IEF Options History — March 2020

In March 2020, IEF traded between $116.09 and $121.60. ATM implied volatility averaged 16.1%, placing in the 73.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.7% (HV 20d: 13.4%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 6.43.

Notable Days

  • 2020-03-25: Highest Volume — 21,799 contracts
  • 2020-03-06: Largest IV spike — 84.1% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-11: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.26$116.09$121.60$117.22$121.55
Max Pain$114.86$114.00$115.00$114.00$115.00
ATM IV16.1%8.1%21.1%9.3%14.3%
Expected Move4.7%2.3%5.9%2.9%3.8%
HV 20d13.4%6.5%19.2%6.7%18.8%
HV 60d8.9%5.7%11.8%5.7%11.7%
IV Rank73.4%30.7%100.0%39.1%61.5%
IV Percentile96.5%91.7%100.0%94.4%92.9%
Term Structure-0.9%-5.9%3.6%3.6%2.2%
VWIV15.6%8.0%24.3%8.0%13.8%
Skew 25d-0.5%-9.8%11.6%-3.3%-9.8%
Skew 10d0.3%-12.1%15.9%0.4%2.7%
Call IV 25d19.3%6.6%27.9%10.1%19.5%
Put IV 25d18.8%6.1%28.8%6.7%9.8%
Bid-Ask Spread %106.3559.18121.0385.02116.60
Gamma HHI0.190.140.290.210.15
Net GEX-36.2M-69.7M-3.3M-5.5M-26.4M
Net DEX-63.1M-340.1M238.1M-251.2M5.8M
Net VEX-2.5M-3.3M-1.4M-2.1M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.430.1658.040.852.65
Total Volume5,381.13662121,7991,7305,488
Total OI461,544.182112,182630,473594,419140,955

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$117.22$114.009.3%2.9%6.7%39.1%8.0%-3.3%3.6%-5.5M-251.2M-2.1M0.8585.0293679445,846548,573
2020-03-03$118.33$114.009.2%2.8%7.0%37.8%9.5%-1.7%3.5%-6.4M-327.0M-1.6M0.7076.032,2411,57445,763549,069
2020-03-04$118.17$114.008.1%2.4%6.6%30.7%8.4%-0.5%-1.1%-3.3M-340.1M-1.4M58.0459.1833519,44346,758550,375
2020-03-05$119.24$115.009.0%2.3%6.5%36.7%8.2%-1.0%0.7%-22.5M-325.7M-1.5M0.1686.891,75528546,941569,391
2020-03-06$120.41$115.0016.6%4.2%6.9%88.6%13.2%3.1%-5.9%-18.3M-318.0M-2.0M2.6099.811,4013,64448,168569,503
2020-03-09$121.60$115.0020.5%5.7%7.3%100.0%18.9%-5.6%-0.1%-32.0M-172.0M-2.9M1.43102.6049770948,313571,242
2020-03-10$119.80$115.0021.1%5.1%9.8%100.0%21.5%-1.5%-0.7%-36.8M-165.0M-2.6M0.98111.5441941148,448571,450
2020-03-11$118.94$115.0020.7%5.9%10.3%98.2%19.1%0.7%-2.9%-35.9M-98.0M-2.9M2.35113.595581,30948,589571,437
2020-03-12$118.42$115.0019.5%5.3%10.4%90.9%16.6%-2.5%-0.9%-62.3M100.4M-3.3M0.38117.3669926948,472577,412
2020-03-13$117.90$115.0017.9%4.3%10.7%81.8%13.3%-0.9%-2.8%-69.7M134.6M-3.2M2.48121.035691,41248,584577,381
2020-03-16$120.42$115.0020.3%5.7%12.7%95.7%18.7%-7.8%1.0%-24.8M-177.0M-2.6M0.8498.8869858548,485576,792
2020-03-17$118.01$115.0014.2%3.9%15.1%60.6%12.3%-3.8%0.5%-42.5M-44.6M-2.8M0.21110.0099020848,492577,226
2020-03-18$116.09$115.0018.3%5.3%16.5%84.3%17.4%3.6%-1.4%-68.7M238.1M-3.2M19.54116.7061211,95748,680577,259
2020-03-19$116.15$115.0020.2%5.8%16.4%94.9%21.9%-3.0%1.3%-66.6M230.1M-3.2M0.96118.147,9407,59848,726576,876
2020-03-20$118.77$115.0019.1%5.7%18.1%89.0%17.8%11.6%-3.5%-42.2M-117.8M-2.8M0.71118.4236325856,399574,074
2020-03-23$120.80$115.0017.0%4.7%18.8%76.5%18.5%-3.6%-0.5%-38.5M47.1M-2.3M1.15113.9166175824,34687,836
2020-03-24$119.70$115.0014.5%5.9%19.2%62.5%24.3%2.1%-0.6%-37.9M106.0M-2.5M17.05112.792053,49624,63488,444
2020-03-25$119.61$115.0015.9%5.6%19.2%70.4%22.4%3.7%1.2%-44.4M76.6M-2.2M1.07116.6910,53711,26224,69089,989
2020-03-26$120.03$115.0014.9%4.8%19.2%64.8%10.4%10.2%-5.4%-43.2M42.8M-2.6M3.31107.5427691435,319100,680
2020-03-27$121.23$115.0016.5%4.6%19.0%74.1%14.6%0.2%-4.2%-35.2M-25.1M-2.2M3.47117.517912,74535,431100,603
2020-03-30$121.42$115.0017.1%5.7%19.0%77.2%13.5%-1.3%-2.6%-32.9M-8.6M-2.5M20.61119.5049910,28434,876101,445
2020-03-31$121.55$115.0014.3%3.8%18.8%61.5%13.8%-9.8%2.2%-26.4M5.8M-2.5M2.65116.601,5043,98435,027105,928