IEF Options History — October 2021

In October 2021, IEF traded between $113.67 and $115.58. ATM implied volatility averaged 6.3%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 1.5% (HV 20d: 4.8%). Max pain ranged from $114.00 to $117.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.61.

Notable Days

  • 2021-10-15: Highest Volume — 41,046 contracts
  • 2021-10-11: Largest IV spike — 57.3% change
  • 2021-10-11: Highest IV Rank — 42.2%
  • 2021-10-29: Largest Expected Move — 1.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.59$113.67$115.58$115.58$114.85
Max Pain$115.33$114.00$117.00$117.00$115.00
ATM IV6.3%5.6%9.3%6.0%6.5%
Expected Move1.8%1.6%1.9%1.8%1.9%
HV 20d4.8%4.2%5.3%5.2%4.7%
HV 60d4.7%4.4%5.0%5.0%4.6%
IV Rank20.7%15.9%42.2%18.7%21.9%
IV Percentile61.2%37.7%93.3%54.4%75.4%
Term Structure-0.1%-2.8%0.9%0.3%0.0%
VWIV6.3%5.7%6.7%6.7%6.7%
Skew 25d0.4%-0.2%1.1%0.1%0.9%
Skew 10d0.7%-3.6%4.7%-0.0%1.3%
Call IV 25d6.6%5.8%12.6%6.2%6.2%
Put IV 25d7.0%6.0%13.7%6.3%7.0%
Bid-Ask Spread %86.8975.7098.7180.2084.16
Gamma HHI0.220.110.500.330.17
Net GEX-73.9M-239.7M61.2M-108.3M61.2M
Net DEX583.3M168.3M1.01B595.5M186.4M
Net VEX-2.9M-3.5M-2.4M-3.0M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.610.0432.649.031.30
Total Volume17,666.14345041,04669217,616
Total OI347,581308,849379,646344,492379,646

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$115.58$117.006.0%1.8%5.2%18.7%6.7%0.1%0.3%-108.3M595.5M-3.0M9.0380.206962394,588249,904
2021-10-04$115.45$116.006.1%1.8%5.1%19.3%6.3%0.1%-0.3%-134.5M541.4M-3.0M0.9983.412,7452,70990,321243,581
2021-10-05$115.06$116.006.2%1.7%5.1%19.7%6.2%0.4%-0.3%-136.3M743.2M-3.0M0.0485.3830,5741,22090,317243,748
2021-10-06$115.12$116.006.1%1.7%5.0%19.4%6.1%0.4%-0.2%-150.3M685.6M-2.8M4.9784.129446788,031241,382
2021-10-07$114.67$116.006.0%1.7%4.9%18.9%6.2%0.3%-0.1%-101.3M815.1M-2.8M2.9698.717422,19892,013242,510
2021-10-08$114.41$116.005.9%1.7%4.9%18.1%6.0%0.1%-0.4%-79.0M915.2M-2.7M5.9495.3412272592,047242,465
2021-10-11$114.17$116.009.3%1.7%4.8%42.2%6.1%1.1%-2.8%-52.4M1.01B-2.4M1.0290.4314,52314,78492,194243,792
2021-10-12$114.66$116.005.9%1.7%4.9%17.9%6.0%0.5%0.1%-78.7M894.3M-2.4M1.0693.814,6364,93192,262243,974
2021-10-13$114.87$114.005.7%1.7%5.0%16.2%5.9%0.2%0.2%-78.1M747.4M-2.6M32.6492.54642,089100,848251,558
2021-10-14$115.16$114.005.6%1.6%5.1%15.9%5.7%-0.2%0.2%-62.3M591.5M-2.6M0.3486.1222,4867,601105,154254,611
2021-10-15$114.58$115.005.9%1.7%5.3%17.9%6.2%0.5%0.3%-76.5M847.7M-2.6M1.2189.4618,56022,486105,198255,092
2021-10-18$114.48$115.006.4%1.9%4.8%21.6%6.7%0.4%0.9%-14.7M316.1M-3.0M0.6889.5263643497,651211,198
2021-10-19$114.06$115.006.2%1.8%4.9%19.9%6.3%0.1%0.4%-54.2M455.3M-3.0M1.8588.54158292116,176230,258
2021-10-20$114.00$115.006.3%1.8%4.9%20.5%6.4%0.1%-0.2%-81.8M489.0M-3.2M4.6681.587,04432,809116,781231,354
2021-10-21$113.67$115.007.2%1.9%4.3%27.0%6.6%0.5%0.2%-84.3M543.6M-3.3M1.3695.8711,98416,302116,905231,675
2021-10-22$113.93$115.006.5%1.9%4.4%22.1%6.6%0.7%-0.2%-239.7M519.6M-3.2M0.8086.9015,63512,548121,911239,077
2021-10-25$114.06$115.006.3%1.9%4.4%20.5%6.7%0.7%0.1%-48.3M467.0M-3.2M1.4276.899,38813,331120,502237,520
2021-10-26$114.21$115.006.1%1.8%4.2%19.4%6.6%0.7%0.0%-49.8M411.2M-3.1M1.2275.709,25711,277120,198237,843
2021-10-27$114.86$115.005.7%1.7%4.7%16.4%5.9%0.3%0.3%28.0M168.3M-3.0M1.2083.0915,64718,761120,247238,437
2021-10-28$114.57$115.006.3%1.9%4.8%20.6%6.5%0.8%-0.1%-11.2M306.9M-3.5M1.0282.9411,60111,821127,371248,861
2021-10-29$114.85$115.006.5%1.9%4.7%21.9%6.7%0.9%0.0%61.2M186.4M-3.3M1.3084.167,6669,950129,379250,267