IEF Options History — April 2021

In April 2021, IEF traded between $112.99 and $114.60. ATM implied volatility averaged 6.2%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 1.3% (HV 20d: 4.9%). Max pain ranged from $114.00 to $117.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2021-04-15: Highest Volume — 29,414 contracts
  • 2021-04-15: Largest IV spike — 8.1% change
  • 2021-04-23: Highest IV Rank — 22.4%
  • 2021-04-01: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.00$112.99$114.60$113.38$113.99
Max Pain$114.29$114.00$117.00$117.00$114.00
ATM IV6.2%5.6%6.5%6.5%6.0%
Expected Move1.8%1.6%2.0%2.0%1.9%
HV 20d4.9%4.3%5.5%5.2%4.3%
HV 60d5.6%5.4%5.7%5.5%5.7%
IV Rank19.7%15.4%22.4%21.9%18.9%
IV Percentile54.1%41.7%65.5%58.7%51.6%
Term Structure-0.0%-0.4%0.2%0.1%0.2%
VWIV6.3%5.5%8.1%6.8%6.5%
Skew 25d0.9%-0.1%8.8%0.4%4.0%
Skew 10d-0.6%-12.7%7.6%-0.1%-11.5%
Call IV 25d6.2%5.4%6.7%6.4%6.3%
Put IV 25d7.1%6.0%15.1%6.8%10.4%
Bid-Ask Spread %60.3613.34104.9813.34101.94
Gamma HHI0.150.130.190.160.15
Net GEX-79.9M-159.4M-16.6M-114.1M-80.3M
Net DEX690.7M461.9M978.3M859.1M728.2M
Net VEX-3.8M-4.8M-3.0M-3.6M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.158.180.231.05
Total Volume8,387.5241,08129,4147,98923,797
Total OI332,854.952295,137370,581309,487369,090

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$113.38$117.006.5%2.0%5.2%21.9%6.8%0.4%0.1%-114.1M859.1M-3.6M0.2313.346,4981,49192,994216,493
2021-04-05$112.99$114.006.2%1.7%5.3%19.9%6.0%0.5%-0.1%-159.4M978.3M-3.6M1.3818.938031,11194,520225,831
2021-04-06$113.56$114.006.1%1.7%5.5%19.3%5.9%0.5%-0.1%-135.7M841.8M-3.5M1.2714.318771,11395,772223,795
2021-04-07$113.49$114.006.5%1.8%5.3%22.0%6.1%0.4%-0.1%-136.9M853.1M-3.5M0.1814.902,13839496,450223,544
2021-04-08$113.87$114.006.2%1.8%5.4%20.2%6.2%0.5%-0.1%-121.4M801.4M-3.8M0.1522.879,3051,38797,290223,682
2021-04-09$113.65$114.006.1%1.7%5.4%19.1%6.3%0.4%-0.1%-98.2M787.5M-3.5M8.1820.341811,481105,182225,924
2021-04-12$113.51$114.006.1%1.7%4.7%19.0%6.1%0.7%-0.2%-111.1M823.0M-3.2M2.9460.943761,104104,222226,503
2021-04-13$113.95$114.005.6%1.6%4.9%15.7%5.5%0.5%-0.1%-43.0M709.8M-3.0M1.1031.807,9138,699104,717226,744
2021-04-14$113.87$114.005.6%1.6%4.9%15.4%5.8%0.6%-0.0%-41.4M738.6M-3.2M0.8016.62644514109,553233,075
2021-04-15$114.58$114.006.0%1.7%5.3%18.6%5.9%0.1%-0.1%-22.2M543.7M-3.5M0.4089.4021,0018,413110,090233,213
2021-04-16$114.33$114.005.9%1.7%5.0%18.2%6.2%0.4%0.2%-16.6M546.4M-4.1M3.1849.515991,907130,255240,326
2021-04-19$114.19$114.006.4%1.9%5.0%21.6%6.5%-0.0%-0.4%-52.7M524.4M-3.6M1.6395.551,6012,61193,605201,532
2021-04-20$114.51$114.006.3%1.8%4.9%20.5%6.3%-0.0%-0.3%-42.9M461.9M-3.6M3.4337.789213,15694,963202,824
2021-04-21$114.55$114.006.0%1.7%4.6%18.3%6.1%0.1%0.0%-48.9M497.6M-4.0M2.17100.205,49211,94295,074205,059
2021-04-22$114.60$114.006.4%1.8%4.6%21.2%6.5%-0.1%-0.3%-43.1M462.1M-3.8M2.4785.167,47618,43799,843212,571
2021-04-23$114.51$115.006.5%1.9%4.6%22.4%6.6%-0.1%-0.2%-68.1M547.5M-4.2M1.3986.336,5879,177106,916230,744
2021-04-26$114.42$115.006.4%1.9%4.5%21.2%6.4%0.4%0.1%-79.7M592.2M-4.8M0.5997.31880516111,294239,097
2021-04-27$114.02$115.006.5%1.9%4.4%21.9%8.1%1.0%0.2%-89.2M757.2M-4.6M0.25104.981,971488111,890239,439
2021-04-28$114.08$114.006.3%1.9%4.4%20.9%6.3%8.8%-0.0%-82.9M670.8M-4.2M1.07104.879941,062119,721247,336
2021-04-29$113.90$114.006.0%1.8%4.4%18.3%6.2%0.1%0.2%-90.1M779.4M-4.3M0.41100.51767314120,691248,090
2021-04-30$113.99$114.006.0%1.9%4.3%18.9%6.5%4.0%0.2%-80.3M728.2M-4.3M1.05101.9411,61812,179120,885248,205