IEF Options History — December 2021

In December 2021, IEF traded between $114.77 and $116.44. ATM implied volatility averaged 6.8%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.1% (HV 20d: 6.7%). Max pain ranged from $115.50 to $116.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.60.

Notable Days

  • 2021-12-23: Highest Volume — 46,932 contracts
  • 2021-12-28: Largest IV drop — 5.2% change
  • 2021-12-03: Highest IV Rank — 29.3%
  • 2021-12-02: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.51$114.77$116.44$115.80$115.03
Max Pain$115.93$115.50$116.00$115.50$116.00
ATM IV6.8%6.4%7.5%7.0%6.7%
Expected Move2.0%1.8%2.4%2.3%1.9%
HV 20d6.7%5.1%7.8%7.5%5.2%
HV 60d6.0%5.8%6.1%5.9%5.9%
IV Rank23.9%17.3%29.3%26.1%18.2%
IV Percentile74.8%58.7%87.7%82.9%70.6%
Term Structure0.0%-0.2%0.3%0.2%-0.1%
VWIV7.3%6.5%8.6%8.2%6.7%
Skew 25d0.4%-0.3%1.2%0.2%1.2%
Skew 10d0.8%-0.4%2.7%0.2%2.7%
Call IV 25d6.9%6.2%7.9%7.3%6.3%
Put IV 25d7.3%7.0%8.0%7.5%7.5%
Bid-Ask Spread %6.333.7827.088.113.89
Gamma HHI0.260.110.700.150.70
Net GEX-53.7M-611.1M394.7M-39.0M-611.1M
Net DEX245.5M-137.1M673.1M32.2M530.8M
Net VEX-3.0M-3.3M-2.6M-2.6M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.234.761.351.62
Total Volume22,180.9559,02446,93223,35438,698
Total OI376,674.864332,206421,073332,206421,073

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$115.80$115.507.0%2.3%7.5%26.1%8.2%0.2%0.2%-39.0M32.2M-2.6M1.358.119,92513,42989,682242,524
2021-12-02$115.59$115.507.3%2.4%7.5%27.8%8.6%-0.3%0.1%-30.7M85.0M-2.8M0.829.9210,0628,24095,103247,820
2021-12-03$116.44$115.507.5%2.3%7.7%29.3%8.0%-0.2%0.2%-25.6M-137.1M-2.7M3.5427.084,03014,27395,299247,904
2021-12-06$115.78$116.007.4%2.1%7.8%28.5%7.5%0.1%0.1%-38.1M159.9M-2.8M1.074.839,90610,60690,401252,782
2021-12-07$115.39$116.007.2%2.1%7.7%26.8%7.5%-0.1%0.2%-54.0M267.9M-2.8M1.205.319,17011,00392,220253,268
2021-12-08$114.98$116.006.8%2.0%7.6%24.5%7.2%-0.3%0.1%-72.8M399.5M-2.8M0.885.1918,75916,44795,864256,392
2021-12-09$115.27$116.006.9%2.0%7.0%24.8%7.4%-0.1%0.2%-56.3M294.4M-3.0M0.745.2114,53810,775100,173260,816
2021-12-10$115.36$116.006.5%1.9%6.9%22.3%6.8%0.2%0.1%-38.6M261.2M-2.8M0.864.1617,35814,892103,708261,195
2021-12-13$115.86$116.006.5%1.9%7.1%22.3%8.5%0.5%-0.1%-7.5M151.8M-3.0M0.844.178,6907,306110,701269,316
2021-12-14$115.68$116.006.8%1.9%6.9%24.3%7.3%0.8%-0.2%-19.9M200.4M-3.0M2.025.092,9846,040111,052272,386
2021-12-15$115.55$116.006.6%1.8%6.9%22.7%7.5%0.7%-0.2%-64.1M267.3M-3.1M1.715.063,5906,121111,325274,150
2021-12-16$115.76$116.006.7%1.9%6.9%23.7%6.5%0.5%-0.2%77.4M135.1M-2.8M0.235.0126,7626,115111,929276,032
2021-12-17$116.00$116.006.7%1.9%6.9%23.4%6.9%0.4%-0.0%394.7M-44.7M-2.8M0.855.4118,65515,817122,189276,734
2021-12-20$115.96$116.006.8%1.9%6.9%24.5%6.8%0.5%-0.1%115.1M-15.1M-2.9M1.415.675,9098,321117,637243,483
2021-12-21$115.38$116.006.9%2.0%6.6%24.7%7.4%0.8%0.3%62.2M263.7M-3.2M3.224.734,73515,246119,436244,600
2021-12-22$115.51$116.006.6%1.9%6.4%23.0%6.8%0.7%0.2%67.6M230.5M-2.9M0.965.286,1725,940121,962257,103
2021-12-23$115.31$116.006.7%1.9%6.5%23.3%6.7%0.7%0.1%-28.5M310.0M-3.0M2.255.8714,42732,505129,870256,694
2021-12-27$115.33$116.006.7%1.9%5.3%23.6%6.7%0.7%-0.1%-135.5M392.1M-3.2M0.964.929,4039,014118,848284,184
2021-12-28$115.32$116.006.4%1.8%5.3%21.1%6.7%0.9%0.1%-153.6M411.3M-3.3M2.105.183,8208,032125,603288,462
2021-12-29$114.77$116.006.6%1.8%5.1%22.5%7.3%1.0%0.0%-226.5M673.1M-3.1M1.725.384,2297,261126,350291,012
2021-12-30$115.05$116.006.5%1.9%5.2%17.3%6.8%0.8%-0.0%-296.6M532.4M-3.2M4.763.783,26015,516129,097290,468
2021-12-31$115.03$116.006.7%1.9%5.2%18.2%6.7%1.2%-0.1%-611.1M530.8M-3.1M1.623.8914,75623,942129,424291,649