IEF Options History — June 2020

In June 2020, IEF traded between $119.74 and $122.08. ATM implied volatility averaged 8.3%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 3.2% (HV 20d: 5.2%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 24.97.

Notable Days

  • 2020-06-04: Highest Volume — 23,229 contracts
  • 2020-06-03: Largest IV spike — 71.2% change
  • 2020-06-05: Highest IV Rank — 58.3%
  • 2020-06-10: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.24$119.74$122.08$121.74$121.88
Max Pain$122.41$120.00$125.00$120.00$122.00
ATM IV8.3%5.8%13.9%6.9%5.8%
Expected Move1.8%1.5%2.3%1.6%1.7%
HV 20d5.2%4.6%5.7%4.6%5.0%
HV 60d7.6%4.9%11.3%11.3%4.9%
IV Rank25.6%11.1%58.3%17.6%11.1%
IV Percentile66.1%34.5%88.5%63.1%34.5%
Term Structure-1.4%-12.9%9.4%-2.6%0.5%
VWIV6.7%5.5%9.0%5.5%5.8%
Skew 25d-0.4%-13.1%7.2%2.3%-0.2%
Skew 10d-0.4%-8.2%3.3%2.2%0.7%
Call IV 25d12.1%5.6%23.7%10.6%11.6%
Put IV 25d11.6%6.2%23.7%12.9%11.4%
Bid-Ask Spread %104.5194.02113.58103.09101.33
Gamma HHI0.300.230.410.410.33
Net GEX-99.1M-118.4M-77.0M-79.0M-97.9M
Net DEX415.8M267.6M618.7M267.6M400.3M
Net VEX-3.2M-3.7M-2.5M-2.5M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio24.970.56152.2711.4042.30
Total Volume6,413.77311123,2292,3181,905
Total OI189,220.318163,037215,431163,037190,058

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$121.74$120.006.9%1.6%4.6%17.6%5.5%2.3%-2.6%-79.0M267.6M-2.5M11.40103.091872,13129,261133,776
2020-06-02$121.56$120.007.9%1.6%4.6%23.3%6.1%6.2%-1.7%-79.3M292.8M-2.5M34.0594.02551,87329,351135,538
2020-06-03$120.84$120.0013.5%1.9%5.1%56.1%6.5%-2.0%-12.5%-87.4M423.4M-2.9M15.00100.312303,45129,387136,134
2020-06-04$120.42$125.009.7%1.8%5.1%33.8%6.5%4.3%-3.3%-95.3M513.9M-2.9M1.7799.498,38714,84227,975138,083
2020-06-05$119.74$125.0013.9%1.9%4.9%58.3%7.2%1.0%-12.1%-100.9M610.2M-3.2M1.64103.915,6519,27034,502145,642
2020-06-08$119.87$125.0010.7%2.0%4.9%39.2%6.8%-0.3%0.3%-107.2M618.7M-3.7M70.3499.7015911,18436,437152,732
2020-06-09$120.31$125.0011.7%2.3%5.0%45.4%8.5%-2.8%-12.9%-95.1M537.7M-3.7M3.35109.3517157236,561159,015
2020-06-10$121.13$125.007.0%2.3%5.5%18.1%6.7%-2.9%0.5%-102.5M412.4M-3.4M15.14106.644576,91736,592159,455
2020-06-11$121.67$122.007.3%1.6%5.7%19.5%7.1%-0.3%-2.7%-102.7M311.3M-3.5M5.60102.335132,87536,936162,790
2020-06-12$121.38$122.007.0%1.7%5.7%18.1%9.0%4.9%-3.2%-92.3M333.0M-3.5M4.86101.482441,18637,103163,980
2020-06-15$121.35$122.006.9%1.8%5.7%17.4%7.9%-0.0%9.4%-95.0M344.1M-3.4M152.27105.9511016,75037,091163,435
2020-06-16$121.10$122.007.3%1.9%5.2%19.4%7.3%-2.4%7.6%-104.2M422.2M-3.4M81.69110.49292,36937,177169,350
2020-06-17$121.22$122.006.4%1.8%5.1%14.2%6.4%0.4%5.8%-118.4M394.4M-3.3M2.00108.84377437,183167,494
2020-06-18$121.48$122.006.5%1.8%5.2%15.2%6.3%0.4%0.2%-112.0M350.6M-3.3M1.57105.125,2178,20037,216167,129
2020-06-19$121.49$122.008.0%1.8%5.2%23.8%6.5%0.6%4.0%-110.5M367.4M-3.4M2.96106.0523770242,241173,190
2020-06-22$121.45$122.007.0%1.7%5.1%18.1%6.6%7.2%0.0%-104.3M460.0M-3.1M43.51103.73773,35030,262153,179
2020-06-23$121.38$122.006.3%1.6%5.1%14.1%5.8%2.4%-1.7%-116.8M476.4M-3.2M3.26102.452,8619,31430,324155,020
2020-06-24$121.62$122.006.3%1.7%5.1%14.1%6.5%1.5%0.2%-115.7M449.1M-3.2M0.56105.594,3402,44030,331153,703
2020-06-25$121.63$122.008.6%1.6%5.1%27.1%6.4%-13.1%0.7%-92.2M420.8M-3.2M24.72108.33711,75534,572155,317
2020-06-26$121.99$122.0012.2%1.5%5.1%48.4%5.8%-10.5%-6.7%-94.1M370.7M-3.2M23.94113.583839,16934,617153,932
2020-06-29$122.08$122.005.9%1.7%5.0%11.2%5.9%-6.0%0.3%-77.0M369.7M-3.0M7.49107.401601,19834,446154,330
2020-06-30$121.88$122.005.8%1.7%5.0%11.1%5.8%-0.2%0.5%-97.9M400.3M-3.0M42.30101.33441,86134,523155,535