IEF Options History — September 2020

In September 2020, IEF traded between $121.49 and $122.17. ATM implied volatility averaged 6.0%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 2.8% (HV 20d: 3.2%). Max pain ranged from $122.00 to $123.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 12.61.

Notable Days

  • 2020-09-15: Highest Volume — 57,626 contracts
  • 2020-09-04: Largest IV spike — 41.7% change
  • 2020-09-09: Highest IV Rank — 35.7%
  • 2020-09-04: Largest Expected Move — 1.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.87$121.49$122.17$121.77$121.84
Max Pain$122.10$122.00$123.00$123.00$122.00
ATM IV6.0%4.5%10.1%6.6%5.0%
Expected Move1.4%1.2%1.6%1.4%1.3%
HV 20d3.2%2.8%3.8%3.1%2.8%
HV 60d3.0%2.8%3.3%3.3%2.8%
IV Rank12.2%3.4%35.7%15.8%6.0%
IV Percentile30.8%1.6%79.0%56.7%13.9%
Term Structure0.8%-4.2%10.5%3.5%1.5%
VWIV5.1%4.3%6.6%5.0%4.8%
Skew 25d0.6%-3.7%7.1%4.9%0.6%
Skew 10d0.8%-4.6%9.8%-4.6%0.9%
Call IV 25d6.1%4.4%11.7%5.2%5.0%
Put IV 25d6.7%4.8%13.8%10.1%5.5%
Bid-Ask Spread %97.8677.48108.4286.44107.26
Gamma HHI0.310.270.390.300.31
Net GEX-160.7M-203.5M-75.9M-151.0M-203.5M
Net DEX401.3M290.0M525.0M458.1M408.5M
Net VEX-4.4M-4.8M-3.9M-4.4M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.610.11217.803.830.89
Total Volume10,637.28632657,6261,851398
Total OI304,175.286261,340345,849261,456342,725

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$121.77$123.006.6%1.4%3.1%15.8%5.0%4.9%3.5%-151.0M458.1M-4.4M3.8386.443831,46870,542190,914
2020-09-02$121.94$123.005.3%1.5%3.1%7.9%6.6%0.3%-0.1%-131.5M388.9M-4.3M4.5999.532621,20370,853191,056
2020-09-03$122.17$122.006.0%1.6%3.2%12.0%5.5%0.1%0.1%-75.9M358.6M-4.2M0.3785.551,06939870,869190,471
2020-09-04$121.49$122.008.5%1.6%3.7%26.6%5.3%-3.1%-1.8%-177.0M525.0M-4.4M2.1898.603,5237,69471,273190,561
2020-09-08$121.74$122.009.8%1.5%3.8%34.1%5.4%-3.7%-3.5%-162.8M461.2M-4.2M0.8993.442,6422,35272,588193,088
2020-09-09$121.63$122.0010.1%1.5%3.6%35.7%5.3%0.7%-4.2%-197.8M484.1M-4.2M0.4192.9682833873,883194,592
2020-09-10$121.81$122.008.7%1.5%3.4%28.1%5.2%0.6%-0.3%-160.2M484.1M-4.1M0.3896.561,17444773,943194,296
2020-09-11$121.97$122.007.2%1.3%3.4%19.0%4.7%7.1%-0.5%-146.8M371.6M-3.9M4.1196.896,89328,31673,129194,005
2020-09-14$121.85$122.005.7%1.4%3.4%10.6%5.2%0.5%5.4%-159.8M346.5M-3.9M1.5982.066,1079,71776,539218,155
2020-09-15$121.88$122.005.4%1.5%3.3%8.7%5.5%0.4%1.4%-168.5M385.5M-3.9M17.4977.483,11754,50980,325222,334
2020-09-16$121.72$122.005.1%1.5%3.3%6.8%5.3%0.8%2.2%-193.6M499.6M-4.3M0.11106.6210,1691,14479,549235,934
2020-09-17$121.80$122.004.6%1.3%3.3%3.7%5.1%0.5%0.5%-185.5M400.0M-4.3M0.7399.678,3806,10489,559235,717
2020-09-18$121.70$122.004.5%1.2%3.2%3.6%4.9%0.4%0.7%-201.8M423.1M-4.4M2.83102.6811,54032,67996,063241,707
2020-09-21$121.92$122.004.9%1.3%3.2%5.6%4.7%0.1%0.0%-144.9M342.0M-4.7M2.7499.8121157895,785234,740
2020-09-22$121.91$122.004.8%1.3%3.2%5.2%4.9%0.3%0.1%-156.3M350.1M-4.7M2.1998.2135176895,840234,852
2020-09-23$121.91$122.004.5%1.2%3.1%3.4%4.5%0.7%0.5%-154.6M394.7M-4.5M0.44104.4622610096,037234,529
2020-09-24$121.97$122.005.1%1.3%3.1%6.8%4.8%1.5%0.2%-128.1M395.9M-4.7M217.80108.427015,24696,163234,591
2020-09-25$122.06$122.004.9%1.2%2.8%5.8%4.4%0.3%0.7%-156.7M326.4M-4.8M0.14105.521,81824896,235249,614
2020-09-28$122.02$122.004.9%1.2%2.8%5.9%4.6%0.2%10.5%-168.1M332.8M-4.7M0.53105.6124913292,875249,341
2020-09-29$122.13$122.004.9%1.2%2.8%5.4%4.3%0.3%0.6%-150.8M290.0M-4.7M0.53107.1934818493,025249,384
2020-09-30$121.84$122.005.0%1.3%2.8%6.0%4.8%0.6%1.5%-203.5M408.5M-4.6M0.89107.2621118793,311249,414