IEF Options History — December 2018

In December 2018, IEF traded between $101.77 and $104.13. ATM implied volatility averaged 5.3%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 2.3% (HV 20d: 3.0%). Max pain ranged from $101.00 to $104.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2018-12-20: Highest Volume — 85,381 contracts
  • 2018-12-24: Largest IV spike — 57.7% change
  • 2018-12-24: Highest IV Rank — 37.8%
  • 2018-12-24: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.87$101.77$104.13$101.77$104.13
Max Pain$103.20$101.00$104.00$101.00$103.00
ATM IV5.3%3.9%9.7%4.6%6.0%
Expected Move1.8%1.4%4.8%1.6%1.9%
HV 20d3.0%2.3%4.1%2.3%4.1%
HV 60d3.8%3.7%3.9%3.7%3.7%
IV Rank11.7%3.2%37.8%7.6%16.2%
IV Percentile67.3%2.8%99.2%57.1%94.0%
Term Structure0.0%-2.2%1.5%-0.3%-0.2%
VWIV5.9%4.8%8.9%5.3%6.2%
Skew 25d-1.2%-6.5%0.3%-1.2%0.3%
Skew 10d-0.8%-10.5%5.8%-0.0%0.7%
Call IV 25d5.6%3.1%9.2%4.4%5.7%
Put IV 25d4.4%2.6%6.0%3.2%6.0%
Bid-Ask Spread %94.9853.32116.7597.70102.16
Gamma HHI0.180.100.280.150.28
Net GEX-66.3M-143.3M351.9K-46.6M-118.8M
Net DEX-57.4M-345.8M377.1M377.1M-345.8M
Net VEX-6.5M-7.6M-5.8M-6.9M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.012.640.632.05
Total Volume23,270.253785,3816,0892,170
Total OI523,723.9472,771579,075537,393472,771

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$101.77$101.004.6%1.6%2.3%7.6%5.3%-1.2%-0.3%-46.6M377.1M-6.9M0.6397.703,7302,359215,726321,667
2018-12-04$102.26$101.004.5%1.7%2.7%7.0%6.0%-0.2%-0.2%-74.0M81.3M-6.8M0.5995.3514,8968,763215,688321,673
2018-12-05$102.27$101.004.6%1.8%2.6%7.4%5.3%-0.6%-0.2%-47.8M65.4M-6.9M0.59113.8114,8978,781215,688321,673
2018-12-06$102.52$103.005.0%1.5%2.5%10.0%4.9%-0.0%-0.2%-88.6M-62.6M-6.9M0.1991.5311,5002,207214,916326,892
2018-12-07$102.61$104.004.4%1.6%2.3%6.5%6.2%-6.5%-0.1%-45.6M-167.2M-6.7M0.4798.5919,3549,189218,773328,277
2018-12-10$102.87$104.004.8%1.5%2.3%9.1%5.3%-2.0%0.7%-70.2M-329.8M-6.2M1.0581.18262275217,797325,194
2018-12-11$102.58$104.004.3%1.6%2.6%5.8%5.5%-1.6%1.2%-53.3M-207.6M-6.4M0.6061.53344208217,759325,426
2018-12-12$102.34$104.003.9%1.4%2.9%3.7%5.1%-0.2%0.6%-80.1M-70.4M-6.4M0.7596.66449336217,819325,830
2018-12-13$102.40$104.003.9%1.5%2.8%3.2%5.1%-0.1%1.5%-57.1M-46.9M-6.4M0.79105.84480377217,956325,918
2018-12-14$102.59$104.004.5%1.4%2.8%7.1%5.0%0.1%0.6%-73.2M-153.3M-6.1M2.6494.598252,175217,576325,941
2018-12-17$102.92$104.005.0%1.5%2.9%9.9%5.0%-0.9%-0.3%-67.7M-264.3M-6.0M0.0153.3244,305304217,239330,929
2018-12-18$102.90$104.005.2%1.5%2.9%11.4%4.8%-0.6%-0.9%-124.1M75.0M-5.9M0.4966.571,422692171,844331,082
2018-12-19$103.34$104.006.3%1.8%3.1%17.5%7.5%-2.0%-2.2%-143.3M67.5M-6.1M0.16116.7517,6312,878172,252329,476
2018-12-20$103.12$104.005.6%1.6%3.3%13.5%5.6%-1.3%-0.2%351.9K-159.1M-5.8M1.09103.1740,89544,486186,979331,686
2018-12-21$103.16$103.006.2%1.9%3.3%16.9%6.5%-0.8%-1.0%-11.3M-75.6M-6.9M1.4199.7230,92143,678207,468371,607
2018-12-24$103.42$103.009.7%4.8%3.2%37.8%8.9%-0.7%0.3%-23.2M34.0K-7.6M1.93102.2017,29033,437203,082282,965
2018-12-26$103.01$103.005.4%2.0%3.7%12.4%6.8%-0.9%0.3%-105.9M104.6M-6.9M0.04100.5425,9341,129203,229283,371
2018-12-27$103.30$103.006.1%2.3%3.8%16.6%5.5%-1.2%0.9%-88.3M-17.0M-6.8M0.10105.3625,8902,518196,839282,556
2018-12-28$103.81$103.005.8%1.7%4.0%14.6%7.1%-2.6%0.1%-8.0M-18.1M-6.9M0.10113.0425,7172,700196,916283,998
2018-12-31$104.13$103.006.0%1.9%4.1%16.2%6.2%0.3%-0.2%-118.8M-345.8M-6.2M2.05102.167121,458188,559284,212