IEF Options History — June 2019

In June 2019, IEF traded between $108.67 and $110.12. ATM implied volatility averaged 6.1%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.4% (HV 20d: 4.7%). Max pain ranged from $106.00 to $109.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.80.

Notable Days

2019-06-21: Highest Volume — 45,076 contracts
2019-06-10: Largest IV drop — 13.7% change
2019-06-04: Highest IV Rank — 22.0%
2019-06-03: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.38	$108.67	$110.12	$109.24	$110.08
Max Pain	$108.00	$106.00	$109.00	$106.00	$109.00
ATM IV	6.1%	5.2%	7.0%	7.0%	5.8%
Expected Move	1.7%	1.5%	2.0%	2.0%	1.7%
HV 20d	4.7%	4.3%	5.1%	4.5%	4.3%
HV 60d	4.6%	4.3%	4.8%	4.7%	4.3%
IV Rank	16.6%	11.0%	22.0%	21.7%	14.9%
IV Percentile	91.0%	77.8%	96.8%	96.4%	87.7%
Term Structure	-0.1%	-0.8%	0.4%	-0.1%	0.4%
VWIV	6.2%	5.3%	7.3%	7.3%	6.0%
Skew 25d	-0.5%	-1.8%	3.1%	-0.5%	-0.3%
Skew 10d	-1.4%	-2.9%	3.1%	-1.2%	-2.0%
Call IV 25d	6.7%	5.4%	10.7%	7.6%	6.0%
Put IV 25d	6.2%	3.8%	10.2%	7.1%	5.7%
Bid-Ask Spread %	78.45	39.37	95.83	87.84	75.69
Gamma HHI	0.33	0.19	0.56	0.39	0.56
Net GEX	-18.2M	-73.4M	11.2M	-24.8M	-49.6M
Net DEX	-423.3M	-524.4M	-371.9M	-425.9M	-398.1M
Net VEX	-2.5M	-3.0M	-2.0M	-2.8M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.80	0.13	24.61	1.24	3.40
Total Volume	4,338.15	545	45,076	1,302	2,904
Total OI	371,606.35	354,565	476,697	367,851	355,792

Daily Data (20 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
2019-06-03	$109.24	$106.00	7.0%	2.0%	4.5%	21.7%	7.3%	-0.5%	-0.1%	-24.8M	-425.9M	-2.8M	1.24	87.84	580	722	69,081	298,770
2019-06-04	$108.87	$106.00	7.0%	1.9%	4.9%	22.0%	6.8%	-1.8%	-0.7%	-39.3M	-388.4M	-3.0M	1.59	90.92	615	979	69,316	299,329
2019-06-05	$108.90	$106.00	6.6%	1.9%	4.8%	19.5%	6.6%	-0.4%	-0.3%	-30.2M	-399.7M	-2.9M	2.33	93.58	612	1,426	69,379	299,598
2019-06-06	$108.78	$108.00	6.5%	1.7%	4.7%	19.0%	6.4%	-0.7%	-0.3%	-22.1M	-390.6M	-3.0M	1.72	77.60	775	1,332	69,450	299,987
2019-06-07	$109.17	$108.00	6.2%	1.7%	4.7%	17.1%	6.0%	0.3%	-0.2%	534.7K	-443.2M	-2.7M	2.83	85.34	807	2,280	69,575	300,231
2019-06-10	$108.70	$108.00	5.3%	1.5%	5.1%	12.1%	5.3%	-0.4%	0.1%	-2.8M	-410.1M	-2.7M	2.75	85.81	277	761	68,725	300,366
2019-06-11	$108.67	$108.00	5.2%	1.5%	4.9%	11.0%	5.3%	-1.6%	0.4%	-1.1M	-399.4M	-2.7M	1.01	59.69	747	754	68,842	300,767
2019-06-12	$108.97	$108.00	5.8%	1.6%	4.9%	14.4%	5.5%	-0.5%	-0.2%	5.7M	-439.2M	-2.4M	1.19	44.68	745	888	69,031	300,749
2019-06-13	$109.24	$108.00	6.3%	1.7%	4.9%	17.6%	6.3%	-0.5%	-0.3%	7.0M	-435.0M	-2.6M	1.24	39.37	996	1,235	69,013	301,036
2019-06-14	$109.26	$108.00	6.5%	1.8%	4.8%	18.9%	6.8%	3.1%	-0.3%	10.3M	-433.3M	-2.7M	2.28	95.83	999	2,275	69,149	301,288
2019-06-17	$109.31	$108.00	6.3%	1.8%	4.8%	17.6%	6.3%	-0.7%	0.0%	10.4M	-473.9M	-2.0M	0.27	91.21	1,066	291	69,136	301,669
2019-06-18	$109.55	$108.00	6.4%	1.8%	4.6%	18.2%	6.4%	-0.8%	-0.3%	11.2M	-449.9M	-2.6M	0.13	85.33	2,237	292	69,485	301,744
2019-06-19	$109.78	$108.00	6.0%	1.7%	4.5%	16.0%	5.9%	-0.6%	-0.1%	7.0M	-410.7M	-2.9M	0.44	93.27	1,915	848	69,548	302,075
2019-06-20	$110.01	$108.00	6.1%	1.8%	4.5%	16.6%	6.2%	-1.1%	-0.3%	7.7M	-524.4M	-2.0M	1.74	79.31	2,626	4,581	69,474	302,349
2019-06-21	$109.53	$109.00	6.0%	1.8%	4.6%	16.0%	6.0%	-1.1%	-0.8%	-10.9M	-458.4M	-2.3M	24.61	87.32	1,760	43,316	70,641	406,056
2019-06-24	$109.92	$109.00	5.9%	1.8%	4.6%	15.4%	6.1%	-0.8%	0.0%	-55.1M	-371.9M	-2.4M	1.12	83.11	257	288	67,178	287,387
2019-06-25	$110.12	$109.00	6.0%	1.7%	4.5%	15.8%	6.1%	-0.7%	0.3%	-52.9M	-431.7M	-2.1M	2.38	81.67	336	800	67,262	287,633
2019-06-26	$109.63	$109.00	5.7%	1.6%	4.9%	14.2%	5.9%	-0.6%	0.1%	-73.4M	-388.6M	-2.2M	1.83	48.23	572	1,045	67,326	288,022
2019-06-27	$109.97	$109.00	5.9%	1.7%	4.9%	15.0%	5.8%	-0.5%	0.2%	-60.8M	-393.8M	-2.3M	1.88	83.17	633	1,191	67,473	288,195
2019-06-28	$110.08	$109.00	5.8%	1.7%	4.3%	14.9%	6.0%	-0.3%	0.4%	-49.6M	-398.1M	-2.3M	3.40	75.69	660	2,244	67,480	288,312