IEF Options History — July 2020

In July 2020, IEF traded between $121.54 and $122.83. ATM implied volatility averaged 6.6%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 3.6% (HV 20d: 3.0%). Max pain ranged from $122.00 to $129.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 16.09.

Notable Days

  • 2020-07-06: Highest Volume — 63,123 contracts
  • 2020-07-22: Largest IV spike — 66.7% change
  • 2020-07-01: Highest IV Rank — 72.3%
  • 2020-07-22: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.12$121.54$122.83$121.55$122.83
Max Pain$123.86$122.00$129.00$122.00$123.00
ATM IV6.6%4.8%16.3%16.3%5.0%
Expected Move1.6%1.4%2.6%1.7%1.4%
HV 20d3.0%2.4%4.6%4.6%2.4%
HV 60d4.4%4.1%4.8%4.8%4.1%
IV Rank15.6%5.3%72.3%72.3%6.4%
IV Percentile30.5%5.2%92.5%92.5%10.3%
Term Structure0.2%-12.3%6.9%-12.3%0.2%
VWIV5.8%4.7%7.7%5.6%4.7%
Skew 25d-0.2%-5.1%0.3%-5.1%-0.1%
Skew 10d-0.4%-10.4%4.3%-8.2%2.0%
Call IV 25d7.3%5.1%24.3%24.3%5.4%
Put IV 25d7.1%5.1%22.4%19.2%5.3%
Bid-Ask Spread %101.5395.97116.03103.87100.12
Gamma HHI0.280.210.580.310.25
Net GEX-90.9M-158.8M514.1M-105.4M-107.4M
Net DEX531.0M335.3M646.6M443.6M335.3M
Net VEX-4.3M-4.8M-3.2M-3.2M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.090.76123.72123.722.24
Total Volume13,805.72738563,12326,1911,849
Total OI268,051.364190,482289,215190,482285,523

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$121.55$122.0016.3%1.7%4.6%72.3%5.6%-5.1%-12.3%-105.4M443.6M-3.2M123.72103.8721025,98134,472156,010
2020-07-02$121.73$122.0016.3%1.7%4.4%71.9%5.4%0.3%-3.3%-97.8M511.9M-3.3M1.56101.5124,05037,45834,692167,203
2020-07-06$121.54$129.006.1%2.5%3.9%12.8%7.7%0.3%-0.2%-110.3M646.6M-4.8M2.91116.0316,13046,99351,838195,509
2020-07-07$121.91$128.005.6%1.6%4.0%9.9%6.2%0.2%0.1%-135.0M633.7M-4.7M9.87102.572502,46852,259204,608
2020-07-08$121.78$128.005.8%1.6%3.9%10.7%6.2%-0.1%0.0%-136.1M632.2M-4.5M6.4397.151921,23552,476203,587
2020-07-09$122.15$128.005.3%1.6%3.3%7.7%5.9%0.1%-0.3%-114.7M525.4M-4.3M1.1296.7613,31314,92452,552202,285
2020-07-10$121.88$123.004.9%1.6%3.0%5.4%5.7%-0.2%0.0%-123.5M589.9M-4.6M0.7698.7946034865,681213,702
2020-07-13$122.01$123.004.9%1.6%2.9%5.7%5.7%0.3%0.5%-105.0M542.7M-4.5M20.8495.971062,20965,674212,684
2020-07-14$122.02$123.005.0%1.6%2.9%6.2%5.7%0.0%0.4%-88.7M523.6M-4.5M3.7897.042,93311,09865,739212,376
2020-07-15$121.98$123.004.8%1.5%2.7%5.3%5.7%0.1%0.5%-87.6M561.9M-4.5M5.16100.226,70034,54467,268218,074
2020-07-16$122.08$123.004.9%1.6%2.7%5.8%5.6%0.2%0.6%-40.7M525.0M-4.6M5.53102.1913675267,468218,959
2020-07-17$122.01$123.004.9%1.5%2.7%5.8%5.8%0.1%0.5%514.1M527.7M-4.3M17.1799.341,05418,09767,494218,455
2020-07-20$122.08$123.005.1%1.5%2.7%7.2%5.7%0.0%3.2%-151.5M586.9M-4.6M66.3597.78573,78261,239208,585
2020-07-21$122.24$123.005.4%1.6%2.7%8.5%6.5%-0.5%6.9%-146.0M541.0M-4.2M41.21100.351666,84161,265209,539
2020-07-22$122.26$123.009.0%2.6%2.7%29.5%5.4%-0.1%-0.1%-149.0M551.5M-4.3M3.35105.3613645661,217211,411
2020-07-23$122.38$123.006.7%1.6%2.6%16.1%5.5%0.2%3.4%-136.8M496.5M-4.2M3.63109.9017162161,300211,283
2020-07-24$122.35$123.006.3%1.5%2.6%13.8%5.1%-0.0%4.0%-148.7M522.8M-4.2M1.32102.178,54511,26261,312211,458
2020-07-27$122.13$123.005.9%1.5%2.5%11.3%6.5%0.1%-0.1%-158.8M639.5M-4.6M24.0399.422064,95067,358219,294
2020-07-28$122.45$123.005.3%1.5%2.7%8.1%5.5%0.3%0.2%-132.5M506.0M-4.4M8.39101.632021,69467,388221,827
2020-07-29$122.55$123.005.6%1.5%2.6%9.8%5.2%-0.2%-0.3%-138.0M442.4M-4.1M1.85104.5213525067,423220,683
2020-07-30$122.77$123.006.0%1.5%2.4%12.4%5.4%-0.3%0.0%-100.8M396.5M-4.2M2.70101.0020655667,436220,524
2020-07-31$122.83$123.005.0%1.4%2.4%6.4%4.7%-0.1%0.2%-107.4M335.3M-4.1M2.24100.125711,27867,506218,017