IEF Options History — September 2019

In September 2019, IEF traded between $110.56 and $114.19. ATM implied volatility averaged 7.8%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.2% (HV 20d: 6.5%). Max pain ranged from $112.00 to $112.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 4.16.

Notable Days

  • 2019-09-04: Highest Volume — 5,560 contracts
  • 2019-09-12: Largest IV spike — 65.5% change
  • 2019-09-13: Highest IV Rank — 68.5%
  • 2019-09-18: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.23$110.56$114.19$114.08$112.44
Max Pain$112.00$112.00$112.00$112.00$112.00
ATM IV7.8%6.3%15.0%7.0%7.0%
Expected Move2.0%1.8%2.4%2.1%1.9%
HV 20d6.5%5.7%6.9%5.8%6.9%
HV 60d5.9%5.2%6.3%5.3%6.1%
IV Rank26.1%17.5%68.5%21.8%21.5%
IV Percentile91.1%85.7%99.2%94.0%88.9%
Term Structure-0.9%-9.0%0.6%-0.1%-0.1%
VWIV6.9%6.1%8.2%6.9%7.0%
Skew 25d0.2%-1.7%4.1%-0.7%4.1%
Skew 10d-0.6%-11.8%7.7%-3.8%-11.8%
Call IV 25d8.6%6.6%24.6%7.8%7.6%
Put IV 25d8.8%5.7%25.2%7.1%11.8%
Bid-Ask Spread %92.8777.38111.3697.0098.95
Gamma HHI0.410.140.900.390.14
Net GEX-83.9M-535.8M-13.8M-33.1M-19.1M
Net DEX18.0M-165.6M212.6M-158.0M-80.3M
Net VEX-1.3M-1.7M-1.1M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.160.1032.101.591.92
Total Volume2,060.92405,5602,3301,011
Total OI450,716.3379,779679,223421,387488,331

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$114.08$112.007.0%2.1%5.8%21.8%6.9%-0.7%-0.1%-33.1M-158.0M-1.1M1.5997.008991,43129,592391,795
2019-09-04$114.19$112.008.5%1.9%5.7%30.5%6.1%2.8%-3.0%-24.9M-165.6M-1.2M32.10102.941685,39229,753392,658
2019-09-05$113.31$112.006.6%1.8%6.5%19.1%6.5%0.2%-0.3%-57.8M-77.3M-1.3M5.5087.964432,43529,807395,189
2019-09-06$113.42$112.006.3%1.9%6.5%17.5%7.0%-0.9%0.0%-61.8M-92.6M-1.2M3.3192.113531,16929,935396,323
2019-09-09$112.74$112.006.5%1.8%6.9%18.5%6.5%-0.2%0.0%-75.0M-26.6M-1.4M2.3085.2941695729,664395,696
2019-09-10$111.99$112.006.6%1.8%6.9%19.0%6.4%-0.4%-0.1%-90.2M53.7M-1.4M0.8379.9358148029,823396,154
2019-09-11$111.83$112.006.5%1.9%6.8%18.8%6.6%0.0%0.0%-97.0M81.0M-1.5M2.0984.686541,36630,065396,466
2019-09-12$111.49$112.0010.8%2.3%6.4%44.0%8.2%0.5%-4.3%-99.8M134.4M-1.6M0.75107.3176857730,537396,343
2019-09-13$110.56$112.0015.0%2.2%6.4%68.5%7.1%0.6%-9.0%-72.1M212.1M-1.7M5.82111.367394,29830,711397,549
2019-09-16$111.01$112.007.3%2.1%6.7%23.2%6.8%-0.1%-0.1%-84.8M212.6M-1.6M15.8291.441251,97830,370397,758
2019-09-17$111.30$112.007.0%2.0%6.7%21.7%7.2%0.0%0.2%-104.4M181.6M-1.6M2.6986.064221,13530,423397,953
2019-09-18$111.33$112.008.5%2.4%6.4%30.1%7.2%-1.7%-0.2%-116.7M182.6M-1.5M0.28107.844,3401,20430,482397,952
2019-09-19$111.38$112.006.6%1.9%6.4%19.2%6.6%-0.2%0.1%-124.2M184.9M-1.3M0.4394.0763527031,840396,905
2019-09-20$111.99$112.007.0%2.0%6.7%21.4%7.3%0.2%-0.4%-535.8M61.3M-1.2M0.8792.2370561532,127647,096
2019-09-23$112.09$112.006.9%2.0%6.2%21.0%7.0%0.1%-0.0%-16.3M-55.5M-1.2M2.6377.3827973330,526349,253
2019-09-24$112.76$112.006.9%2.1%6.6%21.1%7.4%-0.3%0.4%-13.8M-94.5M-1.1M0.1077.557487830,975449,969
2019-09-25$112.01$112.006.6%2.0%6.8%19.3%6.9%-0.3%0.5%-17.8M-53.4M-1.1M0.8278.9551542131,012450,016
2019-09-26$112.24$112.007.0%2.0%6.8%21.8%7.0%-1.5%0.6%-15.6M-62.3M-1.1M0.4596.591657531,313450,254
2019-09-27$112.37$112.0010.9%1.9%6.9%44.5%6.8%1.4%-2.4%-17.8M-78.5M-1.1M2.89107.836781,96031,417450,294
2019-09-30$112.44$112.007.0%1.9%6.9%21.5%7.0%4.1%-0.1%-19.1M-80.3M-1.2M1.9298.9534666531,057457,274