IEF Options History — December 2019

In December 2019, IEF traded between $110.19 and $111.98. ATM implied volatility averaged 5.9%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 0.1% (HV 20d: 5.8%). Max pain ranged from $111.00 to $111.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 38.65.

Notable Days

  • 2019-12-19: Highest Volume — 130,641 contracts
  • 2019-12-19: Largest IV spike — 75.6% change
  • 2019-12-02: Highest IV Rank — 61.5%
  • 2019-12-03: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.79$110.19$111.98$111.03$110.27
Max Pain$111.00$111.00$111.00$111.00$111.00
ATM IV5.9%4.8%10.5%10.5%4.9%
Expected Move1.6%1.4%2.0%1.7%1.6%
HV 20d5.8%5.0%6.3%5.2%5.9%
HV 60d5.9%5.6%6.1%6.0%5.6%
IV Rank21.6%12.7%61.5%61.5%13.3%
IV Percentile52.8%31.7%97.6%97.6%34.5%
Term Structure0.2%-4.2%8.9%-4.2%0.4%
VWIV5.6%3.6%7.4%6.3%5.6%
Skew 25d1.2%-0.7%13.0%9.7%0.1%
Skew 10d1.2%-10.5%17.0%16.5%-1.0%
Call IV 25d5.9%4.6%13.3%5.6%4.8%
Put IV 25d7.1%4.9%22.6%15.3%4.9%
Bid-Ask Spread %79.5355.95104.9298.9576.05
Gamma HHI0.230.150.320.170.32
Net GEX-18.2M-28.4M-5.4M-15.3M-25.7M
Net DEX199.6M-94.5M381.8M110.3M354.8M
Net VEX-2.0M-2.7M-1.7M-2.1M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio38.650.01352.081.460.56
Total Volume11,227.476306130,6411,168306
Total OI529,525.952440,008781,939529,671463,472

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$111.03$111.0010.5%1.7%5.2%61.5%6.3%9.7%-4.2%-15.3M110.3M-2.1M1.4698.9547569365,662464,009
2019-12-03$111.98$111.005.7%2.0%5.9%20.2%7.4%-0.0%-0.0%-5.4M-94.5M-2.1M2.5178.6515639165,908464,543
2019-12-04$111.53$111.005.4%2.0%5.7%18.0%6.7%1.5%0.1%-10.1M2.3M-2.1M13.6496.446183265,994464,890
2019-12-05$111.31$111.005.8%1.7%5.7%20.7%6.7%1.5%0.5%-11.9M49.7M-2.1M63.2586.94764,80766,020465,136
2019-12-06$110.99$111.005.5%1.7%5.1%18.5%6.0%-0.1%0.1%-15.7M142.4M-2.0M4.1364.292461,01666,074466,785
2019-12-09$111.06$111.005.8%1.7%5.0%21.2%5.9%-0.3%0.2%-14.4M117.5M-2.0M8.8078.8210895066,178475,356
2019-12-10$110.95$111.005.8%1.8%5.0%21.4%6.2%0.0%0.4%-16.4M144.2M-2.0M37.4681.41562,09866,168475,866
2019-12-11$111.38$111.006.3%1.7%5.2%25.1%5.8%-0.1%-1.1%-10.1M54.7M-2.0M14.1773.281872,65066,207468,241
2019-12-12$110.49$111.005.6%1.8%5.9%19.6%6.2%-0.1%0.6%-24.0M286.6M-1.9M0.0189.0520,33327066,297469,290
2019-12-13$111.16$111.008.0%1.5%6.1%39.6%5.3%13.0%-0.9%-14.6M77.2M-2.1M48.53104.9242420,57771,438469,317
2019-12-16$110.66$111.005.4%1.6%6.3%17.5%3.6%-0.0%-0.6%-15.4M275.7M-1.9M218.3684.93337,20671,367475,071
2019-12-17$110.67$111.004.9%1.4%6.3%13.7%5.4%-0.3%-0.0%-15.5M292.6M-1.9M0.6684.8631320571,346476,078
2019-12-18$110.35$111.005.0%1.4%6.3%14.6%5.0%-0.1%-0.1%-28.4M381.8M-1.7M23.6271.5254812,94371,600476,115
2019-12-19$110.31$111.008.8%1.9%6.1%47.4%5.9%-0.7%8.9%-27.9M294.7M-2.2M352.0885.22370130,27176,741581,450
2019-12-20$110.27$111.005.1%1.5%6.0%15.1%4.4%-0.1%-0.3%-20.5M289.5M-2.1M5.6784.082181,23777,076704,863
2019-12-23$110.19$111.004.8%1.4%6.0%12.7%5.3%0.4%-0.0%-22.7M329.1M-1.8M10.0477.819090467,052372,956
2019-12-24$110.33$111.004.9%1.5%6.0%13.1%5.4%0.0%0.2%-23.5M316.0M-1.9M2.2561.559721867,072373,407
2019-12-26$110.47$111.005.0%1.5%6.0%13.8%5.1%0.1%-0.3%-21.9M274.0M-1.9M0.6156.8631919667,148373,718
2019-12-27$110.69$111.004.9%1.5%6.0%13.2%4.3%0.1%-0.2%-20.0M213.6M-1.9M1.0355.9511,14511,46467,473373,700
2019-12-30$110.59$111.005.0%1.4%6.0%14.0%4.7%0.1%0.3%-22.0M280.2M-2.7M2.9078.5633095878,319384,642
2019-12-31$110.27$111.004.9%1.6%5.9%13.3%5.6%0.1%0.4%-25.7M354.8M-2.6M0.5676.0519611078,389385,083