IEF Options History — February 2022

In February 2022, IEF traded between $110.04 and $112.50. ATM implied volatility averaged 7.9%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.0% (HV 20d: 6.9%). Max pain ranged from $113.00 to $115.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.26.

Notable Days

2022-02-23: Highest Volume — 29,539 contracts
2022-02-28: Largest IV spike — 13.5% change
2022-02-28: Highest IV Rank — 50.1%
2022-02-28: Largest Expected Move — 2.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.09	$110.04	$112.50	$112.28	$112.04
Max Pain	$113.58	$113.00	$115.00	$115.00	$113.00
ATM IV	7.9%	6.7%	9.2%	6.7%	9.2%
Expected Move	2.3%	1.9%	2.9%	1.9%	2.9%
HV 20d	6.9%	5.7%	7.8%	5.7%	7.8%
HV 60d	6.3%	6.0%	6.6%	6.3%	6.5%
IV Rank	31.3%	14.8%	50.1%	14.8%	50.1%
IV Percentile	88.8%	69.8%	98.0%	69.8%	98.0%
Term Structure	0.0%	-0.4%	0.6%	0.1%	-0.1%
VWIV	8.1%	6.8%	9.6%	7.2%	9.6%
Skew 25d	0.8%	0.3%	1.2%	1.0%	0.3%
Skew 10d	1.3%	-0.3%	2.4%	1.4%	0.4%
Call IV 25d	7.6%	6.6%	9.2%	6.6%	9.2%
Put IV 25d	8.4%	7.4%	9.6%	7.6%	9.5%
Bid-Ask Spread %	5.75	3.51	14.63	5.17	6.72
Gamma HHI	0.24	0.12	0.39	0.31	0.13
Net GEX	-73.1M	-95.8M	-34.0M	-65.1M	-34.0M
Net DEX	684.7M	234.1M	1.03B	511.8M	234.1M
Net VEX	-2.0M	-2.5M	-1.8M	-2.5M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.26	0.55	5.98	0.55	1.89
Total Volume	14,607.211	7,886	29,539	11,747	21,873
Total OI	316,586.895	225,445	374,024	326,500	231,851

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-02-01	$112.28	$115.00	6.7%	1.9%	5.7%	14.8%	7.2%	1.0%	0.1%	-65.1M	511.8M	-2.5M	0.55	5.17	7,572	4,175	161,960	164,540
2022-02-02	$112.50	$115.00	6.8%	2.0%	5.8%	16.0%	6.9%	0.8%	-0.1%	-55.8M	448.9M	-2.5M	1.72	5.58	3,078	5,299	162,425	164,586
2022-02-03	$112.14	$114.00	6.9%	2.0%	5.7%	16.5%	7.0%	0.9%	-0.0%	-67.5M	557.5M	-2.3M	2.34	4.40	2,364	5,522	161,935	164,252
2022-02-04	$111.14	$114.00	7.0%	2.0%	6.4%	17.1%	6.8%	0.9%	-0.1%	-77.8M	770.0M	-2.0M	2.14	3.75	3,089	6,607	162,178	164,713
2022-02-07	$111.31	$114.00	7.0%	2.1%	6.4%	17.5%	8.3%	0.9%	0.4%	-78.7M	724.5M	-1.9M	5.11	4.62	2,409	12,314	161,907	164,450
2022-02-08	$110.93	$114.00	6.9%	2.1%	6.5%	16.8%	8.0%	0.8%	0.3%	-86.8M	831.5M	-1.8M	3.11	4.21	2,783	8,643	162,051	177,194
2022-02-09	$111.06	$114.00	7.1%	2.1%	6.5%	17.8%	7.6%	0.8%	0.1%	-79.5M	791.6M	-1.9M	1.62	3.51	9,525	15,464	164,069	177,111
2022-02-10	$110.07	$114.00	7.6%	2.2%	7.1%	22.6%	7.6%	0.8%	0.1%	-77.8M	1.00B	-1.9M	1.94	4.01	4,818	9,360	169,351	183,609
2022-02-11	$110.99	$113.00	8.4%	2.5%	7.7%	34.2%	8.2%	0.8%	0.6%	-76.7M	782.7M	-2.1M	2.20	13.66	7,204	15,876	171,102	183,340
2022-02-14	$110.51	$114.00	8.8%	2.5%	7.5%	45.8%	8.9%	1.0%	-0.2%	-94.1M	912.6M	-2.1M	2.27	4.92	5,255	11,923	171,551	191,493
2022-02-15	$110.04	$113.00	8.6%	2.5%	7.2%	43.2%	7.8%	1.2%	-0.3%	-92.3M	1.03B	-1.9M	1.78	3.93	5,187	9,243	173,515	191,929
2022-02-16	$110.22	$113.00	8.3%	2.4%	7.2%	39.9%	8.4%	1.0%	-0.4%	-95.8M	1.01B	-1.9M	2.58	4.57	4,201	10,819	173,743	192,680
2022-02-17	$110.72	$113.00	8.5%	2.5%	7.4%	42.9%	8.5%	0.9%	-0.1%	-86.6M	905.7M	-2.1M	1.07	4.28	4,701	5,035	174,310	199,581
2022-02-18	$111.14	$113.00	8.4%	2.4%	7.2%	40.9%	8.3%	0.6%	-0.2%	-92.3M	766.1M	-2.0M	1.01	3.78	5,058	5,131	173,823	200,201
2022-02-22	$111.07	$113.00	8.4%	2.5%	7.2%	41.4%	8.9%	0.7%	0.1%	-58.7M	411.5M	-1.9M	0.90	5.87	4,649	4,182	75,148	150,297
2022-02-23	$110.73	$113.00	8.6%	2.6%	7.2%	43.4%	9.0%	0.7%	0.1%	-58.0M	461.1M	-1.8M	5.98	5.33	4,233	25,306	77,648	151,745
2022-02-24	$110.88	$113.00	8.0%	2.6%	6.9%	37.0%	8.6%	0.4%	-0.0%	-54.8M	418.8M	-1.9M	2.34	14.63	4,059	9,500	77,351	155,234
2022-02-25	$110.88	$113.00	8.1%	2.4%	6.8%	37.4%	8.8%	0.7%	-0.0%	-56.1M	444.2M	-1.9M	2.45	6.27	3,207	7,873	77,369	154,909
2022-02-28	$112.04	$113.00	9.2%	2.9%	7.8%	50.1%	9.6%	0.3%	-0.1%	-34.0M	234.1M	-2.0M	1.89	6.72	7,560	14,313	76,262	155,589