IEF Options History — November 2019

In November 2019, IEF traded between $110.26 and $112.08. ATM implied volatility averaged 5.7%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded below realized volatility by 0.3% (HV 20d: 6.0%). Max pain ranged from $111.00 to $114.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 3.00.

Notable Days

  • 2019-11-19: Highest Volume — 20,199 contracts
  • 2019-11-26: Largest IV spike — 41.9% change
  • 2019-11-26: Highest IV Rank — 37.1%
  • 2019-11-26: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.28$110.26$112.08$112.08$111.56
Max Pain$111.15$111.00$114.00$114.00$111.00
ATM IV5.7%4.3%7.7%4.9%5.1%
Expected Move1.7%1.5%2.2%1.5%1.7%
HV 20d6.0%5.2%6.6%6.1%5.2%
HV 60d6.2%5.9%6.5%6.4%5.9%
IV Rank19.8%7.5%37.1%9.2%14.8%
IV Percentile58.5%14.7%94.0%41.3%42.5%
Term Structure0.1%-0.9%2.8%0.5%-0.1%
VWIV6.1%5.1%6.6%5.1%6.0%
Skew 25d0.4%-2.6%9.6%0.3%0.1%
Skew 10d-0.7%-8.9%5.7%-1.0%2.1%
Call IV 25d5.9%3.3%8.8%4.9%5.2%
Put IV 25d6.4%5.0%17.9%5.2%5.3%
Bid-Ask Spread %94.3676.09114.9976.0988.72
Gamma HHI0.230.150.340.180.25
Net GEX-23.9M-63.8M-3.1M-5.6M-4.4M
Net DEX129.2M-86.9M400.4M10.4M593.1K
Net VEX-2.1M-2.3M-1.8M-2.1M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.000.0115.200.621.48
Total Volume2,462.9514620,1991,003474
Total OI606,254.35507,618901,051652,220530,377

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$112.08$114.004.9%1.5%6.1%9.2%5.1%0.3%0.5%-5.6M10.4M-2.1M0.6276.0961838573,827578,393
2019-11-04$111.58$111.005.1%1.6%6.2%13.9%5.8%0.0%0.3%-18.6M148.7M-2.0M8.3896.811301,08970,568577,635
2019-11-05$110.99$111.004.3%1.8%6.3%7.5%6.6%-2.3%2.8%-33.0M234.0M-2.1M0.01111.6910,89311270,593577,978
2019-11-06$111.31$111.005.3%1.7%6.4%15.5%5.7%0.1%0.2%-24.6M200.2M-2.0M11.29100.821281,44571,856577,685
2019-11-07$110.47$111.005.7%1.9%6.6%18.0%6.5%2.1%0.5%-63.8M382.2M-2.0M0.56103.241,09861771,901578,334
2019-11-08$110.26$111.006.6%1.8%6.1%25.6%6.3%9.6%-0.9%-54.7M400.4M-2.2M0.59101.951,04261872,395577,996
2019-11-11$110.38$111.006.1%1.9%5.8%23.3%6.5%0.4%0.4%-56.9M375.3M-2.0M0.0588.443321672,565578,051
2019-11-12$110.47$111.006.0%1.8%5.6%22.8%6.1%0.2%0.3%-60.5M357.2M-2.0M1.0089.9313213272,846577,827
2019-11-13$110.70$111.005.8%1.8%5.6%21.1%6.2%0.5%0.4%-47.1M297.3M-2.0M0.7392.1729421472,854577,763
2019-11-14$111.22$111.005.9%1.8%5.9%22.4%6.3%0.4%0.4%-20.4M199.7M-1.9M1.65108.5747778572,762577,632
2019-11-15$111.15$111.005.6%1.7%5.9%19.7%6.5%0.4%0.6%-31.8M223.3M-1.9M15.2096.591322,00773,026828,025
2019-11-18$111.34$111.005.9%1.7%5.9%22.1%5.7%0.3%-0.3%-15.4M24.0M-1.9M0.6287.9631919955,367452,251
2019-11-19$111.55$111.005.8%1.7%5.9%20.7%5.9%0.1%-0.5%-7.0M-21.6M-1.8M0.9979.1710,14110,05855,568452,369
2019-11-20$111.99$111.006.3%1.8%6.0%25.2%6.4%-2.6%-0.3%-3.6M-86.9M-2.2M3.3995.843941,33765,657462,415
2019-11-21$111.67$111.006.0%1.7%6.1%22.8%6.1%-0.1%-0.4%-7.5M-19.0M-2.3M8.5090.971431,21665,875463,281
2019-11-22$111.67$111.005.7%1.7%6.1%20.0%6.0%-0.1%-0.8%-5.4M-20.4M-2.2M0.3393.5461620265,904463,852
2019-11-25$111.70$111.005.4%1.7%5.9%17.7%6.0%-0.2%-0.1%-3.1M-32.0M-2.2M2.0679.8419640465,764463,638
2019-11-26$111.92$111.007.7%2.2%6.0%37.1%6.6%1.4%-0.2%-9.0M-59.3M-2.3M1.26114.9931840065,878463,988
2019-11-27$111.67$111.005.2%1.6%5.9%15.7%5.5%-1.8%0.0%-5.1M-29.5M-2.1M1.1889.83677966,085464,306
2019-11-29$111.56$111.005.1%1.7%5.2%14.8%6.0%0.1%-0.1%-4.4M593.1K-2.1M1.4888.7219128366,080464,297