IEF Options History — May 2020

In May 2020, IEF traded between $121.10 and $121.99. ATM implied volatility averaged 6.8%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 2.0% (HV 20d: 4.9%). Max pain ranged from $120.00 to $123.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 39.14.

Notable Days

  • 2020-05-28: Highest Volume — 23,152 contracts
  • 2020-05-28: Largest IV spike — 58.2% change
  • 2020-05-01: Highest IV Rank — 77.5%
  • 2020-05-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.63$121.10$121.99$121.73$121.95
Max Pain$120.15$120.00$123.00$123.00$120.00
ATM IV6.8%5.3%17.1%17.1%7.5%
Expected Move2.0%1.5%7.1%7.1%1.5%
HV 20d4.9%4.4%5.5%5.3%4.6%
HV 60d11.7%11.4%11.9%11.7%11.4%
IV Rank17.1%7.9%77.5%77.5%20.9%
IV Percentile47.6%16.3%95.6%95.6%73.0%
Term Structure1.4%-1.4%9.9%0.2%7.3%
VWIV6.4%4.2%15.0%15.0%4.2%
Skew 25d0.8%-9.0%10.3%-9.0%0.1%
Skew 10d0.8%-13.4%14.5%1.3%0.6%
Call IV 25d7.8%5.3%20.5%20.5%5.6%
Put IV 25d8.6%5.5%18.9%11.5%5.7%
Bid-Ask Spread %103.5198.68123.04123.04104.18
Gamma HHI0.190.080.560.150.56
Net GEX-40.0M-85.4M-21.0M-46.5M-85.4M
Net DEX37.6M-25.1M125.3M24.5M125.3M
Net VEX-1.8M-2.3M-1.5M-2.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio39.140.56360.753.530.56
Total Volume4,791.8589723,1522,4508,578
Total OI144,914.75127,336171,987140,641171,987

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$121.73$123.0017.1%7.1%5.3%77.5%15.0%-9.0%0.2%-46.5M24.5M-2.0M3.53123.045411,90941,95798,684
2020-05-04$121.66$120.007.8%2.0%5.3%23.6%5.9%5.5%2.1%-27.2M7.8M-1.8M4.11107.121,3855,68841,77298,066
2020-05-05$121.65$120.006.3%1.7%5.0%15.1%6.1%0.7%4.0%-27.3M-1.3M-1.5M4.10103.553441,41142,566100,506
2020-05-06$121.24$120.006.3%1.9%4.8%13.5%6.5%10.3%-0.2%-38.6M62.8M-1.8M1.18100.3182196742,684101,115
2020-05-07$121.92$120.007.0%2.3%5.1%17.8%6.6%8.1%-1.4%-24.4M-23.6M-1.5M2.57103.694491,15543,336101,440
2020-05-08$121.49$120.006.4%1.7%5.3%14.2%6.3%2.8%0.0%-33.7M34.0M-1.6M57.68104.021478,47943,220101,364
2020-05-11$121.17$120.006.4%1.8%5.4%14.3%6.6%0.1%-0.1%-43.7M65.3M-1.8M4.13101.172911,20242,444100,867
2020-05-12$121.56$120.006.3%1.8%5.5%13.6%6.7%0.0%0.0%-36.4M35.9M-1.8M1.08101.6152957042,641101,033
2020-05-13$121.85$120.006.3%1.8%4.5%13.9%6.2%-0.4%0.2%-25.1M-8.4M-1.6M4.86102.2619896242,450101,030
2020-05-14$121.99$120.006.0%1.8%4.5%12.0%6.2%-2.2%0.8%-21.0M-24.2M-1.5M3.48100.6720069742,495101,219
2020-05-15$121.92$120.005.6%1.6%4.4%10.0%6.0%-0.7%0.2%-30.4M-25.1M-1.5M3.32106.065811,93042,484101,076
2020-05-18$121.10$120.005.9%1.7%4.9%11.6%6.2%0.0%0.1%-21.9M44.6M-1.6M28.3399.7846913,28738,15089,186
2020-05-19$121.49$120.005.8%1.7%4.9%10.8%6.0%-0.3%0.2%-39.7M47.0M-1.8M6.71103.772591,73938,378100,358
2020-05-20$121.62$120.005.9%1.7%4.8%11.4%6.1%0.2%-0.0%-39.8M41.6M-1.7M96.0899.30615,86138,482101,566
2020-05-21$121.62$120.005.5%1.6%4.8%9.3%5.8%-0.2%-0.2%-45.9M81.2M-2.1M168.85105.33345,74138,514106,912
2020-05-22$121.83$120.005.5%1.6%4.9%9.2%5.3%-0.1%-0.4%-50.9M58.1M-1.9M3.02101.1532798838,525111,807
2020-05-26$121.59$120.005.3%1.5%4.6%7.9%5.3%0.9%0.9%-50.9M38.6M-1.6M23.52103.59641,50537,794111,116
2020-05-27$121.65$120.005.4%1.5%4.4%8.3%5.8%0.1%4.0%-54.8M73.9M-1.8M4.88101.035642,75237,812111,999
2020-05-28$121.52$120.008.5%1.6%4.4%26.6%5.8%-0.1%9.9%-55.5M94.7M-2.0M360.7598.686423,08838,230113,030
2020-05-29$121.95$120.007.5%1.5%4.6%20.9%4.2%0.1%7.3%-85.4M125.3M-2.3M0.56104.185,5163,06238,257133,730