IEF Options History — April 2022

In April 2022, IEF traded between $102.42 and $106.76. ATM implied volatility averaged 10.6%, placing in the 80.3% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.8% (HV 20d: 8.7%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.44.

Notable Days

  • 2022-04-29: Highest Volume — 101,913 contracts
  • 2022-04-13: Largest IV drop — 7.3% change
  • 2022-04-11: Highest IV Rank — 97.0%
  • 2022-04-29: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.96$102.42$106.76$106.76$102.80
Max Pain$108.10$105.00$110.00$110.00$105.00
ATM IV10.6%9.2%11.7%9.2%10.7%
Expected Move3.1%2.7%3.2%2.7%3.2%
HV 20d8.7%8.2%9.4%8.8%8.2%
HV 60d9.1%8.7%9.3%8.7%9.3%
IV Rank80.3%60.8%97.0%60.8%82.0%
IV Percentile96.3%92.5%99.6%92.5%95.6%
Term Structure-0.1%-0.7%0.3%0.3%-0.2%
VWIV10.9%9.3%12.9%9.3%11.3%
Skew 25d0.9%0.4%1.4%1.0%0.5%
Skew 10d1.3%0.1%2.3%1.5%0.3%
Call IV 25d10.4%8.9%11.6%8.9%10.8%
Put IV 25d11.3%9.9%12.7%9.9%11.3%
Bid-Ask Spread %6.845.279.578.366.05
Gamma HHI0.100.080.120.090.12
Net GEX-31.8M-45.4M-11.6M-11.6M-18.3M
Net DEX639.5M466.3M779.4M515.7M618.9M
Net VEX-2.9M-3.1M-2.2M-2.2M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.465.631.682.04
Total Volume24,874.23,242101,91338,876101,913
Total OI282,811.35245,772314,486245,772294,833

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-04-01$106.76$110.009.2%2.7%8.8%60.8%9.3%1.0%0.3%-11.6M515.7M-2.2M1.688.3614,48024,396115,969129,803
2022-04-04$106.51$110.009.6%2.8%8.7%66.7%10.7%1.1%-0.0%-23.1M619.4M-2.6M0.508.0614,0947,032119,155143,040
2022-04-05$105.40$110.0010.3%3.0%9.1%76.3%10.1%1.2%-0.2%-27.2M709.2M-2.2M0.746.817,4015,483119,041143,617
2022-04-06$104.92$110.0010.7%3.0%9.0%81.7%11.0%1.2%0.1%-29.0M737.0M-2.4M0.469.5718,0808,368120,749143,907
2022-04-07$104.61$110.0010.9%3.0%9.0%84.8%10.8%1.4%-0.2%-26.1M726.9M-2.7M1.006.2415,87115,925135,808144,271
2022-04-08$104.10$110.0011.1%3.2%9.0%88.5%11.2%1.0%-0.1%-20.1M680.4M-2.9M5.636.594,30124,193149,137141,488
2022-04-11$103.60$110.0011.7%3.2%8.5%97.0%11.4%1.1%-0.7%-30.4M762.8M-3.0M1.468.923,8875,673148,841156,523
2022-04-12$104.22$110.0010.9%3.1%9.0%84.9%10.8%0.9%-0.1%-31.5M711.2M-3.1M0.636.299,6236,037149,895157,310
2022-04-13$104.35$110.0010.1%3.0%9.1%73.5%10.7%0.8%0.3%-33.1M704.0M-3.1M0.605.998,6795,187153,219158,699
2022-04-14$103.40$110.0010.5%3.0%9.4%79.6%10.7%0.9%0.1%-30.6M779.4M-3.0M0.955.3811,19810,676154,326160,160
2022-04-18$103.15$110.0010.4%3.0%9.0%77.8%10.6%0.9%-0.4%-33.2M579.9M-2.9M0.625.9411,4567,112120,908139,970
2022-04-19$102.42$110.0010.6%3.0%8.4%81.2%10.3%1.0%-0.5%-36.9M645.9M-2.7M3.246.5910,34233,542122,304140,603
2022-04-20$103.11$106.0010.4%3.0%8.8%77.7%12.9%1.0%-0.2%-42.2M605.1M-2.9M2.995.964,97814,892128,620150,987
2022-04-21$102.74$106.0010.8%3.1%8.4%83.5%10.2%0.8%0.0%-45.4M644.6M-3.0M2.617.256,41316,734129,770151,948
2022-04-22$102.76$105.0010.8%3.1%8.4%83.5%11.1%0.9%-0.2%-42.8M617.9M-3.1M0.706.305,3763,786131,226153,941
2022-04-25$103.42$105.0010.7%3.1%8.3%82.0%11.1%0.6%-0.1%-39.4M549.4M-3.1M0.715.277,4995,353131,552153,726
2022-04-26$104.07$105.0010.6%3.2%8.7%80.9%12.4%0.5%-0.1%-37.2M466.3M-3.1M0.638.426,3083,995131,160154,606
2022-04-27$103.51$105.0010.6%3.1%8.6%80.8%11.2%0.5%-0.0%-38.9M535.9M-3.1M0.716.731,8951,347131,463155,303
2022-04-28$103.26$105.0010.7%3.2%8.3%82.1%11.1%0.4%-0.1%-39.8M579.5M-3.0M0.956.1517,43916,520132,624155,725
2022-04-29$102.80$105.0010.7%3.2%8.2%82.0%11.3%0.5%-0.2%-18.3M618.9M-3.0M2.046.0533,47668,437136,873157,960