IEF Options History — August 2021

In August 2021, IEF traded between $116.58 and $118.19. ATM implied volatility averaged 6.0%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.0% (HV 20d: 5.0%). Max pain ranged from $116.00 to $117.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 11.19.

Notable Days

  • 2021-08-16: Highest Volume — 35,953 contracts
  • 2021-08-03: Largest IV drop — 11.2% change
  • 2021-08-02: Highest IV Rank — 28.5%
  • 2021-08-02: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.30$116.58$118.19$118.09$117.16
Max Pain$116.50$116.00$117.00$117.00$117.00
ATM IV6.0%5.5%7.4%7.4%5.8%
Expected Move1.7%1.4%1.8%1.8%1.5%
HV 20d5.0%4.2%5.9%5.9%4.3%
HV 60d5.0%4.9%5.1%4.9%5.0%
IV Rank18.5%15.1%28.5%28.5%17.3%
IV Percentile52.6%36.9%84.5%84.5%44.8%
Term Structure0.0%-2.2%3.5%-2.2%-0.1%
VWIV6.0%5.1%6.7%6.4%5.1%
Skew 25d-0.3%-1.7%0.4%-0.7%-0.3%
Skew 10d-0.4%-1.8%0.8%-1.8%-1.3%
Call IV 25d6.4%5.6%7.6%7.4%6.2%
Put IV 25d6.1%5.5%6.9%6.8%5.9%
Bid-Ask Spread %82.8452.8493.9173.0292.17
Gamma HHI0.210.110.540.110.24
Net GEX-70.1M-463.4M34.3M-33.3M-22.1M
Net DEX37.6M-346.1M461.9M-346.1M12.6M
Net VEX-3.5M-4.1M-2.9M-3.9M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.190.1387.951.7117.52
Total Volume6,709.31894935,9532,4281,241
Total OI421,340.955372,611455,656432,090396,498

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$118.09$117.007.4%1.8%5.9%28.5%6.4%-0.7%-2.2%-33.3M-346.1M-3.9M1.7173.028951,533121,398310,692
2021-08-03$118.19$117.006.6%1.8%5.7%22.7%6.6%-0.1%-0.1%-30.3M-299.5M-3.9M4.2884.943741,600113,866310,538
2021-08-04$118.15$117.006.5%1.7%5.7%22.0%6.4%-0.0%-0.2%-72.5M-221.8M-4.0M0.1388.835,416692114,223322,068
2021-08-05$117.76$116.006.3%1.8%5.8%20.8%6.4%-0.1%0.1%-95.6M-111.6M-3.8M0.9090.871,9331,736114,214322,301
2021-08-06$117.06$116.006.1%1.8%5.9%19.2%6.2%0.4%-0.2%-463.4M204.8M-4.1M37.6293.0934713,054114,160322,379
2021-08-09$116.84$116.006.3%1.8%5.9%20.5%6.7%0.3%0.0%-81.0M277.7M-4.0M6.5052.845993,896114,814312,502
2021-08-10$116.58$116.006.3%1.8%5.8%20.7%6.3%0.2%0.0%-99.5M429.1M-4.0M0.8293.41814671114,796314,950
2021-08-11$116.74$116.005.7%1.7%5.7%16.8%5.9%0.1%0.3%-91.8M340.4M-3.7M33.4484.94842,809114,741312,672
2021-08-12$116.58$116.005.5%1.6%5.5%15.2%5.6%0.1%-0.1%-101.2M461.9M-3.9M1.0677.86659699114,493312,865
2021-08-13$117.20$116.005.5%1.7%5.8%15.4%5.8%0.0%0.2%-93.6M153.2M-3.6M1.0977.925,4875,973114,520314,015
2021-08-16$117.51$116.005.8%1.7%4.9%17.3%5.9%-0.4%3.5%-84.5M-100.9M-3.1M0.2882.1828,1707,783114,290312,794
2021-08-17$117.45$116.005.9%1.7%4.8%18.0%6.1%-0.7%-0.3%-106.7M-39.9M-3.2M0.8774.06507442113,676312,966
2021-08-18$117.34$116.005.9%1.7%4.4%17.9%5.8%-0.4%-0.4%-2.7M-34.4M-3.4M87.9585.3023220,405135,061315,712
2021-08-19$117.62$116.006.0%1.7%4.4%18.8%6.0%-0.4%-0.3%-22.3M-165.6M-3.3M9.0993.912,37221,562134,884315,895
2021-08-20$117.48$117.005.9%1.7%4.4%17.8%6.0%-0.7%-0.4%34.3M-59.3M-3.3M0.7283.731,296929134,769320,887
2021-08-23$117.56$117.005.5%1.5%4.4%15.1%6.0%-0.4%0.1%808.2K-108.0M-3.2M1.2474.781,2961,611100,338272,273
2021-08-24$117.23$117.005.6%1.6%4.2%15.6%5.8%-1.7%0.2%-15.9M12.6M-3.4M1.6182.02569914111,564283,089
2021-08-25$116.76$117.006.0%1.6%4.4%18.6%5.7%-0.1%0.1%-53.0M218.2M-3.6M2.7376.046031,646112,087284,416
2021-08-26$116.81$117.005.9%1.7%4.4%18.0%5.8%-0.2%0.1%-49.5M205.6M-3.4M27.7484.97782,164112,473285,283
2021-08-27$117.10$117.005.6%1.5%4.4%15.8%5.2%-0.4%0.1%-48.0M68.9M-3.3M6.5782.301781,170112,706285,541
2021-08-30$117.38$117.005.6%1.4%4.3%15.9%5.3%-0.4%0.1%-10.5M-71.6M-2.9M2.2193.359862,180111,238284,854
2021-08-31$117.16$117.005.8%1.5%4.3%17.3%5.1%-0.3%-0.1%-22.1M12.6M-3.0M17.5292.17671,174111,266285,232