IEF Options History — January 2021

In January 2021, IEF traded between $118.02 and $119.94. ATM implied volatility averaged 8.0%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 4.5% (HV 20d: 3.5%). Max pain ranged from $118.00 to $120.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 45.32.

Notable Days

2021-01-06: Highest Volume — 82,096 contracts
2021-01-06: Largest IV spike — 175.3% change
2021-01-07: Highest IV Rank — 79.7%
2021-01-07: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.69	$118.02	$119.94	$119.94	$118.58
Max Pain	$118.58	$118.00	$120.00	$120.00	$118.00
ATM IV	8.0%	4.3%	17.5%	9.6%	5.4%
Expected Move	1.6%	1.2%	4.9%	1.5%	1.2%
HV 20d	3.5%	2.3%	4.0%	2.7%	4.0%
HV 60d	4.3%	4.0%	4.4%	4.1%	4.4%
IV Rank	25.9%	4.9%	79.7%	35.0%	11.5%
IV Percentile	46.3%	2.4%	96.4%	79.0%	38.1%
Term Structure	-0.9%	-12.8%	3.3%	-0.1%	0.4%
VWIV	5.4%	4.1%	7.3%	6.4%	4.1%
Skew 25d	0.7%	-4.1%	5.9%	-3.5%	0.4%
Skew 10d	-0.5%	-10.0%	2.7%	2.6%	-1.4%
Call IV 25d	10.4%	4.1%	27.1%	18.3%	5.5%
Put IV 25d	11.1%	4.6%	27.9%	14.8%	5.9%
Bid-Ask Spread %	81.97	30.25	120.33	98.99	64.38
Gamma HHI	0.26	0.17	0.34	0.17	0.26
Net GEX	-190.3M	-443.9M	-86.3M	-86.3M	-187.5M
Net DEX	635.8M	259.9M	1.20B	264.7M	544.6M
Net VEX	-5.2M	-6.2M	-4.5M	-4.6M	-5.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	45.32	0.09	311.89	2.36	6.07
Total Volume	21,705.737	158	82,096	2,354	24,066
Total OI	502,065.842	405,740	672,071	405,740	482,325

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$119.94	$120.00	9.6%	1.5%	2.7%	35.0%	6.4%	-3.5%	-0.1%	-86.3M	264.7M	-4.6M	2.36	98.99	700	1,654	101,558	304,182
2021-01-05	$119.72	$120.00	6.2%	1.4%	2.3%	16.1%	6.2%	5.5%	3.3%	-135.1M	382.9M	-4.5M	2.29	103.71	102	234	102,124	305,828
2021-01-06	$118.94	$120.00	17.2%	1.7%	3.1%	78.1%	6.5%	0.7%	-2.1%	-201.8M	702.7M	-4.6M	67.93	113.39	1,191	80,905	102,169	305,953
2021-01-07	$118.56	$120.00	17.5%	4.9%	3.2%	79.7%	5.5%	0.8%	-3.3%	-140.0M	637.2M	-4.6M	77.66	120.33	779	60,495	102,734	361,398
2021-01-08	$118.24	$119.00	8.8%	1.5%	3.3%	30.9%	5.8%	5.9%	-0.2%	-304.6M	1.05B	-5.2M	4.83	96.48	12,669	61,229	102,923	430,165
2021-01-11	$118.02	$119.00	5.0%	1.6%	3.1%	9.3%	5.5%	0.5%	-0.1%	-443.9M	1.20B	-5.6M	1.12	85.53	7,904	8,828	114,787	454,467
2021-01-12	$118.03	$119.00	8.1%	1.6%	3.0%	26.7%	5.5%	2.2%	-2.8%	-320.3M	1.12B	-5.7M	1.43	93.54	9,392	13,427	122,589	462,898
2021-01-13	$118.40	$118.00	12.7%	1.6%	3.3%	52.7%	6.8%	-4.1%	-2.2%	-134.7M	939.7M	-5.9M	21.12	92.39	1,433	30,260	131,764	474,917
2021-01-14	$118.08	$118.00	17.4%	1.7%	3.4%	79.4%	7.3%	0.7%	-12.8%	-294.1M	1.14B	-6.2M	311.89	99.76	114	35,555	132,621	504,884
2021-01-15	$118.48	$118.00	5.5%	1.6%	3.7%	11.7%	5.6%	0.6%	0.3%	-211.7M	975.1M	-6.0M	1.00	104.97	6,849	6,870	132,473	539,598
2021-01-19	$118.49	$118.00	5.1%	1.5%	3.7%	9.7%	5.1%	0.4%	0.2%	-204.5M	502.5M	-5.4M	2.28	88.84	269	614	116,925	344,590
2021-01-20	$118.55	$118.00	4.3%	1.2%	3.7%	5.4%	4.7%	0.7%	0.5%	-199.3M	512.9M	-5.2M	0.12	87.03	1,591	194	117,127	345,150
2021-01-21	$118.38	$118.00	4.4%	1.2%	3.7%	5.5%	5.0%	0.7%	0.6%	-212.3M	551.6M	-5.4M	288.74	91.33	106	30,606	118,574	345,595
2021-01-22	$118.58	$118.00	4.3%	1.2%	3.7%	4.9%	4.3%	0.5%	0.6%	-152.2M	426.4M	-5.0M	1.83	38.89	71	130	118,555	351,205
2021-01-25	$119.01	$118.00	4.7%	1.2%	3.9%	7.4%	4.1%	0.8%	0.3%	-90.5M	266.7M	-4.8M	67.32	30.25	164	11,040	118,261	351,232
2021-01-26	$119.02	$118.00	4.7%	1.2%	3.9%	7.6%	4.2%	0.9%	0.3%	-88.6M	259.9M	-4.8M	2.67	39.82	43	115	118,360	361,345
2021-01-27	$119.17	$118.00	5.2%	1.4%	3.9%	10.1%	4.8%	0.3%	0.3%	-114.3M	284.3M	-5.1M	0.42	58.68	343	144	118,371	361,481
2021-01-28	$118.84	$118.00	5.1%	1.3%	4.0%	9.8%	4.9%	0.5%	0.1%	-93.5M	325.9M	-4.8M	0.09	49.08	2,138	185	118,554	361,569
2021-01-29	$118.58	$118.00	5.4%	1.2%	4.0%	11.5%	4.1%	0.4%	0.4%	-187.5M	544.6M	-5.5M	6.07	64.38	3,406	20,660	120,637	361,688