B-9.7M0.8256.0627,97323,026159,150260,912
2018-07-25$101.77$103.004.4%1.3%3.3%20.2%4.1%-0.5%-0.3%-139.2M895.9M-9.8M0.7316.6927,95420,497179,231264,972
2018-07-26$101.61$103.004.8%1.4%3.0%33.3%3.7%-0.8%-0.6%-116.8M973.8M-9.5M2.569.157,94520,303179,238261,357
2018-07-27$101.74$103.004.6%1.3%3.1%26.0%8.3%-0.6%-0.3%-121.3M938.0M-9.4M2.4482.758,31120,296179,144261,401
2018-07-30$101.64$103.004.6%1.3%3.1%27.2%4.1%-0.5%-0.2%-135.0M980.6M-9.3M2.2664.259,01920,344179,170261,421
2018-07-31$101.78$103.004.4%1.3%3.0%20.4%5.3%-0.3%-0.2%-134.7M973.4M-9.3M2.4574.539,54023,379178,959261,426