IEF Options History — August 2020

In August 2020, IEF traded between $121.20 and $123.02. ATM implied volatility averaged 5.7%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 2.8% (HV 20d: 2.9%). Max pain ranged from $123.00 to $129.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 8.80.

Notable Days

  • 2020-08-17: Highest Volume — 51,962 contracts
  • 2020-08-27: Largest IV spike — 104.0% change
  • 2020-08-27: Highest IV Rank — 42.5%
  • 2020-08-14: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.95$121.20$123.02$122.62$121.52
Max Pain$125.29$123.00$129.00$123.00$123.00
ATM IV5.7%4.7%11.2%4.9%7.2%
Expected Move1.4%1.3%1.5%1.4%1.4%
HV 20d2.9%2.4%3.3%2.4%3.3%
HV 60d3.8%3.3%4.0%4.0%3.3%
IV Rank10.5%4.5%42.5%5.8%19.3%
IV Percentile23.5%2.8%82.9%7.1%66.3%
Term Structure-0.2%-5.3%2.3%-0.2%0.8%
VWIV5.3%4.7%7.0%4.7%4.9%
Skew 25d0.2%-5.1%2.6%0.1%-0.9%
Skew 10d1.0%-0.4%5.4%0.1%-0.2%
Call IV 25d6.2%4.7%20.9%5.3%10.5%
Put IV 25d6.4%5.3%15.8%5.4%9.6%
Bid-Ask Spread %76.4424.71113.74113.7464.62
Gamma HHI0.300.250.350.260.31
Net GEX-180.5M-323.4M-58.7M-85.8M-175.3M
Net DEX504.2M238.1M722.2M360.5M571.2M
Net VEX-4.2M-4.4M-4.0M-4.2M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.800.1040.735.490.86
Total Volume7,486.33314651,9622,168699
Total OI276,102.286258,023300,108275,983261,347

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$122.62$123.004.9%1.4%2.4%5.8%4.7%0.1%-0.2%-85.8M360.5M-4.2M5.49113.743341,83466,916209,067
2020-08-04$123.02$123.005.2%1.4%2.4%7.6%4.7%-0.0%-0.3%-58.7M238.1M-4.0M7.3097.706144,48267,169210,422
2020-08-05$122.69$123.005.0%1.3%2.6%6.1%4.7%0.1%-0.1%-70.8M326.1M-4.0M40.7398.091536,23167,273213,875
2020-08-06$122.76$129.005.1%1.4%2.4%6.6%5.0%0.1%-0.2%-68.8M333.8M-4.3M0.9790.78747267,367218,006
2020-08-07$122.49$129.005.1%1.5%2.4%6.7%5.2%0.1%-0.1%-93.8M386.9M-4.0M9.94100.681931,91867,404216,185
2020-08-10$122.42$129.004.7%1.4%2.4%4.8%5.1%0.5%0.2%-69.5M328.6M-4.0M31.7291.6633110,50066,959207,715
2020-08-11$121.98$129.005.2%1.5%2.8%7.3%5.2%0.8%-0.1%-185.1M542.0M-4.4M15.5695.123866,00667,042216,014
2020-08-12$121.62$129.004.7%1.4%3.0%4.5%7.0%0.7%0.3%-230.0M638.8M-4.3M13.7294.113955,42167,058214,434
2020-08-13$121.37$129.005.2%1.5%3.0%7.3%5.3%0.2%0.0%-263.7M722.2M-4.3M2.9139.4925574367,283213,608
2020-08-14$121.44$129.005.2%1.5%3.0%7.7%5.4%0.4%0.3%-269.5M700.3M-4.2M13.9750.272082,90667,415213,100
2020-08-17$121.67$129.005.1%1.5%3.1%7.0%5.5%0.2%-0.1%-248.0M571.2M-4.0M1.4724.7120,99930,96367,092206,746
2020-08-18$121.84$123.005.1%1.5%3.1%6.8%5.3%0.4%-0.3%-224.7M524.0M-4.2M0.9357.322,3842,21571,424208,553
2020-08-19$121.69$123.005.2%1.5%3.1%7.7%6.1%0.7%0.0%-251.7M597.6M-4.3M2.3770.908,15519,33772,625209,356
2020-08-20$122.01$123.005.0%1.4%3.3%6.0%5.1%0.7%-0.3%-217.8M471.8M-4.4M2.5575.8637796380,310219,251
2020-08-21$122.09$123.005.2%1.4%3.3%7.2%5.0%0.7%1.6%-323.4M422.6M-4.3M0.6574.5131120280,612219,496
2020-08-24$121.94$123.004.8%1.4%3.2%5.3%5.1%0.5%0.1%-152.1M442.0M-4.3M4.1375.355052,08865,478193,842
2020-08-25$121.67$123.006.5%1.5%3.2%14.8%5.5%1.0%2.3%-183.8M537.8M-4.4M5.0592.9314874865,802192,608
2020-08-26$121.62$123.005.5%1.5%3.1%9.1%5.3%0.9%1.0%-182.3M550.5M-4.3M22.0235.681062,33465,856192,167
2020-08-27$121.20$123.0011.2%1.5%3.2%42.5%5.6%-5.1%-5.3%-221.9M680.3M-4.4M0.1089.787,81081165,865192,527
2020-08-28$121.33$123.009.0%1.4%3.2%29.8%5.1%2.6%-4.6%-214.7M641.7M-4.3M2.3271.923,9189,08470,367192,512
2020-08-31$121.52$123.007.2%1.4%3.3%19.3%4.9%-0.9%0.8%-175.3M571.2M-4.3M0.8664.6237632370,337191,010