IEF Options History — October 2020

In October 2020, IEF traded between $120.19 and $121.83. ATM implied volatility averaged 6.6%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 3.4% (HV 20d: 3.2%). Max pain ranged from $121.00 to $122.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 9.75.

Notable Days

  • 2020-10-30: Highest Volume — 96,811 contracts
  • 2020-10-30: Largest IV spike — 123.2% change
  • 2020-10-30: Highest IV Rank — 78.6%
  • 2020-10-02: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.98$120.19$121.83$121.83$120.19
Max Pain$121.09$121.00$122.00$122.00$121.00
ATM IV6.6%4.9%17.4%5.0%17.4%
Expected Move1.8%1.2%2.5%1.2%2.3%
HV 20d3.2%2.7%3.8%2.8%3.8%
HV 60d3.1%2.8%3.2%2.8%3.2%
IV Rank15.4%5.7%78.6%6.0%78.6%
IV Percentile48.5%9.9%95.6%13.9%95.6%
Term Structure0.4%-0.6%6.1%1.0%-0.6%
VWIV6.2%4.7%7.9%5.0%7.9%
Skew 25d1.1%-1.4%5.5%0.3%0.4%
Skew 10d1.7%-15.5%17.3%1.6%17.3%
Call IV 25d7.9%4.9%23.2%4.9%23.2%
Put IV 25d9.0%5.2%23.6%5.2%23.6%
Bid-Ask Spread %95.4279.11117.64112.28117.08
Gamma HHI0.290.150.450.300.15
Net GEX-248.0M-404.2M-114.7M-178.6M-220.0M
Net DEX624.2M401.0M857.1M401.0M850.8M
Net VEX-4.4M-4.8M-4.1M-4.7M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.750.11136.297.682.07
Total Volume15,696.90939496,8112,81196,811
Total OI355,212.182321,794418,341341,533418,341

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$121.83$122.005.0%1.2%2.8%6.0%5.0%0.3%1.0%-178.6M401.0M-4.7M7.68112.283242,48792,107249,426
2020-10-02$121.70$122.006.2%2.5%2.7%13.5%4.7%0.0%1.8%-196.4M458.7M-4.5M3.01116.0520260892,261247,732
2020-10-05$120.99$121.005.6%1.8%2.8%9.9%6.6%2.0%-0.0%-321.8M803.9M-4.5M9.5982.906276,01691,395247,088
2020-10-06$121.26$121.006.1%1.8%2.8%12.5%6.2%1.2%-0.3%-290.5M699.6M-4.3M2.4182.091,2893,10391,895244,132
2020-10-07$120.83$121.005.9%1.8%3.0%11.8%6.2%0.9%0.1%-336.4M857.1M-4.3M0.5983.521,61695493,084244,515
2020-10-08$121.06$121.005.4%1.6%3.1%8.7%5.6%1.0%-0.0%-339.2M707.8M-4.2M0.1184.447658794,515244,510
2020-10-09$120.97$121.005.5%1.7%3.0%8.9%5.8%0.4%-0.4%-380.5M757.6M-4.1M9.3696.621,61915,16094,653244,566
2020-10-12$121.09$121.005.5%1.7%3.0%9.1%6.1%0.6%0.5%-401.0M696.2M-4.2M5.8989.862,43814,36894,725250,000
2020-10-13$121.37$121.007.8%1.6%3.2%22.8%5.3%-1.4%0.2%-332.4M552.8M-4.1M0.9989.355,1585,09295,064257,329
2020-10-14$121.44$121.007.2%1.6%3.2%19.4%5.5%2.7%0.4%-292.0M515.5M-4.1M1.0393.576,1736,37799,875257,361
2020-10-15$121.31$121.004.9%1.7%3.2%5.7%6.0%4.7%-0.1%-327.1M562.0M-4.3M4.0396.286,70427,035105,953262,428
2020-10-16$121.26$121.005.4%1.6%3.2%8.4%6.2%5.5%0.2%-404.2M584.8M-4.7M1.34101.704,0995,509112,465289,092
2020-10-19$121.06$121.006.4%1.7%3.1%14.2%5.7%0.7%0.7%-137.9M428.1M-4.3M0.68117.6458339489,510232,284
2020-10-20$120.77$121.006.1%1.7%3.2%12.5%6.5%0.6%-0.5%-137.8M544.8M-4.6M1.7192.547,73313,20489,745237,478
2020-10-21$120.62$121.006.1%1.8%3.2%12.9%6.3%0.6%-0.3%-160.8M617.6M-4.6M2.8579.115981,70597,410250,552
2020-10-22$120.24$121.006.4%1.8%3.3%14.3%7.2%0.7%-0.2%-204.5M775.7M-4.5M1.0285.4110,48010,68997,636252,217
2020-10-23$120.41$121.005.8%1.7%3.3%11.0%6.2%1.1%-0.3%-223.0M727.1M-4.5M136.29101.538912,13097,619267,146
2020-10-26$120.74$121.005.7%1.7%3.6%10.6%6.8%0.6%0.2%-158.2M552.5M-4.4M0.6789.0149633195,414275,831
2020-10-27$120.97$121.005.7%1.8%3.6%10.2%6.0%0.6%0.2%-127.0M484.7M-4.3M0.8191.6421817695,750276,151
2020-10-28$120.94$121.006.6%2.0%3.6%15.4%6.6%0.5%0.9%-114.7M488.1M-4.3M0.11103.401,15612895,938276,170
2020-10-29$120.42$121.007.8%2.0%3.8%22.5%7.7%1.0%6.1%-172.7M665.3M-4.3M22.2293.293,04067,56197,074276,231
2020-10-30$120.19$121.0017.4%2.3%3.8%78.6%7.9%0.4%-0.6%-220.0M850.8M-4.8M2.07117.0831,49365,31899,910318,431