IEF Options History — August 2018

In August 2018, IEF traded between $101.30 and $102.89. ATM implied volatility averaged 4.2%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 0.7% (HV 20d: 3.5%). Max pain ranged from $101.00 to $103.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 2.83.

Notable Days

2018-08-17: Highest Volume — 82,254 contracts
2018-08-13: Largest IV spike — 46.7% change
2018-08-13: Highest IV Rank — 39.4%
2018-08-01: Largest Expected Move — 1.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.28	$101.30	$102.89	$101.30	$102.62
Max Pain	$101.70	$101.00	$103.00	$103.00	$102.00
ATM IV	4.2%	3.3%	4.9%	4.9%	4.3%
Expected Move	1.2%	1.1%	1.4%	1.4%	1.2%
HV 20d	3.5%	3.1%	4.0%	3.3%	3.1%
HV 60d	4.1%	3.2%	4.6%	4.6%	3.2%
IV Rank	22.0%	0.0%	39.4%	34.2%	26.3%
IV Percentile	28.8%	0.0%	73.4%	73.4%	33.3%
Term Structure	0.1%	-0.2%	0.4%	-0.2%	-0.1%
VWIV	4.6%	3.1%	10.7%	10.7%	3.8%
Skew 25d	-0.1%	-1.0%	0.8%	0.7%	-1.0%
Skew 10d	-0.4%	-2.0%	1.5%	1.2%	-2.0%
Call IV 25d	4.4%	3.7%	5.0%	4.5%	4.6%
Put IV 25d	4.3%	3.3%	5.1%	5.1%	3.6%
Bid-Ask Spread %	37.79	6.33	108.28	108.28	58.31
Gamma HHI	0.27	0.18	0.44	0.21	0.27
Net GEX	-166.3M	-306.0M	-84.6M	-125.6M	-172.1M
Net DEX	661.2M	401.8M	1.02B	874.3M	472.2M
Net VEX	-9.5M	-10.2M	-9.2M	-10.2M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.83	1.82	4.66	2.13	2.52
Total Volume	38,922.957	26,549	82,254	28,969	52,346
Total OI	460,498.435	441,643	502,563	441,769	502,563

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-08-01	$101.30	$103.00	4.9%	1.4%	3.3%	34.2%	10.7%	0.7%	-0.2%	-125.6M	874.3M	-10.2M	2.13	108.28	9,244	19,725	178,777	262,992
2018-08-02	$101.46	$103.00	4.8%	1.4%	3.3%	33.3%	5.4%	0.7%	-0.2%	-132.1M	1.02B	-9.4M	2.45	59.31	8,170	20,039	178,915	262,886
2018-08-03	$101.72	$103.00	4.2%	1.2%	3.5%	15.1%	3.9%	0.8%	0.0%	-147.5M	963.4M	-9.5M	2.48	75.56	8,123	20,134	178,882	262,870
2018-08-06	$101.79	$101.00	4.3%	1.2%	3.4%	17.1%	4.4%	0.3%	0.4%	-170.7M	868.1M	-9.3M	2.56	11.08	7,863	20,115	178,640	263,003
2018-08-07	$101.58	$101.00	4.4%	1.2%	3.5%	20.4%	4.4%	0.5%	0.2%	-166.6M	1.01B	-9.2M	2.06	7.77	8,723	18,011	178,821	263,143
2018-08-08	$101.61	$101.00	4.3%	1.2%	3.4%	17.4%	3.9%	0.0%	0.1%	-177.0M	972.1M	-9.3M	2.04	10.33	8,729	17,832	178,856	263,208
2018-08-09	$101.90	$101.00	3.9%	1.2%	3.6%	7.0%	4.3%	0.2%	-0.0%	-211.6M	826.1M	-9.4M	4.62	9.63	8,806	40,694	178,856	263,308
2018-08-10	$102.38	$101.00	3.3%	1.2%	3.9%	0.0%	3.3%	0.0%	-0.0%	-189.4M	652.0M	-9.5M	4.66	66.32	9,085	42,376	178,990	283,966
2018-08-13	$102.33	$101.00	4.8%	1.3%	3.9%	39.4%	3.1%	-0.1%	0.2%	-200.6M	671.7M	-9.7M	4.54	53.34	8,907	40,397	179,243	287,885
2018-08-14	$102.22	$101.00	3.3%	1.2%	3.9%	0.3%	4.2%	-0.1%	0.2%	-306.0M	737.2M	-9.3M	4.54	9.32	8,853	40,218	179,253	285,419
2018-08-15	$102.49	$101.00	4.4%	1.3%	4.0%	28.6%	5.0%	-0.1%	0.2%	-164.4M	565.5M	-9.3M	4.34	68.31	8,876	38,487	179,306	287,461
2018-08-16	$102.43	$101.00	4.4%	1.3%	3.9%	28.2%	4.3%	-0.1%	0.1%	-184.4M	632.8M	-9.2M	4.17	6.33	9,200	38,408	179,381	287,842
2018-08-17	$102.46	$101.00	4.2%	1.2%	3.7%	23.0%	4.4%	-0.4%	0.3%	-84.6M	596.4M	-9.2M	1.82	52.21	29,149	53,105	179,146	287,832
2018-08-20	$102.80	$102.00	4.6%	1.3%	3.4%	32.7%	4.5%	-0.6%	0.1%	-131.8M	422.4M	-10.0M	2.00	10.58	9,023	18,061	177,634	283,253
2018-08-21	$102.66	$102.00	4.3%	1.2%	3.5%	25.9%	4.5%	-0.3%	0.3%	-154.4M	515.4M	-9.4M	2.05	9.22	8,845	18,158	177,900	283,302
2018-08-22	$102.87	$102.00	4.3%	1.2%	3.5%	26.5%	7.5%	-0.5%	0.2%	-118.8M	480.9M	-10.1M	2.05	107.06	8,761	17,983	177,956	283,344
2018-08-23	$102.89	$102.00	4.3%	1.2%	3.4%	26.1%	4.4%	-0.1%	0.1%	-142.4M	405.6M	-9.5M	2.02	6.78	8,783	17,766	177,974	283,714
2018-08-24	$102.87	$102.00	4.2%	1.2%	3.4%	22.1%	4.2%	-0.2%	0.2%	-147.8M	401.8M	-9.5M	2.02	6.36	8,831	17,812	177,963	283,803
2018-08-27	$102.68	$102.00	4.2%	1.2%	3.5%	22.9%	4.1%	-0.4%	-0.1%	-167.9M	502.5M	-9.3M	2.05	7.54	11,126	22,807	177,983	284,010
2018-08-28	$102.44	$102.00	4.2%	1.2%	3.6%	21.9%	4.1%	0.2%	-0.1%	-169.7M	579.7M	-9.7M	2.52	60.89	8,986	22,671	179,602	286,656
2018-08-29	$102.38	$102.00	3.9%	1.1%	3.1%	16.1%	3.9%	-0.8%	0.3%	-183.7M	555.6M	-9.7M	2.87	54.65	13,058	37,536	180,605	286,656
2018-08-30	$102.64	$102.00	4.1%	1.2%	3.2%	21.0%	4.3%	-0.8%	0.2%	-175.7M	482.2M	-9.7M	2.56	10.05	13,866	35,540	180,903	316,762
2018-08-31	$102.62	$102.00	4.3%	1.2%	3.1%	26.3%	3.8%	-1.0%	-0.1%	-172.1M	472.2M	-9.8M	2.52	58.31	14,867	37,479	183,116	319,447