IEF Options History — November 2020

In November 2020, IEF traded between $119.33 and $120.95. ATM implied volatility averaged 5.1%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded below realized volatility by 0.1% (HV 20d: 5.1%). Max pain ranged from $121.00 to $122.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 4.05.

Notable Days

  • 2020-11-19: Highest Volume — 31,455 contracts
  • 2020-11-03: Largest IV drop — 32.4% change
  • 2020-11-02: Highest IV Rank — 37.0%
  • 2020-11-02: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.16$119.33$120.95$120.17$120.40
Max Pain$121.10$121.00$122.00$121.00$121.00
ATM IV5.1%4.1%10.3%10.3%5.1%
Expected Move1.5%1.3%2.4%2.4%1.4%
HV 20d5.1%3.2%5.7%3.3%5.4%
HV 60d3.9%3.2%4.2%3.2%4.1%
IV Rank6.6%1.1%37.0%37.0%6.9%
IV Percentile14.1%0.4%80.6%80.6%26.6%
Term Structure-0.2%-2.8%0.5%-2.8%0.2%
VWIV5.2%4.1%8.5%8.4%4.1%
Skew 25d-0.0%-10.8%1.2%1.0%1.1%
Skew 10d1.2%-1.7%11.1%1.3%11.1%
Call IV 25d6.3%4.0%21.6%21.6%4.4%
Put IV 25d6.2%4.5%22.6%22.6%5.6%
Bid-Ask Spread %91.0857.52100.6986.5999.91
Gamma HHI0.270.150.520.150.23
Net GEX-228.3M-398.8M-102.4M-195.4M-188.0M
Net DEX655.6M348.8M1.07B787.4M387.0M
Net VEX-5.0M-5.6M-4.0M-4.9M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.050.0022.251.241.01
Total Volume11,794.3562231,45512,30920,430
Total OI425,277.4369,709489,200416,435395,199

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$120.17$121.0010.3%2.4%3.3%37.0%8.4%1.0%-2.8%-195.4M787.4M-4.9M1.2486.595,4856,824100,322316,113
2020-11-03$119.91$121.006.9%2.3%3.2%17.6%8.5%0.6%-0.5%-205.7M894.3M-5.1M0.2780.281,990529100,322316,113
2020-11-04$120.95$121.006.3%1.4%4.4%13.7%5.3%-10.8%-1.4%-117.8M447.8M-4.0M1.1490.694,4805,120108,909319,072
2020-11-05$120.92$122.004.7%1.4%4.4%4.2%5.1%0.7%0.1%-118.9M427.5M-4.2M0.0299.1420,387387113,305323,937
2020-11-06$120.49$122.004.8%1.4%4.5%5.1%4.7%0.5%0.0%-200.6M620.1M-4.2M0.0096.2120,25649109,704319,471
2020-11-09$119.51$121.004.4%1.4%5.3%3.0%4.8%1.2%0.4%-299.7M1.03B-4.4M1.04100.6910,35610,778127,332283,834
2020-11-10$119.33$121.004.6%1.4%5.2%4.0%4.8%0.7%0.4%-272.6M1.07B-5.2M1.6798.95233389137,160294,250
2020-11-11$119.45$121.004.6%1.4%5.2%3.9%5.2%0.7%0.5%-281.4M1.04B-5.1M22.2597.632305,117137,310294,479
2020-11-12$120.13$121.004.5%1.4%5.7%3.4%4.7%0.5%0.3%-254.5M692.9M-5.4M0.8798.145,7855,050137,503299,426
2020-11-13$119.99$121.004.6%1.3%5.7%4.2%4.8%0.4%0.0%-276.5M796.5M-5.5M0.5198.375,1892,641143,056304,420
2020-11-16$119.91$121.004.6%1.3%5.7%4.0%4.6%0.6%0.3%-321.3M803.2M-5.4M0.6057.524,6602,812146,435305,849
2020-11-17$120.20$121.004.4%1.3%5.7%2.9%4.8%0.3%0.3%-293.4M578.1M-4.8M8.3273.982562,131148,676307,204
2020-11-18$120.15$121.004.8%1.4%5.7%5.1%4.8%0.2%-0.3%-398.8M637.4M-5.1M11.1296.471,10112,241148,800308,460
2020-11-19$120.27$121.004.7%1.4%5.6%4.2%4.7%0.3%-0.4%-354.0M622.9M-5.6M2.1396.1810,03921,416149,436311,252
2020-11-20$120.48$121.004.7%1.4%5.6%4.7%5.6%0.3%-0.3%-185.3M432.4M-5.3M2.8189.28183515158,496330,704
2020-11-23$120.27$121.004.6%1.4%5.6%3.8%5.0%0.2%-0.3%-102.4M428.2M-5.4M0.5393.721,217644122,254247,455
2020-11-24$120.08$121.004.3%1.3%5.5%2.1%4.7%0.4%-0.3%-136.7M516.6M-5.5M1.2587.209,15311,437122,303248,002
2020-11-25$120.12$121.004.1%1.3%5.5%1.1%4.4%0.4%-0.1%-186.6M551.2M-5.3M21.5184.711,07023,019114,397258,725
2020-11-27$120.42$121.004.2%1.3%5.4%1.4%4.6%-0.0%-0.0%-177.2M348.8M-4.5M2.7495.946111,677114,462281,401
2020-11-30$120.40$121.005.1%1.4%5.4%6.9%4.1%1.1%0.2%-188.0M387.0M-4.5M1.0199.9110,15410,276113,341281,858