IEF Options History — February 2021

In February 2021, IEF traded between $114.62 and $118.73. ATM implied volatility averaged 9.1%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 5.1% (HV 20d: 4.0%). Max pain ranged from $118.00 to $122.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 21.93.

Notable Days

  • 2021-02-18: Highest Volume — 117,259 contracts
  • 2021-02-11: Largest IV spike — 115.2% change
  • 2021-02-11: Highest IV Rank — 78.3%
  • 2021-02-25: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.24$114.62$118.73$118.73$115.52
Max Pain$120.58$118.00$122.00$118.00$120.00
ATM IV9.1%5.1%17.2%5.4%7.6%
Expected Move1.7%1.1%3.2%1.2%2.1%
HV 20d4.0%3.2%6.8%4.1%6.8%
HV 60d3.9%3.4%5.0%4.3%5.0%
IV Rank32.3%9.8%78.3%11.2%24.0%
IV Percentile66.5%28.6%94.8%36.5%64.7%
Term Structure1.0%-14.2%14.4%1.0%0.1%
VWIV6.3%4.4%11.0%4.4%7.9%
Skew 25d1.1%-2.4%8.9%0.2%1.3%
Skew 10d1.1%-6.7%8.2%0.1%2.9%
Call IV 25d10.5%4.9%27.5%5.6%6.8%
Put IV 25d11.6%5.3%27.9%5.8%8.1%
Bid-Ask Spread %61.9718.1495.8165.4845.79
Gamma HHI0.300.180.430.240.38
Net GEX-261.5M-515.8M-51.5M-125.7M-370.1M
Net DEX941.9M391.2M1.79B391.2M1.53B
Net VEX-5.1M-6.7M-4.3M-5.0M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.930.15189.900.4730.24
Total Volume20,004.105179117,2591,741107,368
Total OI515,508.105455,558624,086505,028460,940

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$118.73$118.005.4%1.2%4.1%11.2%4.4%0.2%1.0%-125.7M391.2M-5.0M0.4765.481,185556123,650381,378
2021-02-02$118.38$118.005.4%1.3%4.1%11.2%5.0%0.6%2.4%-138.9M468.7M-4.9M1.1760.245,1976,082124,654381,855
2021-02-03$118.12$118.005.1%1.1%4.2%9.8%4.8%0.5%5.9%-186.6M606.7M-4.9M0.1519.7711,1211,662129,540385,699
2021-02-04$118.09$122.005.4%1.5%3.5%11.3%5.6%0.5%0.2%-177.0M620.8M-5.1M9.0118.1475676134,041387,698
2021-02-05$117.84$122.006.2%1.5%3.4%15.6%5.8%0.4%3.7%-232.2M754.2M-5.0M2.1422.688221,762134,077387,582
2021-02-08$117.85$122.008.8%1.5%3.3%30.6%5.6%-0.4%-3.6%-180.5M698.2M-4.6M5.7265.41126721134,458388,609
2021-02-09$117.95$122.0013.1%1.5%3.3%55.2%5.8%5.5%-7.3%-147.7M645.9M-4.5M20.3473.8976115,479134,552389,138
2021-02-10$118.24$122.008.0%1.5%3.4%26.1%5.2%8.9%-1.9%-51.5M515.2M-4.3M1.8973.0562117135,235403,842
2021-02-11$118.20$122.0017.2%1.5%3.2%78.3%6.8%-1.7%-14.2%-76.9M535.8M-4.4M189.9091.4210620,129135,283403,862
2021-02-12$117.76$122.0015.3%1.6%3.3%67.3%5.9%0.5%-10.6%-126.0M796.0M-4.4M0.8689.681,9201,660135,336406,318
2021-02-16$116.88$121.009.1%1.8%4.0%32.5%6.1%0.6%11.5%-515.8M1.26B-4.8M1.3079.963,7924,940136,924408,375
2021-02-17$116.95$121.006.7%1.9%4.0%18.7%6.7%1.1%10.3%-347.9M1.12B-4.5M1.7167.50503860138,642409,537
2021-02-18$117.01$121.008.6%1.7%4.0%29.8%6.4%0.6%14.4%-500.6M1.13B-4.3M137.9395.81844116,415139,007409,229
2021-02-19$116.51$120.0011.0%1.8%4.2%43.2%6.5%0.6%14.0%-494.3M1.44B-5.2M1.2661.4413,10316,488149,812474,274
2021-02-22$116.33$120.0010.6%2.0%4.1%41.0%6.7%-2.4%0.5%-342.2M1.22B-5.9M2.3671.162,2955,411114,648340,910
2021-02-23$116.42$120.009.2%1.9%3.8%33.0%6.7%-0.1%-2.7%-345.9M1.15B-5.5M1.3877.361,0491,444116,591339,766
2021-02-24$116.24$120.008.0%2.0%3.8%26.2%6.6%0.7%-3.3%-337.4M1.23B-5.8M2.9368.901,5914,667117,497340,612
2021-02-25$114.62$120.0011.9%3.2%5.8%48.3%11.0%3.5%-0.3%-271.4M1.79B-6.7M5.9929.794,16124,928118,665342,418
2021-02-26$115.52$120.007.6%2.1%6.8%24.0%7.9%1.3%0.1%-370.1M1.53B-6.4M30.2445.793,437103,931123,400337,540