IEF Options History — January 2022

In January 2022, IEF traded between $111.78 and $114.04. ATM implied volatility averaged 6.8%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.4% (HV 20d: 5.4%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.14.

Notable Days

  • 2022-01-25: Highest Volume — 56,549 contracts
  • 2022-01-07: Largest IV drop — 8.0% change
  • 2022-01-03: Highest IV Rank — 23.3%
  • 2022-01-24: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.77$111.78$114.04$114.04$112.50
Max Pain$115.15$115.00$116.00$116.00$115.00
ATM IV6.8%6.3%7.3%7.3%6.8%
Expected Move1.9%1.8%2.1%2.0%2.0%
HV 20d5.4%4.4%6.4%5.2%6.3%
HV 60d6.2%6.0%6.4%6.1%6.4%
IV Rank18.5%12.9%23.3%23.3%16.0%
IV Percentile73.3%50.8%85.7%85.7%74.6%
Term Structure-0.1%-0.4%0.3%-0.1%-0.0%
VWIV7.0%6.5%7.5%7.1%7.4%
Skew 25d0.9%0.4%1.3%1.1%0.9%
Skew 10d1.8%0.8%2.6%2.4%1.5%
Call IV 25d6.5%6.0%6.9%6.9%6.7%
Put IV 25d7.4%6.8%8.1%8.1%7.6%
Bid-Ask Spread %5.993.698.373.696.69
Gamma HHI0.300.150.700.200.30
Net GEX-142.0M-519.6M-44.1M-129.2M-59.1M
Net DEX996.0M375.5M1.51B854.8M462.5M
Net VEX-2.6M-3.1M-2.2M-3.1M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.088.440.691.30
Total Volume24,606.956,98856,54942,38916,901
Total OI429,077.45257,031529,288420,561315,139

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$114.04$116.007.3%2.0%5.2%23.3%7.1%1.1%-0.1%-129.2M854.8M-3.1M0.693.6925,12717,262133,487287,074
2022-01-04$113.79$116.006.9%1.8%4.9%20.1%6.5%1.1%-0.0%-140.1M993.7M-2.9M3.984.309,96039,620146,768299,406
2022-01-05$113.35$116.006.7%1.8%5.0%18.5%7.3%1.3%0.1%-176.4M1.16B-2.9M3.664.992,6549,720153,407310,802
2022-01-06$113.13$115.006.8%1.9%4.9%19.2%7.2%1.0%-0.0%-177.8M1.31B-2.6M1.157.035,8896,795154,525310,285
2022-01-07$112.79$115.006.3%1.8%4.8%15.2%6.6%1.0%-0.1%-186.9M1.46B-2.2M1.945.539,67018,802158,443311,030
2022-01-10$112.70$115.006.5%1.8%4.7%17.1%6.9%0.9%-0.1%-176.7M1.31B-2.4M8.446.131,90216,056171,248295,361
2022-01-11$112.89$115.006.6%1.8%4.4%18.1%6.7%1.0%-0.1%-175.3M1.24B-2.4M0.705.249,8286,897171,827305,644
2022-01-12$113.03$115.006.5%1.8%4.5%16.8%6.7%0.8%-0.0%-175.2M1.17B-2.6M1.114.875,2895,847179,259307,302
2022-01-13$113.38$115.006.5%1.8%4.7%16.7%6.5%0.5%0.1%-134.1M1.01B-2.5M0.685.9527,40818,706181,770307,874
2022-01-14$112.57$115.006.8%1.9%5.1%19.5%7.3%0.9%-0.4%-179.8M1.29B-2.8M0.704.6818,03912,568210,035313,369
2022-01-18$111.78$115.007.2%2.1%5.3%22.6%7.5%1.2%-0.4%-136.1M1.51B-2.5M2.107.9417,73737,224202,141314,828
2022-01-19$112.09$115.007.2%2.1%5.5%22.4%7.3%0.9%-0.3%-132.1M1.41B-2.8M2.005.846,05112,094206,421320,360
2022-01-20$112.21$115.007.2%2.1%5.5%22.5%7.0%0.8%-0.4%-72.1M1.35B-2.6M2.186.395,49811,996206,624321,001
2022-01-21$112.86$115.007.0%2.1%6.0%21.5%7.2%1.1%-0.4%-519.6M1.09B-2.8M2.805.917,08319,849207,008322,280
2022-01-24$112.89$115.007.0%2.1%6.0%18.8%7.3%0.9%0.1%-44.1M375.5M-2.7M2.006.042,8335,673103,286153,745
2022-01-25$112.60$115.006.9%2.1%6.0%17.5%7.2%0.8%0.1%-45.2M415.9M-2.6M0.086.1152,3154,234104,754154,675
2022-01-26$111.91$115.006.9%2.0%6.2%16.5%7.1%0.7%0.2%-56.6M555.4M-2.5M2.908.372,3206,732155,379155,172
2022-01-27$112.27$115.006.5%1.9%6.3%12.9%7.0%0.4%0.3%-69.8M520.5M-2.6M1.837.183,0295,543155,547157,703
2022-01-28$112.59$115.006.7%2.0%6.4%14.5%7.0%0.6%0.3%-54.4M438.5M-2.5M2.646.991,9215,067156,832159,738
2022-01-31$112.50$115.006.8%2.0%6.3%16.0%7.4%0.9%-0.0%-59.1M462.5M-2.4M1.306.697,3499,552156,045159,094