IEF Options History — March 2022

In March 2022, IEF traded between $106.19 and $113.13. ATM implied volatility averaged 9.9%, placing in the 68.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 0.6% (HV 20d: 10.6%). Max pain ranged from $110.00 to $113.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.27.

Notable Days

  • 2022-03-04: Highest Volume — 65,840 contracts
  • 2022-03-09: Largest IV drop — 12.5% change
  • 2022-03-08: Highest IV Rank — 89.8%
  • 2022-03-07: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.35$106.19$113.13$113.13$107.47
Max Pain$111.48$110.00$113.00$113.00$110.00
ATM IV9.9%8.6%11.9%10.5%9.0%
Expected Move3.0%2.5%3.8%3.3%2.7%
HV 20d10.6%8.5%12.0%8.5%9.8%
HV 60d8.0%6.8%8.7%6.8%8.7%
IV Rank68.2%52.2%89.8%66.4%58.3%
IV Percentile96.9%92.1%99.6%99.2%92.1%
Term Structure-0.0%-0.4%0.4%-0.4%0.3%
VWIV11.2%9.5%13.6%12.6%9.5%
Skew 25d0.4%-1.0%1.6%-0.7%0.8%
Skew 10d0.7%-3.0%3.4%-2.2%1.2%
Call IV 25d10.1%8.6%12.6%11.4%9.0%
Put IV 25d10.5%8.9%12.2%10.6%9.7%
Bid-Ask Spread %9.754.5338.438.3610.00
Gamma HHI0.140.080.590.110.08
Net GEX-59.1M-173.6M-7.9M-7.9M-12.3M
Net DEX478.7M-10.1M839.9M21.7M455.4M
Net VEX-2.1M-2.7M-1.3M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.323.250.660.45
Total Volume22,726.17410,36265,84050,43114,942
Total OI258,632.261183,275304,466245,217239,214

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$113.13$113.0010.5%3.3%8.5%66.4%12.6%-0.7%-0.4%-7.9M21.7M-2.2M0.668.3630,29120,14080,762164,455
2022-03-02$111.55$113.0010.1%3.0%9.9%60.6%12.1%-1.0%-0.2%-49.8M272.0M-2.5M0.685.7721,74814,88484,277168,816
2022-03-03$111.93$113.0010.1%3.1%10.0%60.8%11.2%-0.5%-0.4%-34.1M200.7M-2.5M0.705.2312,7628,91889,111169,724
2022-03-04$113.11$113.0011.3%3.6%10.6%75.0%12.7%-0.9%-0.2%-8.4M-10.1M-2.6M3.257.1915,48650,35489,319170,109
2022-03-07$112.57$113.0011.9%3.8%10.2%82.4%13.5%-0.5%0.0%-24.9M111.5M-2.7M1.577.267,94012,43492,428206,638
2022-03-08$111.88$113.0011.2%3.7%10.5%89.8%13.6%-0.7%0.1%-47.3M254.4M-2.6M2.085.025,36911,14792,634207,754
2022-03-09$111.17$113.009.8%3.1%10.7%70.0%11.2%-0.3%-0.1%-71.3M393.9M-2.5M1.524.535,6208,56095,009207,570
2022-03-10$110.64$113.009.3%2.8%10.8%61.7%10.1%-0.5%0.1%-104.4M523.9M-2.4M2.555.295,09812,98295,578208,707
2022-03-11$110.51$113.008.9%2.6%10.3%56.3%9.5%-0.5%0.1%-126.2M552.6M-2.2M1.465.514,2196,14396,178206,333
2022-03-14$109.26$111.009.8%2.8%10.6%69.1%10.5%0.7%-0.2%-122.6M746.4M-1.9M1.608.889,46515,14496,089204,107
2022-03-15$109.16$111.009.7%2.8%10.5%67.6%11.3%1.0%-0.1%-112.6M745.2M-1.8M1.6311.604,0146,55698,123205,140
2022-03-16$108.81$111.009.4%2.7%10.5%63.2%11.5%1.1%0.2%-123.2M834.4M-1.8M1.9222.064,3658,39798,546205,920
2022-03-17$108.64$111.008.7%2.5%10.5%53.6%10.9%0.9%0.0%-135.6M839.9M-1.6M2.0710.187,67515,86899,292203,841
2022-03-18$109.15$111.008.6%2.5%10.5%52.2%10.9%0.8%-0.1%-173.6M716.1M-1.6M0.759.317,8135,848103,009201,128
2022-03-21$107.74$111.009.6%2.7%11.2%66.1%11.8%1.1%-0.2%-28.5M515.8M-1.4M0.8912.997,3976,54773,442109,833
2022-03-22$107.01$111.0010.3%2.9%11.3%76.8%10.5%1.5%-0.3%-32.8M581.7M-1.5M0.878.519,5368,28573,741110,993
2022-03-23$107.61$110.0010.1%2.9%11.6%73.1%11.0%1.3%-0.2%-29.6M522.8M-1.3M0.548.5524,47313,25376,114113,327
2022-03-24$107.31$110.0010.2%3.0%11.6%75.7%10.4%0.7%-0.4%-25.3M484.1M-2.1M1.0938.4313,09214,27194,380119,543
2022-03-25$106.19$110.0010.8%3.2%12.0%84.3%11.3%1.6%-0.2%-31.0M600.6M-2.0M0.597.4215,8779,42294,585125,331
2022-03-28$106.28$110.0010.3%3.1%11.1%77.2%10.9%1.5%0.4%-20.0M578.5M-2.0M0.807.258,4456,71797,619125,789
2022-03-29$106.73$110.009.9%2.8%10.4%70.2%10.5%1.1%0.2%-20.1M552.1M-2.0M1.116.795,4676,05798,065127,670
2022-03-30$107.26$110.009.0%2.7%9.9%57.1%9.8%1.2%0.4%-18.4M515.7M-2.0M0.328.0514,8624,81999,355128,944
2022-03-31$107.47$110.009.0%2.7%9.8%58.3%9.5%0.8%0.3%-12.3M455.4M-2.3M0.4510.0010,2974,645110,056129,158