IEF Options History — November 2021

In November 2021, IEF traded between $113.62 and $115.75. ATM implied volatility averaged 6.8%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.8% (HV 20d: 6.0%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2021-11-16: Highest Volume — 60,535 contracts
  • 2021-11-05: Largest IV spike — 26.0% change
  • 2021-11-26: Highest IV Rank — 29.6%
  • 2021-11-30: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.72$113.62$115.75$114.53$115.74
Max Pain$115.33$115.00$116.00$115.00$115.00
ATM IV6.8%6.0%7.5%6.8%7.3%
Expected Move2.0%1.8%2.3%2.0%2.3%
HV 20d6.0%4.7%7.5%4.8%7.5%
HV 60d5.1%4.5%5.9%4.5%5.9%
IV Rank24.6%18.3%29.6%24.0%27.7%
IV Percentile78.9%50.8%88.9%81.0%86.1%
Term Structure-0.1%-0.5%0.4%-0.3%0.3%
VWIV7.2%6.1%8.7%7.1%8.3%
Skew 25d0.4%-0.0%0.8%0.8%0.1%
Skew 10d0.3%-1.7%1.2%1.2%-0.0%
Call IV 25d6.9%5.9%8.1%6.8%7.4%
Put IV 25d7.2%6.5%8.1%7.5%7.5%
Bid-Ask Spread %19.295.5989.1376.689.29
Gamma HHI0.230.120.640.160.12
Net GEX11.0M-141.7M216.6M18.6M-18.6M
Net DEX281.6M-256.5M674.1M290.6M47.2M
Net VEX-2.8M-3.3M-2.3M-3.3M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.182.831.460.62
Total Volume28,994.66715,03360,53517,58424,276
Total OI378,087.476320,084419,554371,697320,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$114.53$115.006.8%2.0%4.8%24.0%7.1%0.8%-0.3%18.6M290.6M-3.3M1.4676.687,13810,446131,278240,419
2021-11-02$114.82$115.006.2%1.9%4.7%20.3%6.8%0.6%-0.2%44.6M189.7M-3.3M1.6585.026,28810,373137,928248,252
2021-11-03$114.55$115.006.0%1.8%4.8%18.8%6.1%0.6%0.0%19.7M298.9M-3.0M1.4189.137,0489,940138,112249,407
2021-11-04$115.08$116.006.0%1.8%4.9%18.3%6.2%0.6%0.0%83.0M61.0M-3.1M1.977.715,93711,674138,797249,272
2021-11-05$115.75$116.007.5%1.9%5.2%29.4%6.7%-0.0%-0.0%124.9M-229.4M-3.3M1.108.8513,17014,435138,747252,505
2021-11-08$115.21$116.006.5%1.9%5.4%21.9%6.9%0.3%0.2%100.1M11.6M-3.2M2.479.139,76024,092144,184256,723
2021-11-09$115.74$116.006.5%1.9%5.5%22.3%6.9%0.3%0.1%168.1M-256.5M-3.2M0.719.6413,9769,868146,753256,577
2021-11-10$114.78$116.006.7%1.9%6.3%23.2%6.9%0.3%0.1%53.0M182.9M-3.1M0.818.0211,3229,205148,083257,581
2021-11-11$114.41$116.006.9%2.1%6.3%25.0%7.1%0.3%0.4%14.3M419.3M-3.0M0.838.8217,57814,548148,548252,032
2021-11-12$114.61$116.007.0%2.1%6.1%26.0%7.2%0.4%0.1%21.8M331.3M-2.8M0.796.6827,35821,630144,970251,979
2021-11-15$114.15$115.007.4%2.1%6.2%28.3%7.4%0.0%-0.4%-106.1M604.3M-2.7M0.948.4814,40913,495139,379254,144
2021-11-16$114.11$115.007.2%2.1%6.1%26.9%7.4%0.4%-0.2%-109.0M606.2M-2.5M0.187.0851,1089,427143,109254,015
2021-11-17$114.45$115.006.9%2.0%6.2%25.1%7.2%0.6%-0.3%-29.1M447.0M-2.4M0.327.3533,25110,727156,391253,451
2021-11-18$114.51$115.006.5%1.9%6.1%22.3%6.8%0.4%-0.3%-28.8M452.5M-2.3M2.837.548,26723,429154,471257,368
2021-11-19$114.81$115.006.4%1.8%6.1%21.5%6.9%0.4%-0.1%76.5M325.0M-2.4M1.825.5916,59130,156154,259265,295
2021-11-22$113.99$115.007.0%2.1%6.6%25.9%7.3%0.3%-0.5%-129.0M592.3M-2.7M2.368.254,47310,56083,476245,297
2021-11-23$113.62$115.007.2%2.1%6.7%27.4%7.5%0.5%-0.5%-118.7M674.1M-2.6M1.639.267,12111,64089,417245,146
2021-11-24$113.91$115.007.0%2.1%6.4%25.7%7.6%0.6%-0.1%-141.7M597.9M-2.5M0.608.7519,39211,60187,136242,872
2021-11-26$115.13$115.007.5%2.3%7.5%29.6%8.7%-0.0%-0.4%216.6M61.3M-2.7M0.7613.1414,85611,29397,700243,364
2021-11-29$115.13$115.007.1%2.2%7.4%26.2%7.7%0.1%0.2%-29.4M207.0M-2.5M0.8710.6714,46312,56784,826236,490
2021-11-30$115.74$115.007.3%2.3%7.5%27.7%8.3%0.1%0.3%-18.6M47.2M-2.4M0.629.2915,0099,26784,893235,191