IEF Options History — November 2018

In November 2018, IEF traded between $99.80 and $101.77. ATM implied volatility averaged 6.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.2% (HV 20d: 3.9%). Max pain ranged from $101.00 to $101.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.74.

Notable Days

  • 2018-11-01: Highest Volume — 59,798 contracts
  • 2018-11-08: Largest IV spike — 221.9% change
  • 2018-11-01: Highest IV Rank — 100.0%
  • 2018-11-29: Largest Expected Move — 1.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.79$99.80$101.77$100.55$101.77
Max Pain$101.00$101.00$101.00$101.00$101.00
ATM IV6.1%4.0%20.3%20.3%4.0%
Expected Move1.5%1.3%1.7%1.3%1.6%
HV 20d3.9%3.2%4.2%3.7%3.2%
HV 60d3.8%3.8%3.9%3.8%3.8%
IV Rank16.5%4.1%100.0%100.0%4.1%
IV Percentile67.0%8.3%100.0%100.0%8.3%
Term Structure-0.1%-1.6%1.4%1.4%-0.3%
VWIV5.4%4.4%7.2%4.4%5.3%
Skew 25d0.5%-1.4%6.1%-0.1%-1.2%
Skew 10d-1.3%-20.2%0.9%-20.2%-0.1%
Call IV 25d5.9%3.2%25.6%7.4%4.6%
Put IV 25d6.4%2.9%25.9%7.3%3.4%
Bid-Ask Spread %54.4016.02115.42105.2598.13
Gamma HHI0.220.180.250.200.18
Net GEX-123.9M-163.9M-49.0M-114.7M-103.5M
Net DEX982.3M494.5M1.45B1.10B494.5M
Net VEX-7.7M-8.2M-7.2M-8.1M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.740.395.965.961.75
Total Volume25,200.5717,61259,79859,79832,426
Total OI538,762.524521,688560,390521,688539,806

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$100.55$101.0020.3%1.3%3.7%100.0%4.4%-0.1%1.4%-114.7M1.10B-8.1M5.96105.258,59751,201193,294328,394
2018-11-02$100.00$101.004.6%1.6%4.1%7.6%5.4%0.1%-0.3%-130.6M1.32B-8.0M4.3971.088,39536,823195,951331,931
2018-11-05$100.08$101.005.3%1.5%4.1%11.7%5.4%0.5%-0.5%-131.5M1.25B-7.7M3.8624.868,44932,634197,622333,098
2018-11-06$99.96$101.005.4%1.5%4.1%12.4%4.9%4.4%-0.3%-135.5M1.37B-7.4M2.4227.788,56120,758197,687333,183
2018-11-07$99.93$101.005.0%1.5%4.1%10.2%5.1%1.6%-0.7%-147.4M1.37B-7.6M2.4667.858,34120,509206,970342,312
2018-11-08$99.80$101.0016.2%1.4%3.7%75.9%7.2%0.4%-0.4%-163.9M1.45B-8.1M1.92115.428,35616,072207,010342,283
2018-11-09$100.13$101.004.5%1.4%3.9%7.3%5.2%0.3%-0.3%-155.7M1.32B-7.5M1.7480.378,91915,534207,143342,603
2018-11-12$100.47$101.004.7%1.4%4.1%8.4%5.4%0.4%-0.2%-133.6M1.11B-7.7M1.5484.5313,40920,629207,524342,432
2018-11-13$100.56$101.004.4%1.5%4.1%6.6%5.1%-0.3%0.6%-149.7M1.16B-8.0M2.4718.158,31520,547212,595347,371
2018-11-14$100.76$101.004.8%1.5%4.1%8.7%5.3%-0.4%0.6%-97.7M927.8M-8.2M4.7633.053,34715,929212,608347,454
2018-11-15$100.84$101.004.7%1.5%4.1%8.2%4.8%-0.2%0.6%-70.2M943.5M-7.8M4.8278.943,19115,374212,718347,441
2018-11-16$101.13$101.004.7%1.5%4.2%8.0%5.0%-1.4%0.8%-49.0M771.5M-7.9M5.8120.855,20730,265212,755347,635
2018-11-19$101.31$101.005.6%1.6%4.2%13.6%6.1%0.2%-0.7%-119.7M753.7M-8.1M3.8856.055,29320,550207,374317,827
2018-11-20$101.26$101.005.6%1.6%4.2%13.3%6.2%-0.5%-1.2%-126.2M728.7M-8.0M1.5419.573,0004,621209,340318,896
2018-11-21$101.25$101.005.2%1.5%3.9%11.1%5.6%0.2%-0.4%-132.2M820.1M-7.9M1.4424.163,1164,496209,403318,975
2018-11-23$101.31$101.005.3%1.6%3.8%11.6%5.0%-0.3%-1.6%-124.2M713.2M-7.6M1.5439.703,0714,717209,669318,985
2018-11-26$101.21$101.004.7%1.5%3.5%8.4%5.6%0.2%0.2%-131.0M838.7M-7.2M1.4816.023,0724,553209,642318,686
2018-11-27$101.29$101.004.6%1.7%3.5%7.5%5.6%-0.2%-0.0%-128.8M787.9M-7.4M1.8322.003,0405,575209,565318,810
2018-11-28$101.35$101.004.4%1.6%3.3%6.5%5.5%-0.1%-0.0%-127.2M755.2M-7.3M1.5734.183,3525,272209,576318,765
2018-11-29$101.56$101.004.2%1.7%3.2%5.4%5.7%6.1%-0.1%-128.7M659.5M-7.4M0.39104.5324,2479,449209,911318,769
2018-11-30$101.77$101.004.0%1.6%3.2%4.1%5.3%-1.2%-0.3%-103.5M494.5M-7.4M1.7598.1311,78520,641221,075318,731