IEF Options History — December 2020

In December 2020, IEF traded between $119.33 and $120.12. ATM implied volatility averaged 4.7%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 0.6% (HV 20d: 4.1%). Max pain ranged from $120.00 to $121.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 57.24.

Notable Days

  • 2020-12-16: Highest Volume — 40,174 contracts
  • 2020-12-31: Largest IV spike — 42.6% change
  • 2020-12-31: Highest IV Rank — 18.7%
  • 2020-12-31: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.77$119.33$120.12$119.69$119.91
Max Pain$120.09$120.00$121.00$121.00$120.00
ATM IV4.7%3.4%6.7%4.4%6.7%
Expected Move1.5%1.3%1.8%1.3%1.8%
HV 20d4.1%2.9%5.8%5.8%2.9%
HV 60d4.2%4.1%4.3%4.1%4.1%
IV Rank4.8%0.0%18.7%2.7%18.7%
IV Percentile13.4%0.0%64.7%1.6%64.7%
Term Structure1.6%-0.7%13.4%0.3%6.7%
VWIV5.9%4.7%7.9%4.7%6.6%
Skew 25d0.4%-1.7%1.1%0.9%0.6%
Skew 10d2.4%-0.4%11.5%3.8%0.5%
Call IV 25d4.6%3.1%5.6%4.2%3.9%
Put IV 25d5.0%3.4%5.8%5.0%4.5%
Bid-Ask Spread %97.4374.34113.1994.36110.70
Gamma HHI0.230.170.440.190.19
Net GEX-211.9M-299.4M-76.9M-242.0M-86.9M
Net DEX613.0M202.3M927.9M728.2M202.3M
Net VEX-4.9M-5.3M-4.0M-5.3M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio57.240.05716.393.1710.78
Total Volume9,611.27320040,1741,2507,080
Total OI421,322.318377,670487,395403,899400,257

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$119.69$121.004.4%1.3%5.8%2.7%4.7%0.9%0.3%-242.0M728.2M-5.3M3.1794.36300950120,216283,683
2020-12-02$119.48$121.004.6%1.5%5.8%3.8%5.5%0.4%0.4%-245.2M841.5M-5.3M188.3496.3314326,933120,404284,308
2020-12-03$119.83$120.004.8%1.5%4.9%4.9%7.3%-0.1%0.7%-228.8M675.5M-5.3M66.8794.7030420,329120,535299,390
2020-12-04$119.33$120.004.8%1.5%5.1%5.0%5.6%1.1%0.4%-276.5M927.9M-5.2M1.6992.72182307120,631318,827
2020-12-07$119.69$120.004.6%1.5%5.1%4.1%5.0%0.7%0.2%-252.5M706.6M-4.9M2.7892.064201,168120,346317,802
2020-12-08$119.81$120.004.8%1.5%4.2%5.2%5.1%0.7%0.1%-224.3M717.2M-5.1M36.5192.1055720,337121,275318,410
2020-12-09$119.63$120.004.8%1.5%4.2%4.9%5.4%0.2%0.1%-293.3M875.6M-5.2M10.5574.3433348121,389323,339
2020-12-10$119.88$120.004.9%1.4%4.2%5.5%6.1%0.9%-0.1%-295.5M730.0M-5.0M0.0596.332,729125121,002323,639
2020-12-11$120.12$120.005.1%1.5%3.8%6.7%6.6%0.8%0.4%-234.8M626.4M-5.1M130.8193.7323630,872122,822323,632
2020-12-14$120.08$120.005.2%1.5%3.8%7.3%5.2%0.8%-0.5%-283.6M608.8M-4.5M1.3390.022,3143,089119,528326,761
2020-12-15$119.94$120.005.0%1.4%3.8%6.2%5.1%0.8%-0.2%-299.4M684.2M-4.2M0.3082.51633193119,614327,423
2020-12-16$119.88$120.004.9%1.4%3.7%5.7%6.8%1.0%0.1%-277.7M773.9M-4.9M716.3998.915640,118119,783327,549
2020-12-17$119.70$120.004.8%1.4%3.7%4.8%5.4%1.1%-0.1%-276.9M917.5M-4.9M1.7894.6972128119,791367,604
2020-12-18$119.62$120.004.8%1.4%3.7%5.0%7.9%1.0%-0.1%-280.3M907.7M-5.0M0.5098.1320,20210,136119,803366,975
2020-12-21$119.67$120.004.6%1.4%3.6%3.8%5.3%0.5%0.3%-137.7M423.6M-5.3M0.7994.3591371799,462278,208
2020-12-22$119.87$120.004.5%1.3%3.7%3.2%6.2%0.4%0.1%-111.3M335.7M-5.0M4.6296.4987402100,135278,228
2020-12-23$119.59$120.003.8%1.4%3.7%0.0%6.6%-1.7%-0.7%-157.2M450.8M-4.9M1.52113.19119181100,165277,957
2020-12-24$119.77$120.003.8%1.3%3.7%0.0%5.2%-0.4%-0.0%-76.9M256.7M-4.3M1.32107.788721,155100,242283,047
2020-12-28$119.77$120.003.8%1.5%3.6%0.0%5.1%-0.9%4.6%-141.8M429.2M-4.6M0.25111.93563140100,820283,896
2020-12-29$119.78$120.003.4%1.6%3.6%0.0%6.7%0.3%13.4%-118.2M331.0M-4.3M1.34112.08258345101,047283,963
2020-12-30$119.83$120.004.7%1.5%2.9%7.4%6.2%0.1%8.3%-120.5M336.7M-4.6M77.58106.0419615,206101,258283,925
2020-12-31$119.91$120.006.7%1.8%2.9%18.7%6.6%0.6%6.7%-86.9M202.3M-4.0M10.78110.706016,479101,338298,919