IEF Options History — May 2019

In May 2019, IEF traded between $105.34 and $108.90. ATM implied volatility averaged 5.3%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 1.1% (HV 20d: 4.2%). Max pain ranged from $105.00 to $106.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 12.43.

Notable Days

2019-05-16: Highest Volume — 69,112 contracts
2019-05-10: Largest IV spike — 114.0% change
2019-05-10: Highest IV Rank — 45.5%
2019-05-31: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.70	$105.34	$108.90	$105.67	$108.90
Max Pain	$105.59	$105.00	$106.00	$105.00	$106.00
ATM IV	5.3%	3.6%	11.0%	5.9%	6.6%
Expected Move	1.5%	1.2%	2.0%	1.4%	2.0%
HV 20d	4.2%	3.8%	4.5%	3.8%	4.5%
HV 60d	4.5%	4.4%	4.7%	4.4%	4.7%
IV Rank	11.5%	2.0%	45.5%	15.5%	19.2%
IV Percentile	68.1%	2.4%	99.2%	94.0%	96.4%
Term Structure	-0.2%	-5.1%	1.5%	-5.1%	-0.7%
VWIV	5.3%	4.4%	7.1%	5.2%	7.1%
Skew 25d	-0.8%	-7.1%	1.6%	-2.0%	-2.0%
Skew 10d	-1.3%	-4.9%	1.6%	-0.8%	-4.9%
Call IV 25d	5.9%	3.6%	15.5%	4.6%	7.2%
Put IV 25d	5.1%	2.6%	17.0%	2.6%	5.2%
Bid-Ask Spread %	87.26	31.71	106.59	106.59	91.57
Gamma HHI	0.56	0.18	0.81	0.41	0.61
Net GEX	-127.5M	-284.8M	-14.3M	-52.1M	-72.3M
Net DEX	-287.1M	-542.4M	144.0M	-251.9M	-442.5M
Net VEX	-4.0M	-5.1M	-3.3M	-3.9M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.43	0.25	74.26	21.70	3.89
Total Volume	13,019.364	331	69,112	8,988	4,084
Total OI	404,000.682	363,094	601,883	393,614	378,268

Daily Data (22 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
2019-05-01	$105.67	$105.00	5.9%	1.4%	3.8%	15.5%	5.2%	-2.0%	-5.1%	-52.1M	-251.9M	-3.9M	21.70	106.59	396	8,592	102,112	291,502
2019-05-02	$105.34	$105.00	4.2%	1.3%	3.9%	5.5%	4.4%	-7.1%	0.3%	-98.3M	-111.6M	-4.1M	17.63	100.00	490	8,637	102,158	299,348
2019-05-03	$105.49	$105.00	3.9%	1.2%	3.9%	3.8%	4.5%	0.1%	0.2%	-95.3M	-237.4M	-3.6M	6.37	31.71	1,541	9,822	102,230	299,425
2019-05-06	$105.76	$105.00	3.6%	1.3%	4.0%	2.0%	4.6%	-0.2%	-0.1%	-65.8M	-399.7M	-3.7M	3.83	39.97	200	767	103,156	290,292
2019-05-07	$106.17	$105.00	4.8%	1.5%	4.2%	8.6%	5.0%	-1.2%	-0.4%	-47.3M	-447.8M	-3.7M	1.08	100.55	1,809	1,953	103,298	290,510
2019-05-08	$105.91	$105.00	4.7%	1.4%	4.2%	8.1%	4.8%	-0.2%	0.3%	-55.9M	-423.5M	-3.6M	5.70	94.56	311	1,773	103,375	290,624
2019-05-09	$106.20	$105.00	5.2%	1.4%	4.3%	10.9%	5.7%	-0.3%	-0.2%	-35.0M	-489.4M	-3.5M	5.08	94.74	402	2,044	103,402	290,635
2019-05-10	$106.15	$105.00	11.0%	1.4%	4.2%	45.5%	5.1%	1.6%	-2.4%	-40.7M	-456.1M	-3.6M	2.01	101.27	110	221	103,425	290,753
2019-05-13	$106.66	$105.00	5.0%	1.5%	4.1%	9.8%	5.3%	-0.3%	0.3%	-14.3M	-542.4M	-3.3M	74.26	93.06	812	60,302	103,341	290,558
2019-05-14	$106.52	$106.00	4.7%	1.6%	4.1%	7.9%	5.5%	-0.1%	0.8%	-135.4M	-312.0M	-4.1M	1.01	95.62	12,186	12,341	103,855	351,047
2019-05-15	$106.88	$106.00	4.9%	1.5%	4.0%	9.4%	5.2%	-0.3%	0.3%	-123.7M	-398.5M	-3.9M	2.10	92.93	272	570	103,859	351,104
2019-05-16	$106.69	$106.00	4.7%	1.5%	4.1%	8.0%	4.7%	-0.9%	0.5%	-131.2M	-365.7M	-3.9M	6.39	105.00	9,357	59,755	104,084	351,515
2019-05-17	$106.76	$106.00	4.3%	1.4%	4.0%	5.8%	6.6%	-0.6%	0.8%	-234.6M	-264.1M	-4.8M	37.53	49.36	321	12,046	112,373	489,510
2019-05-20	$106.58	$106.00	4.9%	1.4%	4.0%	9.2%	4.9%	-0.6%	-0.1%	-265.1M	48.7M	-4.8M	25.91	91.29	393	10,181	75,688	287,406
2019-05-21	$106.44	$106.00	4.9%	1.4%	4.1%	9.5%	4.9%	-0.4%	0.1%	-284.8M	144.0M	-5.1M	18.58	90.53	627	11,650	76,031	297,539
2019-05-22	$106.74	$106.00	4.8%	1.4%	4.0%	8.9%	5.0%	-0.4%	-0.2%	-267.4M	30.8M	-4.8M	30.35	78.90	385	11,683	76,312	296,159
2019-05-23	$107.44	$106.00	5.3%	1.5%	4.5%	11.5%	5.3%	-0.6%	-0.5%	-190.7M	-199.4M	-4.2M	4.00	98.28	2,975	11,896	76,350	296,166
2019-05-24	$107.34	$106.00	5.6%	1.5%	4.5%	13.8%	5.2%	-0.3%	1.5%	-200.0M	-185.4M	-4.2M	3.82	92.17	3,045	11,637	77,987	296,488
2019-05-28	$107.78	$106.00	5.6%	1.6%	4.5%	13.8%	5.5%	-0.3%	-0.2%	-152.9M	-296.0M	-3.8M	0.25	90.20	466	117	77,724	296,096
2019-05-29	$107.81	$106.00	5.7%	1.6%	4.5%	14.3%	5.8%	-0.6%	-0.2%	-140.6M	-325.6M	-3.7M	0.78	90.03	3,209	2,493	78,014	296,203
2019-05-30	$108.15	$106.00	5.5%	1.6%	4.3%	13.0%	5.6%	-0.7%	0.3%	-101.5M	-390.7M	-3.5M	1.27	91.40	2,008	2,547	79,799	298,294
2019-05-31	$108.90	$106.00	6.6%	2.0%	4.5%	19.2%	7.1%	-2.0%	-0.7%	-72.3M	-442.5M	-3.3M	3.89	91.57	835	3,249	79,776	298,492