IEF Options History — April 2020

In April 2020, IEF traded between $120.55 and $122.34. ATM implied volatility averaged 13.1%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.2% (HV 20d: 11.9%). Max pain ranged from $116.00 to $123.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 10.53.

Notable Days

  • 2020-04-24: Highest Volume — 11,311 contracts
  • 2020-04-27: Largest IV spike — 71.5% change
  • 2020-04-08: Highest IV Rank — 79.1%
  • 2020-04-01: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.62$120.55$122.34$121.92$121.80
Max Pain$122.57$116.00$123.00$116.00$123.00
ATM IV13.1%8.1%17.4%10.1%12.5%
Expected Move3.0%2.0%4.6%4.6%2.1%
HV 20d11.9%5.3%18.8%18.8%5.3%
HV 60d11.8%11.7%11.9%11.7%11.8%
IV Rank54.2%25.5%79.1%36.8%50.8%
IV Percentile89.5%78.2%96.0%88.1%86.5%
Term Structure0.6%-8.4%8.2%5.6%-0.5%
VWIV9.8%7.2%17.6%14.0%7.2%
Skew 25d0.1%-8.4%6.1%-3.9%2.3%
Skew 10d1.0%-6.5%11.3%-4.1%1.2%
Call IV 25d16.6%8.9%24.9%21.1%19.0%
Put IV 25d16.7%8.7%24.6%17.2%21.2%
Bid-Ask Spread %111.8699.57126.83111.42121.85
Gamma HHI0.120.090.150.130.12
Net GEX-32.4M-37.4M-27.7M-37.4M-28.4M
Net DEX20.6M-34.7M111.8M-23.3M9.9M
Net VEX-2.2M-2.7M-1.8M-2.2M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.530.5239.331.455.13
Total Volume5,071.85758111,3117,9752,989
Total OI142,283.952123,369154,897142,966139,914

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$121.92$116.0010.1%4.6%18.8%36.8%14.0%-3.9%5.6%-37.4M-23.3M-2.2M1.45111.423,2584,71735,696107,270
2020-04-02$121.83$122.0013.9%3.2%18.6%58.7%10.0%-8.1%5.6%-27.7M24.6M-2.7M39.33107.601787,00138,796111,100
2020-04-03$121.98$122.0012.8%2.9%18.3%52.6%9.0%4.0%2.5%-30.2M-20.3M-2.2M17.52106.522494,36238,841114,577
2020-04-06$121.37$123.0015.3%3.4%18.1%67.1%8.8%0.3%-7.5%-35.4M12.8M-2.3M5.26112.073111,63538,119115,682
2020-04-07$120.81$123.0016.4%3.1%17.3%73.4%8.8%0.3%-8.4%-36.3M43.5M-2.3M6.38108.631841,17438,292115,510
2020-04-08$120.55$123.0017.4%3.6%17.1%79.1%9.5%6.1%-6.6%-34.0M101.1M-2.7M21.28117.561523,23538,268115,185
2020-04-09$120.74$123.0016.9%3.8%17.0%76.4%11.7%-1.1%-7.2%-33.7M111.8M-2.7M7.83123.512642,06838,348116,199
2020-04-13$120.73$123.0010.6%3.1%16.9%39.8%10.2%1.0%6.9%-35.1M111.1M-2.7M25.80113.873709,54638,193116,704
2020-04-14$120.81$123.008.5%2.4%15.1%28.0%7.4%0.7%8.2%-30.1M82.1M-2.6M17.68107.771833,23638,242110,262
2020-04-15$121.94$123.009.4%2.7%13.4%32.9%9.3%-0.9%7.5%-28.8M-6.8M-2.1M7.63101.523372,57238,344110,679
2020-04-16$122.05$123.0010.7%2.7%11.6%40.2%9.7%-0.3%7.1%-28.7M-22.3M-2.1M6.57105.535483,60038,385110,709
2020-04-17$121.70$123.0012.5%3.0%11.7%51.0%8.7%-8.4%7.9%-29.9M4.0M-2.0M11.02105.304224,65238,264111,696
2020-04-20$122.02$123.0014.7%3.2%9.1%63.5%17.6%2.5%-1.8%-33.1M29.3M-2.1M16.07126.834507,23236,88486,485
2020-04-21$122.34$123.0014.2%2.5%7.0%60.5%8.8%1.6%-2.3%-31.5M-34.7M-1.8M1.1199.5750556237,09988,878
2020-04-22$121.98$123.0013.3%2.4%6.1%55.3%9.3%1.1%-0.4%-32.0M24.2M-2.1M15.60108.233554637,07788,990
2020-04-23$122.06$123.0010.2%2.4%6.1%37.9%9.4%-0.4%0.7%-33.4M-12.0M-1.8M8.84102.648967,92237,02989,207
2020-04-24$122.10$123.008.1%2.2%6.0%25.5%8.0%0.4%0.4%-33.6M6.4M-2.0M2.65113.693,1008,21137,47092,651
2020-04-27$121.51$123.0013.9%2.0%5.3%58.7%7.4%-1.1%-4.7%-32.9M-4.9M-1.9M0.90103.961,9901,79638,82293,307
2020-04-28$121.98$123.0016.3%4.4%5.4%72.5%12.8%4.0%-0.2%-32.4M5.5M-2.1M2.60125.552,3296,05040,34794,068
2020-04-29$121.88$123.0017.0%2.9%5.4%76.8%8.1%1.6%-0.5%-35.2M-9.8M-1.8M0.52125.445,0432,59939,98396,391
2020-04-30$121.80$123.0012.5%2.1%5.3%50.8%7.2%2.3%-0.5%-28.4M9.9M-2.0M5.13121.854882,50142,08897,826