IEF Options History — September 2018

In September 2018, IEF traded between $100.79 and $102.37. ATM implied volatility averaged 4.3%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 0.9% (HV 20d: 3.4%). Max pain ranged from $101.00 to $102.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.42.

Notable Days

  • 2018-09-21: Highest Volume — 159,479 contracts
  • 2018-09-10: Largest IV spike — 13.5% change
  • 2018-09-26: Highest IV Rank — 43.2%
  • 2018-09-26: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.46$100.79$102.37$102.18$101.18
Max Pain$101.68$101.00$102.00$102.00$101.00
ATM IV4.3%3.7%5.0%4.1%4.3%
Expected Move1.3%1.2%1.4%1.2%1.2%
HV 20d3.4%3.2%3.7%3.5%3.3%
HV 60d3.4%3.3%3.4%3.3%3.3%
IV Rank26.3%10.5%43.2%19.9%24.8%
IV Percentile35.9%1.2%79.8%13.9%31.3%
Term Structure-0.1%-0.5%0.2%0.1%-0.2%
VWIV4.4%3.5%5.2%4.7%4.6%
Skew 25d-0.1%-1.3%0.5%-1.0%0.0%
Skew 10d-0.5%-2.1%6.8%-0.4%-0.3%
Call IV 25d4.5%4.0%4.8%4.4%4.6%
Put IV 25d4.4%3.2%5.0%3.4%4.6%
Bid-Ask Spread %38.387.7989.9783.5583.81
Gamma HHI0.300.170.540.310.19
Net GEX-121.5M-247.9M410.4M-200.4M-139.4M
Net DEX1.03B490.6M1.41B676.4M979.9M
Net VEX-9.2M-9.7M-8.0M-9.3M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.943.393.393.39
Total Volume75,095.21145,990159,47949,46671,052
Total OI543,729.737508,614646,565509,001563,956

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$102.18$102.004.1%1.2%3.5%19.9%4.7%-1.0%0.1%-200.4M676.4M-9.3M3.3983.5511,26838,198186,573322,428
2018-09-05$102.17$102.004.2%1.2%3.4%22.5%4.6%-1.3%0.1%-198.7M620.7M-9.3M3.2519.8411,79138,281186,416322,198
2018-09-06$102.37$102.004.0%1.2%3.5%18.9%4.2%-0.1%0.2%-199.8M490.6M-9.3M3.2880.0911,67138,283186,933322,088
2018-09-07$101.92$102.003.7%1.2%3.7%10.5%3.5%0.2%-0.1%-239.1M774.1M-9.2M2.9453.1911,69334,333186,953322,090
2018-09-10$101.96$102.004.2%1.3%3.3%23.3%3.7%-0.2%-0.1%-238.2M778.2M-9.0M2.939.1011,69234,298186,925322,049
2018-09-11$101.63$102.004.0%1.2%3.5%16.6%4.0%-0.2%0.2%-241.5M1.00B-8.7M2.5542.8021,27054,138186,924322,078
2018-09-12$101.72$102.004.1%1.2%3.5%20.7%4.2%0.1%0.1%-244.5M891.4M-9.2M2.2327.8620,91946,663196,009325,540
2018-09-13$101.71$102.004.2%1.2%3.3%22.1%4.3%-0.2%-0.1%-247.9M907.5M-9.1M2.2311.3520,93446,595196,162328,963
2018-09-14$101.53$102.004.2%1.2%3.4%21.8%4.1%0.1%0.1%-208.7M1.16B-8.6M2.7625.3518,70551,602196,174328,957
2018-09-17$101.56$102.004.4%1.3%3.4%27.5%4.3%-0.0%-0.1%-201.6M1.06B-9.1M3.1361.6014,95546,756201,549333,940
2018-09-18$101.10$102.004.4%1.3%3.4%28.3%4.6%-0.2%0.1%4.5M1.41B-8.0M1.5436.6734,07052,513202,029334,029
2018-09-19$100.92$102.004.4%1.3%3.4%28.7%4.5%-0.0%-0.0%54.4M1.40B-9.7M1.4447.5936,20851,963223,443352,031
2018-09-20$100.97$102.004.3%1.2%3.2%25.3%4.3%-0.3%-0.2%153.7M1.41B-9.7M1.717.7956,03195,974225,681351,908
2018-09-21$101.01$101.004.8%1.4%3.2%37.0%4.8%0.1%-0.4%410.4M1.39B-9.5M1.8010.6956,994102,485245,884400,681
2018-09-24$100.90$101.004.6%1.3%3.2%33.2%4.8%0.5%-0.3%-148.6M1.18B-9.2M1.077.9640,97443,663214,284342,403
2018-09-25$100.79$101.004.8%1.4%3.2%37.0%4.2%0.4%-0.3%-157.5M1.34B-9.1M0.949.6441,73139,024219,396347,438
2018-09-26$101.04$101.005.0%1.4%3.4%43.2%5.2%0.5%-0.4%-126.8M1.08B-9.7M2.1289.9716,20234,270227,371345,941
2018-09-27$101.13$101.004.8%1.4%3.4%37.3%4.5%-0.1%-0.5%-139.2M1.11B-9.6M3.3020.3316,20453,406227,376346,065
2018-09-28$101.18$101.004.3%1.2%3.3%24.8%4.6%0.0%-0.2%-139.4M979.9M-9.1M3.3983.8116,18954,863227,387336,569