IEF Options History — February 2020

In February 2020, IEF traded between $112.63 and $117.40. ATM implied volatility averaged 6.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.1% (HV 20d: 5.5%). Max pain ranged from $112.00 to $114.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 3.71.

Notable Days

2020-02-26: Highest Volume — 45,680 contracts
2020-02-27: Largest IV spike — 38.9% change
2020-02-28: Highest IV Rank — 47.8%
2020-02-28: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.00	$112.63	$117.40	$113.74	$117.40
Max Pain	$113.68	$112.00	$114.00	$112.00	$114.00
ATM IV	6.6%	5.2%	10.6%	6.3%	10.6%
Expected Move	2.0%	1.5%	3.8%	1.8%	3.8%
HV 20d	5.5%	4.7%	6.7%	4.7%	6.7%
HV 60d	5.4%	5.2%	5.9%	5.3%	5.9%
IV Rank	21.4%	12.2%	47.8%	19.7%	47.8%
IV Percentile	67.7%	39.7%	96.8%	71.4%	96.8%
Term Structure	1.5%	-0.5%	10.4%	-0.2%	-0.5%
VWIV	6.9%	4.7%	12.5%	6.6%	12.5%
Skew 25d	-0.8%	-2.2%	-0.1%	-0.6%	-2.2%
Skew 10d	-0.9%	-4.5%	5.8%	1.3%	-1.3%
Call IV 25d	7.1%	5.5%	12.2%	7.1%	12.2%
Put IV 25d	6.2%	4.7%	9.9%	6.4%	9.9%
Bid-Ask Spread %	76.44	48.93	101.47	72.36	84.39
Gamma HHI	0.32	0.20	0.43	0.37	0.37
Net GEX	-54.4M	-109.5M	3.7M	-62.8M	-24.5M
Net DEX	76.2M	-207.1M	258.0M	101.7M	-207.1M
Net VEX	-2.5M	-2.7M	-2.3M	-2.4M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.71	0.14	38.79	0.66	0.14
Total Volume	6,121.842	90	45,680	2,454	7,050
Total OI	466,517.316	440,139	594,998	440,139	594,998

Daily Data (19 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
2020-02-03	$113.74	$112.00	6.3%	1.8%	4.7%	19.7%	6.6%	-0.6%	-0.2%	-62.8M	101.7M	-2.4M	0.66	72.36	1,475	979	31,903	408,236
2020-02-04	$113.12	$112.00	5.7%	1.7%	5.2%	15.1%	6.2%	-0.1%	-0.2%	-88.1M	191.6M	-2.6M	0.69	79.74	2,347	1,631	32,754	409,384
2020-02-05	$112.63	$112.00	5.3%	1.6%	5.5%	12.7%	5.0%	-0.7%	-0.1%	-109.5M	258.0M	-2.6M	1.91	81.83	1,348	2,577	33,433	410,914
2020-02-06	$112.77	$114.00	5.5%	1.5%	5.3%	13.9%	7.2%	-0.6%	-0.2%	-106.5M	237.9M	-2.6M	1.43	75.64	479	687	33,911	412,540
2020-02-07	$113.24	$114.00	6.3%	1.8%	5.4%	19.1%	4.7%	-2.1%	-0.0%	-78.6M	185.7M	-2.7M	1.66	101.47	1,056	1,752	34,193	412,667
2020-02-10	$113.49	$114.00	6.0%	1.6%	5.4%	17.1%	5.6%	-0.7%	-0.0%	-65.1M	118.0M	-2.4M	5.21	74.90	220	1,147	34,615	413,450
2020-02-11	$113.24	$114.00	5.7%	1.6%	5.5%	15.1%	5.4%	-0.6%	0.1%	-76.4M	158.6M	-2.5M	0.71	48.93	668	473	34,801	413,908
2020-02-12	$112.92	$114.00	5.4%	1.6%	5.6%	13.2%	5.6%	-0.1%	0.3%	-93.5M	209.0M	-2.5M	8.59	54.95	660	5,669	35,441	414,300
2020-02-13	$113.06	$114.00	5.2%	1.6%	5.6%	12.2%	0.0%	-0.5%	0.4%	-86.6M	180.7M	-2.4M	1.25	65.46	40	50	36,031	415,163
2020-02-14	$113.23	$114.00	5.5%	1.7%	5.5%	14.0%	6.2%	-0.6%	0.4%	-68.9M	148.2M	-2.4M	0.25	88.69	9,661	2,434	36,052	415,321
2020-02-18	$113.51	$114.00	6.0%	1.7%	5.5%	17.2%	6.5%	-0.7%	-0.3%	-45.0M	107.4M	-2.4M	0.42	90.11	3,167	1,337	44,104	416,254
2020-02-19	$113.44	$114.00	5.9%	1.7%	5.4%	16.3%	5.9%	-0.7%	-0.1%	-39.9M	112.3M	-2.5M	1.63	73.19	328	533	46,492	416,710
2020-02-20	$113.83	$114.00	6.1%	1.8%	5.4%	18.2%	6.2%	-0.6%	-0.3%	-21.6M	57.9M	-2.4M	1.33	72.28	1,096	1,457	46,749	416,938
2020-02-21	$114.31	$114.00	7.0%	2.1%	5.5%	24.0%	7.6%	-1.7%	-0.4%	-14.8M	-4.9M	-2.5M	1.34	77.71	1,745	2,337	47,038	416,787
2020-02-24	$115.12	$114.00	7.6%	2.4%	5.9%	28.2%	8.2%	-0.8%	1.4%	-14.2M	-49.6M	-2.5M	3.57	87.22	978	3,488	43,897	406,749
2020-02-25	$115.51	$114.00	7.6%	2.4%	5.6%	27.8%	8.1%	-0.9%	10.4%	2.2M	-116.7M	-2.3M	0.67	76.86	1,764	1,174	44,085	407,368
2020-02-26	$115.47	$114.00	7.5%	2.2%	5.4%	27.3%	7.3%	-1.0%	9.2%	3.7M	-127.0M	-2.3M	38.79	68.40	1,148	44,532	45,371	408,275
2020-02-27	$115.94	$114.00	10.4%	2.7%	5.3%	46.9%	8.9%	-0.7%	8.1%	-44.2M	-114.1M	-2.4M	0.22	78.28	7,262	1,566	45,550	547,447
2020-02-28	$117.40	$114.00	10.6%	3.8%	6.7%	47.8%	12.5%	-2.2%	-0.5%	-24.5M	-207.1M	-2.3M	0.14	84.39	6,210	840	46,221	548,777