IEF Options History — February 2019

In February 2019, IEF traded between $103.88 and $104.73. ATM implied volatility averaged 4.3%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded below realized volatility by 0.3% (HV 20d: 4.6%). Max pain ranged from $104.00 to $104.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 22.36.

Notable Days

2019-02-15: Highest Volume — 97,916 contracts
2019-02-28: Largest IV spike — 26.8% change
2019-02-05: Highest IV Rank — 8.0%
2019-02-05: Largest Expected Move — 1.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$104.36	$103.88	$104.73	$104.15	$104.12
Max Pain	$104.00	$104.00	$104.00	$104.00	$104.00
ATM IV	4.3%	3.4%	4.7%	4.6%	4.3%
Expected Move	1.3%	1.0%	1.4%	1.3%	1.3%
HV 20d	4.6%	4.4%	5.2%	5.2%	4.6%
HV 60d	4.5%	4.4%	4.6%	4.4%	4.6%
IV Rank	5.7%	0.8%	8.0%	7.6%	6.2%
IV Percentile	33.5%	1.2%	59.5%	55.2%	38.1%
Term Structure	0.0%	-0.5%	0.9%	-0.3%	0.2%
VWIV	4.4%	2.5%	5.5%	4.8%	4.2%
Skew 25d	-0.2%	-3.8%	1.0%	-0.0%	-1.3%
Skew 10d	-0.3%	-4.1%	0.6%	0.5%	-0.4%
Call IV 25d	4.3%	2.7%	8.0%	4.8%	4.6%
Put IV 25d	4.1%	2.8%	5.0%	4.8%	3.3%
Bid-Ask Spread %	48.16	19.66	90.76	77.22	28.51
Gamma HHI	0.32	0.29	0.41	0.30	0.29
Net GEX	37.6M	-107.4M	200.2M	40.1M	-107.4M
Net DEX	-359.9M	-604.7M	-49.1M	-381.7M	-49.1M
Net VEX	-5.0M	-5.4M	-4.6M	-5.4M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	22.36	0.65	259.17	0.79	0.69
Total Volume	12,990.421	169	97,916	6,723	1,086
Total OI	413,707.895	387,394	489,859	388,983	414,501

Daily Data (19 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
2019-02-01	$104.15	$104.00	4.6%	1.3%	5.2%	7.6%	4.8%	-0.0%	-0.3%	40.1M	-381.7M	-5.4M	0.79	77.22	3,757	2,966	147,692	241,291
2019-02-04	$103.88	$104.00	4.4%	1.3%	4.5%	6.6%	4.6%	0.2%	0.3%	-29.1M	-264.8M	-5.2M	1.40	54.50	678	948	146,165	241,229
2019-02-05	$104.06	$104.00	4.7%	1.4%	4.5%	8.0%	4.7%	-0.2%	0.6%	6.7M	-302.9M	-5.3M	1.40	90.26	809	1,129	146,694	241,515
2019-02-06	$104.16	$104.00	4.3%	1.4%	4.4%	5.7%	4.5%	0.2%	0.9%	34.4M	-333.6M	-5.3M	1.53	36.93	728	1,111	146,648	241,598
2019-02-07	$104.49	$104.00	4.5%	1.3%	4.5%	7.2%	4.6%	0.2%	0.2%	128.4M	-566.0M	-4.9M	1.24	37.41	1,195	1,483	147,130	242,207
2019-02-08	$104.66	$104.00	4.5%	1.4%	4.5%	7.2%	2.5%	0.4%	0.2%	171.2M	-604.7M	-4.9M	1.26	29.81	1,254	1,579	147,103	242,243
2019-02-11	$104.48	$104.00	4.5%	1.3%	4.5%	7.3%	4.6%	-0.3%	-0.5%	164.8M	-527.6M	-4.8M	1.46	19.66	406	592	147,174	242,222
2019-02-12	$104.28	$104.00	4.6%	1.3%	4.6%	7.5%	4.7%	-0.1%	-0.5%	178.9M	-470.6M	-4.8M	43.92	40.01	228	10,013	147,213	242,336
2019-02-13	$104.06	$104.00	4.5%	1.3%	4.6%	6.9%	4.4%	-0.3%	-0.4%	200.2M	-377.7M	-4.6M	259.17	35.46	192	49,760	147,238	302,346
2019-02-14	$104.47	$104.00	4.3%	1.3%	4.8%	6.2%	5.4%	0.1%	0.1%	151.5M	-478.6M	-4.9M	102.73	69.08	486	49,928	147,228	342,302
2019-02-15	$104.44	$104.00	4.2%	1.3%	4.8%	5.5%	4.0%	-0.9%	-0.5%	-39.2M	-461.1M	-5.0M	2.51	27.48	27,905	70,011	147,358	342,501
2019-02-19	$104.58	$104.00	4.0%	1.3%	4.6%	4.2%	3.8%	1.0%	0.2%	-12.0M	-356.5M	-5.0M	1.30	36.16	138	179	132,133	282,580
2019-02-20	$104.59	$104.00	4.6%	1.3%	4.4%	7.5%	4.1%	-3.8%	-0.4%	-12.6M	-335.1M	-5.1M	0.78	90.76	216	168	132,118	282,723
2019-02-21	$104.31	$104.00	3.6%	1.0%	4.5%	1.8%	3.5%	0.1%	-0.0%	-59.1M	-174.6M	-5.3M	0.99	46.12	4,205	4,165	132,158	282,747
2019-02-22	$104.58	$104.00	3.8%	1.2%	4.5%	2.9%	4.9%	-0.2%	0.4%	-14.5M	-321.6M	-5.2M	0.92	42.47	4,311	3,975	134,804	284,654
2019-02-25	$104.47	$104.00	4.0%	1.2%	4.4%	3.9%	5.5%	-0.1%	0.1%	-50.3M	-209.1M	-5.1M	1.41	77.90	70	99	132,130	282,021
2019-02-26	$104.73	$104.00	4.1%	1.2%	4.5%	4.5%	5.1%	-0.3%	0.2%	8.2M	-374.8M	-4.7M	0.65	44.73	236	154	132,133	282,085
2019-02-27	$104.38	$104.00	3.4%	1.3%	4.6%	0.8%	4.3%	0.7%	0.3%	-46.7M	-247.9M	-4.8M	0.72	30.62	383	275	132,084	282,146
2019-02-28	$104.12	$104.00	4.3%	1.3%	4.6%	6.2%	4.2%	-1.3%	0.2%	-107.4M	-49.1M	-4.9M	0.69	28.51	641	445	132,270	282,231