IEF Options History — May 2021

In May 2021, IEF traded between $113.51 and $114.73. ATM implied volatility averaged 5.9%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 2.5% (HV 20d: 3.4%). Max pain ranged from $114.00 to $116.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 5.84.

Notable Days

  • 2021-05-11: Highest Volume — 53,231 contracts
  • 2021-05-20: Largest IV drop — 7.9% change
  • 2021-05-12: Highest IV Rank — 21.4%
  • 2021-05-03: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.20$113.51$114.73$114.09$114.45
Max Pain$115.15$114.00$116.00$114.00$115.00
ATM IV5.9%5.4%6.4%6.2%5.4%
Expected Move1.8%1.5%2.1%2.1%1.5%
HV 20d3.4%3.0%4.0%4.0%3.5%
HV 60d5.3%4.3%5.7%5.7%4.3%
IV Rank18.0%14.4%21.4%20.0%14.5%
IV Percentile50.3%37.7%65.9%55.6%38.9%
Term Structure0.1%-0.2%0.7%-0.1%0.4%
VWIV6.3%5.5%7.0%6.6%5.9%
Skew 25d0.4%-0.2%0.7%0.5%0.0%
Skew 10d0.2%-7.8%8.7%8.7%-0.6%
Call IV 25d6.1%5.6%6.6%6.2%5.7%
Put IV 25d6.4%5.7%7.0%6.7%5.7%
Bid-Ask Spread %88.5671.77104.86104.8689.45
Gamma HHI0.170.140.210.160.21
Net GEX-90.0M-140.0M-24.5M-88.8M-60.2M
Net DEX673.3M394.8M1.02B712.4M549.7M
Net VEX-4.8M-5.6M-4.5M-4.9M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.840.0726.714.251.88
Total Volume11,840.0558553,2311,04417,109
Total OI429,242389,340460,268389,548453,200

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$114.09$114.006.2%2.1%4.0%20.0%6.6%0.5%-0.1%-88.8M712.4M-4.9M4.25104.86199845130,816258,732
2021-05-04$114.23$114.006.4%2.0%3.7%21.3%6.6%0.1%0.7%-83.7M631.9M-4.8M20.41101.372314,714130,831258,509
2021-05-05$114.38$114.006.2%2.0%3.7%20.0%6.9%0.3%-0.1%-81.8M590.7M-4.6M0.7583.77335250130,803261,319
2021-05-06$114.48$116.006.3%1.9%3.5%20.7%6.5%0.3%-0.1%-79.3M554.2M-4.7M1.5083.027211,083131,113261,388
2021-05-07$114.44$116.005.9%1.8%3.4%17.6%6.4%0.4%-0.0%-67.6M552.2M-4.6M8.9084.924834,301131,707261,570
2021-05-10$114.24$116.006.2%1.8%3.5%19.7%6.6%0.5%0.2%-89.3M666.4M-4.5M7.5386.022271,709131,332262,742
2021-05-11$114.12$116.006.2%1.8%3.2%19.9%6.7%0.5%0.1%-107.6M738.4M-4.5M3.7986.3011,11342,118131,428264,299
2021-05-12$113.51$116.006.4%1.9%3.8%21.4%7.0%0.7%0.1%-134.5M1.02B-5.6M0.7285.117,7565,594146,676304,660
2021-05-13$113.90$116.006.1%1.8%3.2%19.0%6.4%0.7%0.3%-140.0M880.4M-4.8M1.3885.1620,34628,062140,816303,551
2021-05-14$114.09$115.005.9%1.7%3.2%17.5%6.9%0.7%0.3%-111.0M741.2M-4.9M11.1085.623694,097144,028306,614
2021-05-17$114.05$115.006.0%1.7%3.2%18.8%6.1%0.4%-0.2%-107.9M782.0M-4.8M2.2286.412,0634,585143,910311,464
2021-05-18$114.05$115.006.0%1.7%3.0%18.6%6.5%0.5%-0.2%-119.0M770.1M-4.7M5.5886.67108603143,769311,641
2021-05-19$113.74$115.006.2%1.8%3.1%19.8%6.9%0.5%0.1%-139.5M921.9M-4.7M2.4671.772,4476,015143,823311,692
2021-05-20$114.12$115.005.7%1.6%3.4%16.4%5.9%0.3%0.0%-119.0M752.8M-5.1M11.0086.581,63117,945145,899311,547
2021-05-21$114.19$115.005.5%1.6%3.4%15.1%5.8%0.3%-0.2%-106.5M602.8M-4.7M0.0790.2721,1241,495147,376312,892
2021-05-24$114.31$115.005.5%1.7%3.4%14.9%6.2%-0.2%0.1%-44.2M562.7M-4.8M1.9291.878331,599147,161288,728
2021-05-25$114.73$115.005.5%1.7%3.4%15.1%5.8%0.2%0.2%-24.5M394.8M-4.7M2.1798.321,4443,138147,511289,825
2021-05-26$114.58$115.005.5%1.6%3.5%15.0%6.0%-0.1%0.1%-42.9M468.0M-5.2M2.5194.732,0665,185148,649291,519
2021-05-27$114.38$115.005.4%1.6%3.5%14.4%5.5%0.3%0.3%-52.8M577.8M-5.1M26.7189.0746412,394149,719291,581
2021-05-28$114.45$115.005.4%1.5%3.5%14.5%5.9%0.0%0.4%-60.2M549.7M-5.0M1.8889.455,94211,167149,795303,405