IEF Options History — April 2019

In April 2019, IEF traded between $105.06 and $106.01. ATM implied volatility averaged 4.8%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded below realized volatility by 0.2% (HV 20d: 5.0%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 4.74.

Notable Days

  • 2019-04-12: Highest Volume — 103,016 contracts
  • 2019-04-23: Largest IV spike — 140.7% change
  • 2019-04-23: Highest IV Rank — 43.6%
  • 2019-04-23: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.58$105.06$106.01$105.73$105.92
Max Pain$105.57$105.00$106.00$106.00$105.00
ATM IV4.8%3.7%10.7%4.8%4.4%
Expected Move1.4%1.0%2.5%1.3%1.4%
HV 20d5.0%3.8%5.6%5.2%3.8%
HV 60d4.6%4.4%4.9%4.9%4.4%
IV Rank9.0%2.3%43.6%9.0%6.4%
IV Percentile51.3%2.4%99.2%73.8%38.1%
Term Structure0.0%-2.4%4.8%-0.2%0.1%
VWIV4.7%3.8%7.2%5.0%5.1%
Skew 25d-0.6%-4.7%1.1%-0.2%0.1%
Skew 10d-0.3%-3.8%4.0%-0.6%1.4%
Call IV 25d5.3%3.0%13.0%5.1%4.6%
Put IV 25d4.8%2.6%9.3%4.9%4.7%
Bid-Ask Spread %66.2933.59107.8571.3289.61
Gamma HHI0.480.140.730.410.46
Net GEX24.5M-72.1M176.6M37.2M-61.0M
Net DEX-277.9M-525.9M46.3M-391.4M-222.6M
Net VEX-4.0M-4.5M-3.5M-4.0M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.740.0170.743.291.35
Total Volume13,348.952148103,0162,5271,142
Total OI446,162.095387,383624,542451,125393,231

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-04-01$105.73$106.004.8%1.3%5.2%9.0%5.0%-0.2%-0.2%37.2M-391.4M-4.0M3.2971.325891,938146,721304,404
2019-04-02$105.88$106.005.0%1.4%5.2%9.8%4.4%-0.1%-0.7%33.9M-444.4M-3.9M0.4167.691,845761147,938305,645
2019-04-03$105.58$106.004.7%1.0%5.3%8.4%3.8%0.2%4.8%37.0M-312.1M-4.1M0.4098.531,858742147,961305,698
2019-04-04$105.65$106.004.7%1.3%5.2%7.9%4.1%-0.1%-0.1%31.4M-404.8M-3.9M0.3345.662,430805147,941305,689
2019-04-05$105.74$106.004.7%1.2%5.2%8.5%3.9%-4.7%-0.7%9.8M-419.4M-4.1M0.4383.222,7591,174148,465305,394
2019-04-08$105.56$106.006.1%1.3%5.2%16.3%0.0%1.1%-2.4%78.5M-430.5M-3.9M0.5557.3414278149,533300,075
2019-04-09$105.74$106.004.3%1.3%5.1%6.2%4.7%0.2%0.0%72.6M-477.5M-3.7M0.9759.38200195149,603300,127
2019-04-10$106.01$106.004.2%1.3%5.2%5.3%4.7%-0.5%0.2%68.2M-518.8M-3.6M1.0159.34209211149,679300,178
2019-04-11$105.76$106.003.7%1.3%5.3%2.3%4.3%0.6%0.6%80.1M-525.9M-3.5M0.8351.66300249149,678300,161
2019-04-12$105.27$106.003.9%1.3%5.5%3.3%4.9%-0.1%0.8%135.8M-386.6M-3.7M70.7445.191,436101,580149,792300,188
2019-04-15$105.40$106.004.5%1.3%5.5%7.4%4.6%-0.2%-0.6%56.4M-231.7M-4.2M2.5943.6593241150,697341,311
2019-04-16$105.06$106.004.5%1.3%5.6%7.2%4.5%-0.2%-0.5%176.6M46.3M-4.2M0.0142.3750,440452150,735341,477
2019-04-17$105.06$105.004.5%1.3%5.2%7.1%4.5%0.4%0.0%160.5M-1.5M-4.5M0.0233.5951,4761,214162,801341,461
2019-04-18$105.33$105.004.3%1.3%5.3%6.1%5.5%-0.3%-0.1%-13.3M-301.1M-4.2M1.0252.3620,68021,148172,962451,580
2019-04-22$105.15$105.004.5%1.3%4.5%6.7%4.4%-0.0%-0.2%-71.3M-28.2M-4.2M4.5596.646763,078100,799286,584
2019-04-23$105.33$105.0010.7%2.5%4.5%43.6%7.2%-3.7%1.0%-58.3M-7.5M-4.5M0.96107.85495474101,115289,656
2019-04-24$105.73$105.004.4%1.3%4.8%6.4%4.6%0.0%-0.0%-61.5M-240.4M-3.8M2.7451.207752,122101,109289,872
2019-04-25$105.65$105.004.5%1.3%4.6%7.1%4.7%-0.1%-0.2%-68.1M-153.4M-4.2M1.4253.381,4622,076101,198291,481
2019-04-26$105.91$105.004.7%1.4%4.8%8.5%4.8%-4.3%-0.9%-58.8M-230.6M-4.0M5.0790.344342,201101,848291,466
2019-04-29$105.66$105.004.2%1.3%4.8%5.6%4.9%-0.3%-0.3%-72.1M-154.1M-4.1M0.9091.687870101,840291,311
2019-04-30$105.92$105.004.4%1.4%3.8%6.4%5.1%0.1%0.1%-61.0M-222.6M-3.9M1.3589.61485657101,867291,364