IEF Options History — July 2021

In July 2021, IEF traded between $115.31 and $118.01. ATM implied volatility averaged 6.3%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.8% (HV 20d: 5.5%). Max pain ranged from $115.00 to $117.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 12.18.

Notable Days

  • 2021-07-16: Highest Volume — 39,882 contracts
  • 2021-07-19: Largest IV spike — 20.2% change
  • 2021-07-19: Highest IV Rank — 29.6%
  • 2021-07-19: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.92$115.31$118.01$115.31$117.67
Max Pain$116.38$115.00$117.00$115.00$117.00
ATM IV6.3%5.2%7.5%5.7%6.3%
Expected Move1.8%1.4%2.2%1.5%1.8%
HV 20d5.5%4.8%6.1%4.9%5.9%
HV 60d4.5%4.1%4.9%4.1%4.9%
IV Rank21.0%12.6%29.6%16.2%20.6%
IV Percentile67.5%32.9%84.9%50.4%66.7%
Term Structure0.3%-0.2%3.5%-0.2%0.2%
VWIV6.6%4.8%8.7%5.3%6.7%
Skew 25d-0.4%-0.9%-0.0%-0.4%-0.3%
Skew 10d-1.4%-3.4%0.3%-1.4%-1.0%
Call IV 25d6.9%5.5%8.3%6.2%6.6%
Put IV 25d6.5%5.4%7.7%5.8%6.4%
Bid-Ask Spread %66.727.5496.929.6064.36
Gamma HHI0.270.110.710.230.12
Net GEX80.5M-185.3M683.6M2.7M-55.9M
Net DEX-297.3M-813.5M157.5M157.5M-211.2M
Net VEX-4.4M-4.9M-4.0M-4.6M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.180.09177.418.604.81
Total Volume12,569.38156539,8821,9305,150
Total OI447,872425,694497,518432,737433,853

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$115.31$115.005.7%1.5%4.9%16.2%5.3%-0.4%-0.2%2.7M157.5M-4.6M8.609.602011,729145,246287,491
2021-07-02$115.74$115.005.2%1.4%4.8%12.6%4.8%-0.0%0.0%93.2M-88.7M-4.4M1.717.541,5162,598145,407289,045
2021-07-06$116.35$115.005.5%1.6%5.0%14.9%5.6%-0.4%0.4%173.9M-434.7M-4.0M3.1032.448,64826,784146,311290,950
2021-07-07$116.73$116.006.0%1.7%5.1%18.4%6.1%-0.7%0.1%163.4M-551.5M-4.5M1.0720.2510,55411,342153,620300,536
2021-07-08$117.03$116.006.6%1.9%5.0%22.9%7.0%-0.8%-0.1%148.4M-642.7M-4.3M1.4476.453,5015,024152,861302,875
2021-07-09$116.41$116.006.1%1.9%5.4%19.6%6.4%-0.9%0.0%197.8M-374.4M-4.4M0.9676.497,9357,587153,461304,946
2021-07-12$116.33$116.006.4%1.9%5.4%21.7%6.7%-0.3%0.0%232.5M-327.0M-4.4M1.0480.061,0581,099155,471302,640
2021-07-13$115.98$116.006.1%1.8%5.4%19.5%6.4%-0.2%0.1%267.8M-141.6M-4.3M0.0989.0132,3262,853155,574303,350
2021-07-14$116.49$116.005.9%1.7%5.6%17.9%6.6%-0.1%0.1%313.0M-524.9M-4.1M1.4284.935,3897,647160,715304,653
2021-07-15$116.99$116.006.2%1.8%5.1%20.3%6.2%-0.2%-0.1%311.7M-813.5M-4.3M0.8190.30782630174,161312,562
2021-07-16$116.95$117.006.3%1.8%5.1%20.6%6.7%-0.3%-0.1%683.6M-727.5M-4.3M2.0289.4613,18426,698174,187323,331
2021-07-19$118.01$117.007.5%2.2%5.7%29.6%7.6%-0.6%-0.2%-23.7M-445.7M-4.8M3.1877.634,32313,751132,504293,190
2021-07-20$117.78$117.007.1%2.0%5.6%26.4%8.7%-0.9%-0.1%-64.5M-359.5M-4.7M1.7682.202,7004,746132,514306,517
2021-07-21$117.15$117.006.4%1.8%6.1%21.3%6.5%-0.8%-0.1%-111.4M-91.7M-4.9M0.5273.772,5221,308135,491309,575
2021-07-22$117.44$117.006.3%1.8%6.0%20.9%6.5%-0.7%0.2%-118.9M-214.2M-4.8M177.4186.2111921,112136,687310,957
2021-07-23$117.19$117.006.5%1.9%6.1%22.3%6.6%-0.5%0.2%-185.3M-109.5M-4.8M0.7182.86709501136,941318,198
2021-07-26$117.16$117.006.9%2.0%5.9%24.7%7.1%-0.6%0.0%-86.9M40.3M-4.7M2.7419.51151414120,172307,912
2021-07-27$117.63$117.007.0%2.0%6.0%25.4%7.4%-0.2%0.2%-71.3M-126.3M-4.5M1.5177.061,4892,249120,773308,402
2021-07-28$117.66$117.006.4%2.0%6.0%21.3%6.6%-0.2%1.9%-72.6M-180.1M-4.2M0.5284.07706367120,828308,598
2021-07-29$117.38$117.006.8%1.8%6.1%24.4%6.4%-0.3%3.5%-107.8M-76.6M-4.3M40.4696.9254422,011122,446310,361
2021-07-30$117.67$117.006.3%1.8%5.9%20.6%6.7%-0.3%0.2%-55.9M-211.2M-4.1M4.8164.368874,263123,247310,606