IEF Options History — July 2019

In July 2019, IEF traded between $108.95 and $110.31. ATM implied volatility averaged 5.4%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.6% (HV 20d: 4.9%). Max pain ranged from $109.00 to $109.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 3.51.

Notable Days

  • 2019-07-12: Highest Volume — 24,151 contracts
  • 2019-07-03: Largest IV spike — 63.2% change
  • 2019-07-03: Highest IV Rank — 35.9%
  • 2019-07-25: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.55$108.95$110.31$109.67$109.85
Max Pain$109.00$109.00$109.00$109.00$109.00
ATM IV5.4%4.6%9.4%5.8%4.6%
Expected Move1.5%1.4%1.6%1.6%1.5%
HV 20d4.9%4.2%5.3%4.5%4.2%
HV 60d4.6%4.4%4.7%4.4%4.6%
IV Rank12.5%7.5%35.9%14.5%7.5%
IV Percentile72.5%41.3%97.6%86.5%41.3%
Term Structure-0.1%-0.8%0.4%-0.6%0.3%
VWIV5.4%4.6%5.9%5.5%5.7%
Skew 25d0.3%-0.4%7.2%-0.2%7.2%
Skew 10d-1.5%-14.4%1.3%-1.9%-10.9%
Call IV 25d5.3%4.0%6.0%6.0%5.4%
Put IV 25d5.6%4.3%12.6%5.8%12.6%
Bid-Ask Spread %77.2138.32118.5088.06118.50
Gamma HHI0.750.580.910.690.67
Net GEX-88.1M-258.9M-37.4M-55.5M-67.1M
Net DEX-311.6M-422.1M-140.9M-347.6M-341.9M
Net VEX-2.2M-2.8M-1.9M-2.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.510.3316.091.100.33
Total Volume4,162.27356124,1515619,136
Total OI379,829.409354,147480,313354,615396,632

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$109.67$109.005.8%1.6%4.5%14.5%5.5%-0.2%-0.6%-55.5M-347.6M-2.2M1.1088.0626729461,481293,134
2019-07-02$110.10$109.005.8%1.6%4.4%14.5%5.6%-0.3%-0.3%-44.0M-388.4M-2.1M1.2657.6547960261,411293,258
2019-07-03$110.31$109.009.4%1.6%4.5%35.9%5.8%2.0%0.2%-37.4M-422.1M-2.0M1.0472.8350552661,517293,253
2019-07-05$109.56$109.005.5%1.5%5.2%12.9%5.4%-0.2%-0.2%-67.6M-346.5M-2.1M1.6592.057931,30961,569293,274
2019-07-08$109.52$109.005.3%1.5%5.0%11.6%5.4%-0.4%0.1%-69.0M-367.3M-1.9M1.9341.061,1972,31461,425292,722
2019-07-09$109.38$109.005.1%1.4%4.8%10.3%4.6%-0.2%-0.1%-77.1M-308.9M-2.3M4.1364.306932,86562,542295,049
2019-07-10$109.47$109.005.3%1.5%4.8%11.8%5.0%0.3%-0.0%-90.6M-319.5M-2.3M2.7286.901,2503,40163,500296,028
2019-07-11$108.95$109.005.1%1.5%5.0%10.9%5.1%0.2%-0.1%-103.7M-264.9M-2.6M2.6592.731,3703,63163,492296,106
2019-07-12$109.10$109.005.2%1.5%5.0%11.1%5.1%-0.2%-0.1%-135.5M-264.6M-2.3M16.0989.071,41322,73863,571296,153
2019-07-15$109.27$109.005.6%1.6%5.0%13.6%5.4%-0.4%-0.3%-195.5M-169.1M-2.8M2.2038.3219943763,518316,174
2019-07-16$109.02$109.005.7%1.6%5.1%13.8%5.5%-0.2%-0.4%-258.9M-140.9M-2.5M3.5687.643491,24363,472316,336
2019-07-17$109.51$109.005.6%1.6%5.3%13.6%5.7%-0.0%-0.4%-155.1M-288.1M-2.2M3.0590.415351,63463,520316,479
2019-07-18$109.88$109.005.6%1.6%5.3%13.4%5.7%-0.1%-0.5%-70.3M-369.8M-1.9M2.5250.127001,76463,493316,516
2019-07-19$109.65$109.005.3%1.6%5.3%11.9%5.0%0.0%-0.8%-61.2M-351.6M-2.0M15.7682.591,06116,72163,566416,747
2019-07-22$109.66$109.005.1%1.6%5.1%10.4%5.9%-0.3%0.1%-55.7M-307.9M-2.4M2.0989.1418438461,519330,371
2019-07-23$109.45$109.005.1%1.6%5.0%10.4%5.2%-0.3%-0.0%-63.1M-304.1M-2.2M2.5883.8130478361,579330,502
2019-07-24$109.62$109.005.0%1.6%5.0%10.1%5.7%-0.2%0.1%-60.3M-332.5M-2.0M1.4080.2357981261,647330,767
2019-07-25$109.44$109.005.1%1.6%4.7%10.6%5.6%0.1%-0.2%-67.6M-291.6M-2.1M1.0671.9662766461,789330,783
2019-07-26$109.45$109.004.7%1.4%4.6%8.4%5.3%-0.1%0.4%-74.1M-297.5M-2.2M1.0964.552,1602,34461,848330,778
2019-07-29$109.55$109.004.8%1.5%4.6%8.8%5.1%-0.0%0.2%-62.8M-316.6M-2.2M8.0067.996955263,298330,911
2019-07-30$109.60$109.004.9%1.6%4.4%9.4%5.7%0.1%0.1%-66.8M-314.1M-2.1M0.9988.791,3481,33463,330331,187
2019-07-31$109.85$109.004.6%1.5%4.2%7.5%5.7%7.2%0.3%-67.1M-341.9M-2.1M0.33118.506,8872,24964,371332,261