IEF Options History — January 2019

In January 2019, IEF traded between $103.42 and $105.17. ATM implied volatility averaged 4.7%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.7% (HV 20d: 5.4%). Max pain ranged from $103.00 to $104.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2019-01-17: Highest Volume — 81,606 contracts
  • 2019-01-31: Largest IV spike — 29.6% change
  • 2019-01-03: Highest IV Rank — 17.2%
  • 2019-01-02: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.08$103.42$105.17$104.41$104.88
Max Pain$103.05$103.00$104.00$103.00$104.00
ATM IV4.7%3.4%6.2%6.2%4.8%
Expected Move1.5%1.0%4.5%4.5%1.3%
HV 20d5.4%4.1%5.7%4.1%5.3%
HV 60d4.2%3.6%4.3%3.6%4.1%
IV Rank8.0%0.3%17.2%16.8%8.9%
IV Percentile47.8%0.8%95.6%94.8%65.5%
Term Structure-0.0%-0.8%1.2%-0.4%-0.1%
VWIV5.0%2.8%16.0%16.0%4.6%
Skew 25d0.1%-2.4%6.2%-0.3%-0.2%
Skew 10d-0.0%-4.4%6.5%6.5%-0.6%
Call IV 25d4.4%2.8%6.6%6.1%3.9%
Put IV 25d4.5%2.8%9.1%5.8%3.7%
Bid-Ask Spread %81.4249.74110.82110.8282.78
Gamma HHI0.430.190.640.190.29
Net GEX-163.1M-323.5M17.7M-83.7M17.7M
Net DEX-400.6M-937.3M-9.0M-395.4M-547.3M
Net VEX-5.3M-5.9M-4.7M-5.9M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.088.991.090.37
Total Volume22,05520681,60611,61347,322
Total OI444,584.238296,797608,828472,898347,371

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$104.41$103.006.2%4.5%4.1%16.8%16.0%-0.3%-0.4%-83.7M-395.4M-5.9M1.09110.825,5686,045188,528284,370
2019-01-03$105.17$103.006.2%1.6%4.4%17.2%5.6%-0.1%-0.6%-62.9M-937.3M-5.1M0.2084.2310,1142,037193,392288,850
2019-01-04$104.34$103.005.8%1.5%5.5%14.4%5.8%-0.6%-0.6%-122.9M-621.2M-5.4M0.5068.813,2811,643191,670289,179
2019-01-07$104.08$103.005.6%1.5%5.6%13.4%4.9%0.1%-0.3%-135.0M-567.0M-5.3M0.0964.201,775155192,919288,726
2019-01-08$103.88$103.005.0%1.3%5.7%9.9%4.3%0.3%-0.8%-154.8M-456.9M-5.4M0.5065.3822,67311,331204,917288,846
2019-01-09$103.90$103.004.7%1.3%5.7%8.2%4.5%-0.3%-0.3%-163.0M-379.8M-5.7M0.9897.3011,86411,568214,947295,959
2019-01-10$103.80$103.004.7%1.0%5.6%8.0%4.2%6.2%-0.6%-184.8M-536.3M-5.3M0.24106.7013,2933,237216,154295,309
2019-01-11$104.09$103.004.5%1.2%5.5%7.2%4.2%0.3%-0.4%-178.4M-664.0M-5.3M1.5971.5410,91717,387218,639298,044
2019-01-14$104.10$103.004.1%1.1%5.5%4.5%0.0%-1.3%0.8%-199.3M-716.6M-4.9M0.9863.546,2016,106217,978296,595
2019-01-15$104.01$103.004.0%1.1%5.5%4.1%3.9%-0.7%0.2%-201.5M-686.7M-5.0M0.4557.9329,25313,171223,818298,726
2019-01-16$103.94$103.004.4%1.3%5.5%6.5%3.9%0.8%-0.2%-260.2M-622.3M-5.4M2.5896.1014,56137,536251,210308,607
2019-01-17$103.76$103.003.4%1.0%5.5%0.3%2.8%-1.3%0.0%-323.5M-411.0M-5.5M2.90101.6020,91760,689258,128346,935
2019-01-18$103.42$103.004.3%1.2%5.5%5.7%4.1%0.0%-0.0%-189.2M-102.0M-5.6M0.0849.7421,0001,758264,580344,248
2019-01-22$103.81$103.004.5%1.4%5.5%6.8%3.4%0.1%0.6%-176.0M-61.3M-5.3M0.5093.511,07353393,230203,567
2019-01-23$103.74$103.004.3%1.3%5.6%6.1%4.2%-0.3%0.5%-197.7M-9.0M-5.4M8.9983.581,19510,74293,567203,714
2019-01-24$104.06$103.004.7%1.3%5.6%8.4%5.2%1.2%0.2%-168.7M-114.6M-5.3M0.9850.7211,09410,91493,742214,256
2019-01-25$103.81$103.003.9%1.4%5.5%3.7%4.9%0.1%0.6%-182.7M-56.6M-5.6M0.9268.7511,69410,780104,119214,361
2019-01-28$103.87$103.004.5%1.3%5.4%7.0%4.6%1.0%-0.5%-193.9M-72.0M-5.4M0.1088.7318818103,660229,225
2019-01-29$104.12$103.004.7%1.2%5.2%8.3%4.2%0.4%-0.3%-149.9M-163.6M-5.1M0.3394.362,722896103,866229,239
2019-01-30$104.40$103.003.7%2.9%5.1%2.5%5.0%-2.4%1.2%-115.7M-290.7M-5.0M0.19109.428,3371,567111,726229,352
2019-01-31$104.88$104.004.8%1.3%5.3%8.9%4.6%-0.2%-0.1%17.7M-547.3M-4.7M0.3782.7834,48312,839117,497229,874