IEF Options History — March 2019

In March 2019, IEF traded between $103.58 and $106.87. ATM implied volatility averaged 4.8%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 0.5% (HV 20d: 4.3%). Max pain ranged from $104.00 to $106.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 4.17.

Notable Days

  • 2019-03-12: Highest Volume — 100,464 contracts
  • 2019-03-20: Largest IV spike — 114.0% change
  • 2019-03-20: Highest IV Rank — 40.9%
  • 2019-03-20: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.24$103.58$106.87$103.58$106.65
Max Pain$104.90$104.00$106.00$104.00$106.00
ATM IV4.8%3.9%10.3%3.9%5.0%
Expected Move1.4%1.0%3.7%1.3%1.5%
HV 20d4.3%3.9%4.9%4.6%3.9%
HV 60d4.8%4.7%4.9%4.8%4.7%
IV Rank8.9%3.6%40.9%3.6%10.2%
IV Percentile49.9%4.8%99.2%4.8%80.6%
Term Structure0.6%-1.0%9.0%0.5%0.3%
VWIV4.7%3.6%5.9%3.6%4.7%
Skew 25d-0.8%-11.6%1.7%0.2%-0.2%
Skew 10d-1.1%-10.5%1.6%0.2%-10.5%
Call IV 25d5.0%3.0%15.5%3.2%4.5%
Put IV 25d4.3%3.4%5.1%3.4%4.3%
Bid-Ask Spread %71.1626.58120.1427.6789.74
Gamma HHI0.530.290.950.300.37
Net GEX105.8M-179.4M934.1M-179.4M30.8M
Net DEX-489.8M-1.02B114.9M114.9M-564.2M
Net VEX-4.2M-4.8M-3.5M-4.8M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.170.0040.360.712.29
Total Volume17,852.524338100,4641,11811,177
Total OI428,691.952394,302537,909414,079456,829

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$103.58$104.003.9%1.3%4.6%3.6%3.6%0.2%0.5%-179.4M114.9M-4.8M0.7127.67653465131,758282,321
2019-03-04$103.94$104.004.3%1.5%4.1%5.9%5.7%1.7%-0.1%-140.5M13.2M-4.7M0.3480.8225385131,130281,648
2019-03-05$103.92$104.004.4%1.4%4.0%6.4%5.9%-1.1%-0.2%-168.6M27.6M-4.6M2.1772.70347753131,201281,626
2019-03-06$104.24$104.004.7%1.3%4.1%8.1%4.2%0.6%0.0%-95.7M-122.5M-4.5M0.2940.592,598749130,654281,864
2019-03-07$104.60$104.004.3%1.4%4.3%5.9%5.8%-1.0%0.3%11.3M-329.2M-4.3M0.8629.072,4742,122130,545282,282
2019-03-08$104.76$104.004.0%1.3%4.2%4.3%4.4%0.0%0.0%105.8M-470.8M-4.3M1.3826.581,9542,697131,851283,795
2019-03-11$104.63$104.004.0%1.2%4.2%4.0%4.2%-0.5%0.8%84.0M-405.4M-4.1M4.1494.12124513131,720284,018
2019-03-12$104.92$105.004.1%1.2%4.2%4.8%4.1%0.5%0.6%202.9M-572.9M-3.8M0.0080.03100,42638131,709284,233
2019-03-13$104.92$105.004.1%1.2%4.2%4.8%4.4%0.1%0.2%478.9M-804.3M-4.4M0.1985.2050,3829,435178,560284,243
2019-03-14$104.77$105.004.2%1.2%4.1%5.3%4.7%0.1%-0.0%482.7M-663.6M-4.4M21.8884.884379,563178,555359,269
2019-03-15$105.08$105.004.1%1.3%4.0%4.9%4.6%0.4%0.4%934.1M-1.02B-4.2M40.3694.961,23149,688178,566359,343
2019-03-18$104.94$105.004.4%1.2%4.1%6.5%4.6%-0.1%-0.5%66.7M-391.5M-4.7M1.0990.33464507122,400271,902
2019-03-19$104.92$105.004.8%1.3%4.0%8.7%4.4%-0.5%3.0%63.8M-343.7M-4.6M1.3755.92510699122,664271,794
2019-03-20$105.51$105.0010.3%3.7%4.5%40.9%4.2%-11.6%9.0%65.7M-469.0M-4.3M1.66120.146581,089122,693272,022
2019-03-21$105.56$105.004.2%1.0%4.3%5.5%3.8%-0.2%-1.0%71.4M-576.1M-4.4M0.9552.21692656122,736272,520
2019-03-22$106.33$105.004.9%1.3%4.9%9.3%4.7%-1.0%-0.1%53.5M-781.7M-3.9M0.3294.592,577837122,778272,587
2019-03-25$106.53$106.005.2%1.5%4.8%11.3%5.2%-0.8%0.3%47.8M-890.8M-3.5M1.0078.2310,33410,308123,647272,747
2019-03-26$106.59$106.005.3%1.4%4.8%11.5%5.0%-0.3%-0.4%47.7M-765.7M-3.6M1.1448.7335,53740,453133,772282,944
2019-03-27$106.87$106.005.5%1.6%4.6%12.7%5.4%-0.9%-0.1%29.5M-656.0M-3.5M3.0757.802,5207,731148,596303,088
2019-03-28$106.83$106.005.3%1.5%4.4%11.5%5.3%-1.4%-0.0%29.7M-613.9M-3.9M2.2990.083,3987,769150,698305,223
2019-03-29$106.65$106.005.0%1.5%3.9%10.2%4.7%-0.2%0.3%30.8M-564.2M-3.8M2.2989.743,3957,782151,397305,432