IEF Options History — June 2021

In June 2021, IEF traded between $114.13 and $115.69. ATM implied volatility averaged 5.6%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.3% (HV 20d: 4.3%). Max pain ranged from $114.00 to $115.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.28.

Notable Days

  • 2021-06-07: Highest Volume — 44,632 contracts
  • 2021-06-04: Largest IV drop — 11.9% change
  • 2021-06-18: Highest IV Rank — 20.5%
  • 2021-06-18: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.06$114.13$115.69$114.27$115.62
Max Pain$114.77$114.00$115.00$115.00$115.00
ATM IV5.6%5.0%6.3%5.7%5.6%
Expected Move1.6%1.5%1.8%1.6%1.7%
HV 20d4.3%3.5%5.0%3.5%5.0%
HV 60d4.2%4.0%4.4%4.3%4.0%
IV Rank15.4%11.5%20.5%16.2%15.8%
IV Percentile43.7%25.4%65.9%44.4%48.4%
Term Structure-0.0%-0.3%0.7%-0.3%-0.2%
VWIV5.7%5.2%6.9%5.5%5.6%
Skew 25d-0.2%-0.5%0.5%0.3%0.1%
Skew 10d-0.4%-1.7%7.5%0.8%-1.2%
Call IV 25d6.1%5.4%7.6%6.1%5.7%
Put IV 25d5.9%5.2%7.3%6.4%5.8%
Bid-Ask Spread %51.559.20110.4188.149.66
Gamma HHI0.210.170.270.230.23
Net GEX-43.6M-98.0M27.2M-94.2M27.2M
Net DEX325.9M36.6M727.4M693.9M36.6M
Net VEX-5.2M-5.8M-4.7M-5.8M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.086.110.391.04
Total Volume10,874.90993144,6326,6252,508
Total OI484,533.636408,733578,042468,461433,739

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$114.27$115.005.7%1.6%3.5%16.2%5.5%0.3%-0.3%-94.2M693.9M-5.8M0.3988.144,7511,874154,342314,119
2021-06-02$114.44$115.005.7%1.6%3.5%16.6%5.6%0.0%-0.2%-60.5M610.8M-5.3M3.4889.509523,317157,011315,213
2021-06-03$114.13$114.005.9%1.6%3.6%17.6%5.7%0.1%-0.3%-97.6M727.4M-5.3M1.1196.173,6414,041157,700318,616
2021-06-04$114.74$114.005.2%1.5%4.1%12.6%5.4%-0.2%-0.2%-22.4M381.2M-4.7M2.24100.173,1807,108160,047320,265
2021-06-07$114.67$114.005.2%1.5%4.1%13.2%5.5%-0.1%0.1%-26.0M451.2M-4.7M1.0275.1822,14122,491162,290323,862
2021-06-08$115.02$114.005.1%1.5%4.2%11.8%5.4%-0.0%0.3%-15.0M265.4M-4.8M5.7483.206923,970163,406326,371
2021-06-09$115.40$114.005.3%1.5%4.3%13.2%5.7%-0.3%0.1%-50.2M184.0M-4.9M5.9182.751,3297,849162,677331,485
2021-06-10$115.69$115.005.0%1.5%3.7%11.5%5.2%-0.1%0.1%-97.8M132.7M-5.5M1.1184.5210,41711,581162,924353,581
2021-06-11$115.59$115.005.1%1.5%3.6%12.5%5.6%-0.3%0.3%-98.0M173.8M-5.7M1.4630.0810,06614,729172,674364,415
2021-06-14$115.23$115.005.6%1.6%3.8%15.5%5.7%0.5%-0.3%-76.3M345.9M-5.3M0.9320.204,6774,369175,821366,984
2021-06-15$115.23$115.005.7%1.6%3.8%16.2%6.3%-0.3%-0.3%-84.2M333.0M-5.4M0.0828.7237,0072,921178,436368,415
2021-06-16$114.53$115.006.2%1.8%4.5%19.9%6.2%-0.3%-0.1%-24.7M584.5M-5.5M2.44110.412,4085,883204,889370,480
2021-06-17$114.90$115.005.9%1.7%4.5%17.6%6.0%0.0%-0.3%-11.2M442.6M-5.6M2.7141.946351,719206,730370,350
2021-06-18$115.49$115.006.3%1.8%4.7%20.5%6.4%-0.1%-0.3%-6.5M170.3M-5.6M1.5433.384,4786,882206,989371,053
2021-06-21$115.17$115.006.2%1.8%4.8%19.9%6.9%-0.5%0.1%-22.6M217.6M-5.3M0.5510.782,2661,256136,267272,466
2021-06-22$115.38$115.005.7%1.6%4.8%16.4%5.8%-0.3%0.7%-70.7K115.8M-5.2M6.1185.683582,187144,548278,203
2021-06-23$115.15$115.005.5%1.6%4.8%14.6%5.6%-0.5%0.2%-32.0M224.9M-5.3M1.4615.623,7125,433144,713280,109
2021-06-24$115.17$115.005.5%1.6%4.7%14.9%5.4%-0.5%0.3%-41.3M271.4M-5.6M0.5018.701,690838144,846285,737
2021-06-25$114.85$115.005.3%1.5%4.8%13.6%5.3%-0.5%0.2%-85.2M414.5M-5.1M3.3910.57212719145,753286,544
2021-06-28$115.26$115.005.4%1.5%4.9%14.5%5.4%-0.2%-0.2%-20.6M197.9M-4.8M5.159.205072,610145,491286,257
2021-06-29$115.30$115.005.4%1.5%4.9%14.5%5.4%-0.4%-0.1%-19.5M194.8M-4.7M1.759.443,5806,264146,164287,758
2021-06-30$115.62$115.005.6%1.7%5.0%15.8%5.6%0.1%-0.2%27.2M36.6M-4.8M1.049.661,2281,280145,913287,826