IEF Options History — September 2021

In September 2021, IEF traded between $114.97 and $117.38. ATM implied volatility averaged 5.6%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.4% (HV 20d: 4.2%). Max pain ranged from $116.00 to $117.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.84.

Notable Days

  • 2021-09-17: Highest Volume — 51,237 contracts
  • 2021-09-23: Largest IV spike — 10.3% change
  • 2021-09-30: Highest IV Rank — 20.6%
  • 2021-09-30: Largest Expected Move — 2.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.53$114.97$117.38$117.16$115.19
Max Pain$116.86$116.00$117.00$117.00$117.00
ATM IV5.6%5.2%6.3%5.5%6.3%
Expected Move1.6%1.5%2.0%1.5%2.0%
HV 20d4.2%3.7%5.0%4.3%5.0%
HV 60d5.0%4.8%5.2%5.0%5.0%
IV Rank16.0%13.1%20.6%15.0%20.6%
IV Percentile41.1%25.0%68.3%35.3%68.3%
Term Structure0.0%-0.2%0.3%0.1%0.2%
VWIV5.8%5.0%7.0%5.0%6.9%
Skew 25d0.0%-0.4%0.3%-0.2%0.1%
Skew 10d0.1%-1.2%7.3%-0.7%-0.1%
Call IV 25d5.9%5.3%6.6%5.9%6.6%
Put IV 25d5.9%5.5%6.7%5.7%6.7%
Bid-Ask Spread %83.2478.0189.8089.8079.44
Gamma HHI0.310.140.680.250.25
Net GEX-103.2M-381.3M-12.6M-14.6M-106.5M
Net DEX296.1M-103.2M789.0M28.1M749.9M
Net VEX-2.8M-3.0M-2.3M-3.0M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.840.1432.820.141.00
Total Volume11,755.04838151,2371,0836,567
Total OI365,151.619259,505437,313396,521332,561

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$117.16$117.005.5%1.5%4.3%15.0%5.0%-0.2%0.1%-14.6M28.1M-3.0M0.1489.80954129111,823284,698
2021-09-02$117.24$116.005.9%1.6%4.2%17.5%5.8%-0.2%-0.0%-12.6M28.8M-2.9M1.2183.75666804108,043285,803
2021-09-03$116.99$116.005.4%1.5%3.7%14.2%5.4%0.1%-0.1%-45.9M138.9M-2.9M1.0184.565,3845,416108,575285,484
2021-09-07$116.56$116.005.8%1.6%3.8%16.9%5.8%0.1%-0.1%-100.8M336.3M-2.8M1.7478.65522907108,555285,170
2021-09-08$116.88$117.005.6%1.6%3.9%15.6%5.8%0.0%0.1%-74.3M190.5M-2.8M0.3383.66530176113,544290,534
2021-09-09$117.19$117.005.3%1.5%4.0%13.4%5.6%0.2%0.1%-58.0M48.5M-2.7M1.0985.791,9772,156113,197290,907
2021-09-10$116.81$117.005.3%1.5%4.1%13.2%5.4%0.1%0.0%-141.1M256.3M-2.7M15.1286.832,15132,520113,619291,025
2021-09-13$116.98$117.005.3%1.5%3.7%13.8%5.3%-0.3%-0.1%-140.2M104.0M-2.4M0.6087.2912,8237,658111,665290,196
2021-09-14$117.38$117.005.4%1.6%3.7%14.2%5.5%-0.0%-0.1%-16.8M-103.2M-2.4M0.2087.798,3231,642112,251294,208
2021-09-15$117.16$117.005.5%1.6%3.8%14.9%5.6%0.3%-0.2%-196.5M68.8M-2.6M15.1586.821,74026,361115,454295,294
2021-09-16$116.87$117.005.5%1.6%3.9%14.9%5.7%-0.0%-0.0%-381.3M246.5M-2.5M32.8284.8662020,348116,304296,548
2021-09-17$116.49$117.005.7%1.7%3.9%16.4%5.8%0.1%-0.2%-63.1M446.1M-2.3M0.8384.6927,93123,306114,528322,785
2021-09-20$117.08$117.005.8%1.7%4.4%17.3%6.2%-0.2%-0.1%-100.9M167.8M-2.6M4.8078.011,1755,63955,418204,087
2021-09-21$116.95$117.005.5%1.6%4.4%14.8%5.9%-0.4%-0.0%-87.7M118.3M-3.0M3.4780.0813948380,693227,560
2021-09-22$117.01$117.005.2%1.5%4.3%13.1%5.3%-0.4%0.0%-103.3M95.8M-2.8M4.5986.0113562082,350233,140
2021-09-23$116.12$117.005.8%1.7%4.8%17.0%6.0%0.1%-0.1%-144.2M472.7M-3.0M1.1178.847,6858,50782,114233,398
2021-09-24$115.72$117.005.9%1.7%5.0%17.6%6.0%0.2%-0.1%-95.0M640.4M-3.0M7.8680.314333882,264234,439
2021-09-27$115.44$117.005.8%1.7%4.9%17.2%6.2%0.1%0.2%-96.2M631.2M-2.7M7.6880.5710782284,609231,969
2021-09-28$114.99$117.006.1%1.8%4.9%19.0%7.0%0.0%0.3%-95.8M763.4M-3.0M0.2880.386,3161,75484,622231,966
2021-09-29$114.97$117.006.1%1.8%4.9%19.2%6.4%0.3%0.2%-92.2M789.0M-2.8M0.6079.8913,4318,05189,710237,074
2021-09-30$115.19$117.006.3%2.0%5.0%20.6%6.9%0.1%0.2%-106.5M749.9M-2.9M1.0079.443,2763,29189,812242,749