IEF Options History — October 2019

In October 2019, IEF traded between $111.17 and $113.81. ATM implied volatility averaged 6.9%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.7% (HV 20d: 6.2%). Max pain ranged from $113.00 to $114.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 10.26.

Notable Days

  • 2019-10-28: Highest Volume — 22,343 contracts
  • 2019-10-03: Largest IV spike — 82.6% change
  • 2019-10-03: Highest IV Rank — 59.4%
  • 2019-10-09: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.29$111.17$113.81$112.60$112.56
Max Pain$113.78$113.00$114.00$113.00$114.00
ATM IV6.9%5.3%13.4%7.3%5.3%
Expected Move1.9%1.6%2.5%2.0%1.6%
HV 20d6.2%5.5%7.0%6.9%6.0%
HV 60d6.3%6.1%6.6%6.1%6.4%
IV Rank21.1%11.5%59.4%23.2%11.5%
IV Percentile79.1%52.0%98.8%93.3%52.0%
Term Structure-0.3%-7.1%4.3%-0.4%-0.1%
VWIV6.3%3.8%7.4%7.3%5.4%
Skew 25d-0.0%-7.8%9.2%-7.8%0.4%
Skew 10d0.4%-4.7%13.0%-4.6%0.0%
Call IV 25d7.6%4.3%22.2%15.1%5.0%
Put IV 25d7.6%5.1%17.5%7.3%5.4%
Bid-Ask Spread %96.9766.73118.95101.2278.91
Gamma HHI0.190.110.390.150.16
Net GEX-23.9M-82.7M-1.7M-15.4M-1.7M
Net DEX25.0M-148.8M197.9M-71.5M-100.7M
Net VEX-1.5M-2.1M-1.1M-1.1M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.260.8570.561.050.85
Total Volume5,832.52218422,34312,050729
Total OI574,028.435487,527652,787487,527652,787

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$112.60$113.007.3%2.0%6.9%23.2%7.3%-7.8%-0.4%-15.4M-71.5M-1.1M1.05101.225,8676,18329,826457,701
2019-10-02$113.01$113.007.3%2.0%7.0%23.6%7.1%-0.8%-0.6%-14.2M-77.2M-1.4M0.8899.6312210735,317463,097
2019-10-03$113.63$113.0013.4%2.1%6.8%59.4%7.4%-4.8%-7.1%-4.2M-140.3M-1.1M1.69109.916931,17435,337463,154
2019-10-04$113.81$113.007.0%1.9%6.8%21.3%6.6%1.9%0.0%-5.9M-148.8M-1.1M35.1898.742378,33834,851474,027
2019-10-07$113.45$113.006.7%2.0%6.5%19.6%6.3%-0.6%0.6%-9.5M-131.9M-1.1M1.0689.0710,17910,83934,763503,673
2019-10-08$113.67$114.008.4%2.0%6.0%29.6%6.1%0.3%0.5%-16.7M-98.2M-1.7M2.06114.9512525844,817514,349
2019-10-09$113.33$114.006.8%2.5%6.1%20.5%6.7%2.5%4.3%-11.2M-106.1M-1.4M42.88102.71923,94544,836514,406
2019-10-10$112.66$114.007.0%1.8%6.4%21.3%3.8%1.4%-1.6%-19.9M-8.9M-1.5M70.56104.22483,38744,868517,245
2019-10-11$111.78$114.006.5%1.9%6.3%18.5%7.1%9.2%-1.1%-35.8M108.9M-1.6M6.51106.6713084644,869520,376
2019-10-14$112.24$114.006.5%1.9%6.3%18.6%6.6%0.1%0.1%-26.7M49.9M-1.4M5.7482.949152244,733519,012
2019-10-15$111.67$114.006.7%1.9%6.6%19.7%6.7%-0.7%-0.1%-33.4M101.0M-1.4M1.0296.681,7031,74544,763519,401
2019-10-16$111.91$114.006.5%1.9%6.6%18.7%6.0%-0.2%-0.2%-29.1M63.3M-1.3M7.1686.643726546,198520,832
2019-10-17$111.85$114.006.5%1.9%6.6%18.5%6.7%-0.1%-0.2%-39.6M89.1M-1.5M2.1089.431,3492,83346,213520,699
2019-10-18$111.94$114.006.4%1.8%6.3%18.1%6.6%-0.3%0.0%-82.7M72.9M-1.4M5.7788.7214181447,242523,338
2019-10-21$111.58$114.006.9%1.9%6.4%20.7%6.6%0.3%-0.9%-29.9M113.7M-1.3M1.0377.392,2592,33546,212551,816
2019-10-22$111.81$114.008.2%2.0%6.1%28.6%5.1%-2.5%-0.7%-26.7M87.1M-1.4M40.76118.95502,03848,268554,037
2019-10-23$111.81$114.007.0%1.8%5.6%21.6%6.8%0.2%-0.8%-11.7M67.1M-1.2M1.0066.7310,09710,06348,286552,609
2019-10-24$111.78$114.005.9%1.7%5.5%14.9%6.0%-0.4%0.1%-9.7M82.8M-1.6M3.87102.144718258,294562,497
2019-10-25$111.53$114.005.9%1.7%5.6%15.1%6.0%-0.3%-0.6%-32.7M140.2M-1.6M1.52108.4449474958,311562,660
2019-10-28$111.17$114.005.7%1.7%5.6%13.6%6.1%0.5%0.2%-36.2M194.0M-1.5M1.1191.6210,58511,75853,872558,054
2019-10-29$111.26$114.006.1%1.7%5.6%16.3%5.3%1.3%0.5%-34.8M197.9M-2.0M0.9899.7810,35910,14964,238568,135
2019-10-30$111.73$114.005.5%1.7%5.7%12.7%5.9%0.3%0.2%-21.5M90.4M-2.1M1.24114.768210274,426578,209
2019-10-31$112.56$114.005.3%1.6%6.0%11.5%5.4%0.4%-0.1%-1.7M-100.7M-1.9M0.8578.9139433574,489578,298