IEF Options History — October 2018

In October 2018, IEF traded between $99.74 and $101.22. ATM implied volatility averaged 5.1%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.0% (HV 20d: 4.1%). Max pain ranged from $101.00 to $101.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 4.72.

Notable Days

2018-10-05: Highest Volume — 120,164 contracts
2018-10-12: Largest IV drop — 30.0% change
2018-10-11: Highest IV Rank — 95.7%
2018-10-11: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.40	$99.74	$101.22	$100.73	$100.61
Max Pain	$101.00	$101.00	$101.00	$101.00	$101.00
ATM IV	5.1%	4.4%	7.0%	4.6%	5.3%
Expected Move	1.5%	1.3%	2.0%	1.3%	1.5%
HV 20d	4.1%	3.5%	4.7%	3.5%	3.8%
HV 60d	3.7%	3.4%	3.9%	3.4%	3.8%
IV Rank	47.3%	27.9%	95.7%	33.0%	49.9%
IV Percentile	76.7%	44.0%	98.8%	60.7%	81.3%
Term Structure	0.4%	-0.7%	8.5%	-0.4%	0.5%
VWIV	4.9%	2.9%	13.4%	4.4%	4.6%
Skew 25d	0.3%	-2.3%	6.2%	-0.4%	-1.0%
Skew 10d	-1.0%	-15.1%	5.8%	-1.3%	-2.8%
Call IV 25d	5.7%	4.4%	18.6%	4.8%	5.7%
Put IV 25d	6.0%	4.3%	24.8%	4.4%	4.7%
Bid-Ask Spread %	48.55	7.38	123.58	15.99	32.85
Gamma HHI	0.22	0.14	0.34	0.20	0.19
Net GEX	-164.2M	-244.5M	-118.6M	-152.5M	-118.6M
Net DEX	1.29B	805.4M	1.77B	1.11B	1.08B
Net VEX	-8.7M	-10.4M	-8.0M	-8.6M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.72	1.57	15.85	1.83	13.75
Total Volume	80,240.783	45,716	120,164	45,716	49,200
Total OI	600,904.391	521,727	693,688	559,126	521,727

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
2018-10-01	$100.73	$101.00	4.6%	1.3%	3.5%	33.0%	4.4%	-0.4%	-0.4%	-152.5M	1.11B	-8.6M	1.83	15.99	16,164	29,552	227,380	331,746
2018-10-02	$100.98	$101.00	4.4%	1.3%	3.5%	27.9%	4.6%	0.1%	-0.1%	-152.6M	805.4M	-9.1M	1.82	9.43	16,205	29,570	227,397	320,706
2018-10-03	$100.28	$101.00	5.2%	1.5%	4.1%	48.6%	5.3%	-0.1%	-0.7%	-128.5M	1.22B	-8.5M	1.57	87.07	30,862	48,459	227,456	320,632
2018-10-04	$100.04	$101.00	5.8%	1.5%	4.0%	64.2%	13.4%	0.4%	-0.1%	-127.6M	1.35B	-8.7M	2.28	88.42	29,775	67,752	242,280	336,041
2018-10-05	$99.74	$101.00	5.3%	1.5%	3.9%	51.1%	5.5%	0.9%	-0.1%	-149.4M	1.69B	-8.0M	2.38	42.13	35,598	84,566	242,312	401,004
2018-10-08	$99.78	$101.00	5.3%	1.5%	3.9%	50.6%	5.2%	0.8%	0.1%	-171.2M	1.69B	-8.2M	4.92	57.76	17,488	86,064	245,369	414,462
2018-10-09	$99.91	$101.00	5.3%	1.4%	3.9%	50.1%	5.8%	1.2%	0.5%	-178.3M	1.61B	-8.4M	5.17	23.42	14,587	75,348	245,393	413,754
2018-10-10	$99.95	$101.00	5.5%	1.6%	3.9%	56.3%	5.2%	0.3%	-0.0%	-172.1M	1.43B	-9.4M	4.38	89.03	17,701	77,516	245,462	413,662
2018-10-11	$100.43	$101.00	7.0%	2.0%	4.4%	95.7%	6.3%	6.2%	8.5%	-120.3M	1.08B	-10.4M	5.01	123.58	14,623	73,272	245,741	413,928
2018-10-12	$100.36	$101.00	4.9%	1.4%	4.3%	41.6%	5.0%	0.3%	-0.1%	-237.0M	1.41B	-8.8M	4.58	41.94	18,614	85,179	245,782	426,421
2018-10-15	$100.32	$101.00	4.7%	1.4%	4.3%	36.0%	3.0%	0.4%	0.2%	-230.1M	1.50B	-8.6M	3.94	86.15	18,980	74,867	246,200	426,446
2018-10-16	$100.33	$101.00	4.5%	1.3%	4.1%	31.7%	3.1%	0.2%	0.4%	-244.5M	1.51B	-8.7M	4.52	15.66	18,760	84,747	246,403	427,210
2018-10-17	$100.16	$101.00	4.4%	1.3%	4.1%	29.2%	2.9%	0.5%	0.5%	-217.3M	1.65B	-8.6M	4.61	29.30	18,312	84,470	246,397	447,199
2018-10-18	$100.24	$101.00	4.7%	1.3%	4.1%	35.5%	3.1%	0.4%	0.3%	-213.3M	1.66B	-8.5M	4.60	71.55	18,323	84,315	246,469	447,122
2018-10-19	$100.11	$101.00	4.7%	1.3%	4.1%	34.6%	4.9%	0.2%	0.0%	-216.6M	1.77B	-8.5M	4.36	13.90	18,269	79,730	246,519	447,169
2018-10-22	$100.14	$101.00	4.6%	1.3%	4.1%	33.6%	3.7%	0.3%	0.4%	-162.7M	1.33B	-8.2M	3.85	7.38	14,477	55,717	192,293	338,449
2018-10-23	$100.36	$101.00	5.0%	1.4%	4.2%	42.9%	5.1%	0.2%	0.1%	-155.2M	1.22B	-8.4M	4.08	13.68	17,408	70,983	192,326	338,457
2018-10-24	$100.81	$101.00	5.3%	1.5%	4.4%	49.9%	5.7%	-0.5%	0.0%	-129.0M	1.02B	-8.7M	2.74	65.46	15,500	42,539	192,346	330,945
2018-10-25	$100.69	$101.00	5.1%	1.5%	4.4%	46.3%	3.2%	-0.8%	0.3%	-132.1M	1.06B	-8.5M	3.66	54.93	11,558	42,328	192,990	331,395
2018-10-26	$101.14	$101.00	5.6%	1.6%	4.7%	59.6%	4.4%	-2.3%	-0.1%	-119.6M	821.1M	-8.7M	3.78	90.17	10,771	40,710	193,003	331,490
2018-10-29	$101.22	$101.00	5.7%	1.6%	4.4%	61.4%	4.0%	-0.2%	-0.2%	-122.9M	821.2M	-8.6M	4.77	35.29	8,315	39,699	193,302	332,387
2018-10-30	$100.90	$101.00	5.6%	1.6%	4.5%	58.0%	5.3%	-0.4%	0.0%	-125.0M	952.8M	-8.6M	15.85	21.49	3,362	53,303	193,221	332,408
2018-10-31	$100.61	$101.00	5.3%	1.5%	3.8%	49.9%	4.6%	-1.0%	0.5%	-118.6M	1.08B	-8.4M	13.75	32.85	3,335	45,865	193,310	328,417