IEF Options History — August 2019

In August 2019, IEF traded between $110.83 and $114.19. ATM implied volatility averaged 6.9%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.1% (HV 20d: 5.8%). Max pain ranged from $108.00 to $112.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 7.07.

Notable Days

2019-08-08: Highest Volume — 13,761 contracts
2019-08-16: Largest IV spike — 29.6% change
2019-08-16: Highest IV Rank — 39.7%
2019-08-15: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.97	$110.83	$114.19	$110.83	$114.02
Max Pain	$111.00	$108.00	$112.00	$109.00	$112.00
ATM IV	6.9%	5.4%	10.1%	7.6%	6.9%
Expected Move	2.0%	1.6%	2.3%	1.9%	1.9%
HV 20d	5.8%	4.6%	6.7%	5.3%	6.3%
HV 60d	5.2%	4.8%	5.5%	4.8%	5.4%
IV Rank	21.3%	12.2%	39.7%	25.5%	20.8%
IV Percentile	92.7%	73.4%	98.0%	97.2%	91.7%
Term Structure	0.0%	-1.5%	1.1%	-0.1%	0.4%
VWIV	6.7%	4.6%	7.9%	7.0%	5.8%
Skew 25d	-0.2%	-2.4%	7.0%	-2.4%	-0.1%
Skew 10d	-1.8%	-12.4%	3.0%	-0.9%	-0.3%
Call IV 25d	7.6%	5.4%	15.1%	5.4%	6.9%
Put IV 25d	7.4%	3.0%	18.2%	3.0%	6.8%
Bid-Ask Spread %	97.05	71.66	117.03	112.83	97.64
Gamma HHI	0.41	0.18	0.55	0.35	0.55
Net GEX	-19.0M	-38.6M	12.3M	-13.5M	-37.3M
Net DEX	-365.0M	-405.8M	-294.8M	-294.8M	-386.4M
Net VEX	-1.4M	-1.7M	-1.1M	-1.7M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.07	0.12	98.72	0.35	1.77
Total Volume	3,300	208	13,761	9,352	625
Total OI	427,710.864	380,063	673,495	382,532	445,245

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
2019-08-01	$110.83	$109.00	7.6%	1.9%	5.3%	25.5%	7.0%	-2.4%	-0.1%	-13.5M	-294.8M	-1.7M	0.35	112.83	6,904	2,448	49,876	332,656
2019-08-02	$111.09	$109.00	5.4%	1.7%	4.6%	12.2%	5.7%	-0.3%	0.3%	-617.9K	-315.8M	-1.6M	1.51	83.85	391	589	49,054	332,818
2019-08-05	$112.01	$108.00	6.5%	2.0%	5.3%	18.9%	7.3%	-1.0%	0.1%	6.3M	-377.9M	-1.3M	1.36	104.53	467	634	48,471	331,592
2019-08-06	$112.24	$108.00	6.5%	1.9%	5.2%	18.9%	7.0%	-0.7%	-0.1%	7.8M	-382.9M	-1.2M	0.76	92.18	118	90	48,619	331,902
2019-08-07	$112.27	$108.00	6.7%	2.1%	5.3%	19.8%	7.7%	-0.0%	0.2%	5.2M	-381.8M	-1.3M	0.12	117.03	8,606	1,072	48,636	332,199
2019-08-08	$112.24	$108.00	6.3%	1.7%	4.8%	17.6%	6.2%	-0.9%	-0.1%	12.3M	-405.8M	-1.3M	98.72	100.65	138	13,623	54,025	332,847
2019-08-09	$112.08	$112.00	6.3%	1.9%	4.9%	17.4%	6.4%	-0.8%	-0.2%	-10.4M	-347.8M	-1.6M	3.24	94.16	1,477	4,782	54,051	344,785
2019-08-12	$112.81	$112.00	6.9%	2.0%	5.2%	20.9%	6.9%	-1.3%	0.2%	-9.2M	-394.8M	-1.3M	0.37	99.10	574	214	54,996	344,719
2019-08-13	$112.42	$112.00	7.1%	2.0%	5.4%	22.4%	6.2%	-1.4%	0.2%	-13.6M	-355.4M	-1.5M	1.81	109.03	408	739	55,013	344,829
2019-08-14	$113.15	$112.00	7.2%	2.2%	5.5%	23.2%	7.1%	-1.1%	0.4%	-7.7M	-396.2M	-1.5M	11.30	96.94	942	10,640	55,261	345,432
2019-08-15	$113.85	$112.00	7.8%	2.3%	5.8%	26.1%	7.9%	-0.9%	0.4%	-20.2M	-387.6M	-1.7M	5.17	95.40	461	2,382	55,393	355,797
2019-08-16	$113.58	$112.00	10.1%	2.2%	5.8%	39.7%	7.7%	2.7%	-1.5%	-27.3M	-386.1M	-1.5M	13.39	93.57	439	5,878	55,590	617,905
2019-08-19	$113.06	$112.00	7.3%	2.1%	6.2%	23.4%	7.2%	7.0%	-0.2%	-34.7M	-303.0M	-1.7M	0.42	108.23	188	79	52,358	389,405
2019-08-20	$113.56	$112.00	7.0%	2.0%	6.1%	21.2%	7.4%	1.1%	0.0%	-30.5M	-340.5M	-1.6M	1.18	100.06	385	453	52,349	389,431
2019-08-21	$113.33	$112.00	5.6%	1.6%	6.3%	13.0%	4.6%	0.0%	1.1%	-37.7M	-342.5M	-1.6M	0.93	105.04	260	243	52,530	390,044
2019-08-22	$113.01	$112.00	6.7%	1.9%	6.4%	19.5%	6.4%	-2.0%	-0.8%	-38.6M	-311.8M	-1.7M	7.05	102.80	153	1,079	52,600	390,227
2019-08-23	$113.80	$112.00	7.0%	2.0%	6.6%	21.5%	6.0%	-0.7%	0.2%	-35.5M	-372.5M	-1.4M	1.30	94.90	531	688	52,661	391,016
2019-08-26	$113.69	$112.00	6.6%	1.6%	6.7%	19.4%	7.1%	-0.8%	0.1%	-36.4M	-346.6M	-1.6M	2.39	95.62	322	768	52,131	390,559
2019-08-27	$114.12	$112.00	7.2%	2.0%	6.7%	22.8%	7.1%	-0.8%	0.3%	-31.1M	-392.8M	-1.3M	0.82	76.81	690	565	52,321	391,192
2019-08-28	$114.19	$112.00	7.1%	2.1%	6.7%	22.1%	7.3%	-0.5%	0.0%	-28.5M	-405.0M	-1.2M	0.73	83.00	446	325	52,553	391,809
2019-08-29	$113.99	$112.00	7.0%	1.9%	6.3%	21.5%	6.4%	-0.1%	-0.1%	-36.3M	-401.1M	-1.1M	0.93	71.66	407	377	52,671	392,071
2019-08-30	$114.02	$112.00	6.9%	1.9%	6.3%	20.8%	5.8%	-0.1%	0.4%	-37.3M	-386.4M	-1.3M	1.77	97.64	226	399	52,767	392,478