IEF Options History — May 2022

In May 2022, IEF traded between $101.12 and $104.43. ATM implied volatility averaged 9.9%, placing in the 70.6% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.0% (HV 20d: 8.9%). Max pain ranged from $104.00 to $112.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.05.

Notable Days

  • 2022-05-02: Highest Volume — 71,976 contracts
  • 2022-05-31: Largest IV spike — 14.6% change
  • 2022-05-02: Highest IV Rank — 93.3%
  • 2022-05-02: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.93$101.12$104.43$101.99$103.43
Max Pain$110.05$104.00$112.00$105.00$110.00
ATM IV9.9%8.1%11.5%11.5%9.3%
Expected Move2.9%2.4%3.4%3.4%2.8%
HV 20d8.9%8.1%9.3%8.3%9.1%
HV 60d9.5%8.9%9.9%9.4%8.9%
IV Rank70.6%44.5%93.3%93.3%61.6%
IV Percentile85.2%71.4%99.2%99.2%78.2%
Term Structure-0.0%-0.6%0.5%-0.2%-0.1%
VWIV10.5%9.0%11.9%11.9%9.9%
Skew 25d0.5%0.1%0.9%0.6%0.6%
Skew 10d0.7%0.0%1.9%0.6%0.9%
Call IV 25d9.8%8.0%11.3%11.3%9.2%
Put IV 25d10.3%8.4%11.8%11.8%9.8%
Bid-Ask Spread %4.943.2614.446.774.44
Gamma HHI0.110.080.140.140.08
Net GEX-21.0M-65.0M29.6M-42.9M-14.4M
Net DEX425.7M114.6M684.6M684.6M299.5M
Net VEX-3.8M-4.4M-2.9M-3.1M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.296.971.321.04
Total Volume36,267.42911,25471,97671,97617,836
Total OI368,638.571301,702420,071301,702385,821

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$101.99$105.0011.5%3.4%8.3%93.3%11.9%0.6%-0.2%-42.9M684.6M-3.1M1.326.7731,04240,934140,836160,866
2022-05-03$102.13$104.0010.5%3.1%8.4%80.2%11.2%0.6%-0.0%-37.8M632.1M-3.3M0.296.0127,8018,088148,351158,834
2022-05-04$102.60$104.009.9%3.0%8.1%70.1%10.4%0.7%0.0%-37.7M568.3M-3.3M0.7314.4425,30618,424154,035159,783
2022-05-05$101.71$112.0010.2%3.0%8.5%75.4%10.4%0.6%-0.0%-29.5M609.4M-2.9M0.326.5727,3288,751155,688150,369
2022-05-06$101.12$112.0010.4%3.1%8.6%77.9%10.5%0.9%0.2%-27.9M652.5M-3.3M0.393.5217,8936,961171,482150,494
2022-05-09$101.89$112.0010.2%3.0%9.1%75.2%11.0%0.9%0.2%-22.2M547.6M-3.2M2.413.7516,85140,684171,461149,837
2022-05-10$102.23$112.0010.3%3.0%9.1%75.8%11.5%0.8%0.4%-26.6M527.9M-3.7M3.414.1611,59239,567172,809184,712
2022-05-11$102.74$112.009.9%2.9%9.0%71.3%10.5%0.7%0.2%-19.3M440.0M-3.9M2.974.3011,51034,215175,607184,878
2022-05-12$103.27$112.0010.1%3.0%9.2%72.9%11.0%0.4%0.5%-13.1M352.8M-4.4M5.133.647,86840,384179,870214,631
2022-05-13$102.64$112.009.9%2.9%8.9%70.7%10.5%0.5%0.3%-44.7M528.9M-4.3M5.443.675,72231,124181,443222,153
2022-05-16$103.04$112.009.9%2.9%9.0%70.4%10.1%0.7%-0.4%-44.7M460.2M-4.3M6.974.146,56045,719180,709221,974
2022-05-17$102.31$112.0010.2%2.9%9.0%75.0%10.3%0.7%-0.5%-65.0M648.2M-4.3M3.174.7711,89637,693181,734238,337
2022-05-18$102.93$110.0010.2%2.9%8.9%75.4%10.7%0.6%-0.4%-38.1M460.9M-3.9M0.653.888,2755,370182,927235,756
2022-05-19$103.33$110.0010.2%2.9%8.9%74.9%11.5%0.3%-0.6%-27.8M370.0M-4.4M2.313.687,17316,535181,724237,235
2022-05-20$103.88$110.009.7%2.8%9.1%67.7%10.0%0.4%-0.2%29.6M240.7M-4.3M0.723.269,2866,712182,519230,307
2022-05-23$103.26$110.009.7%2.9%9.1%67.9%10.8%0.6%0.1%-12.6M313.9M-4.1M0.574.2415,9989,163163,395204,609
2022-05-24$104.09$110.009.5%2.9%9.3%64.8%10.2%0.1%-0.0%4.4M184.2M-4.4M0.914.4911,28810,239171,524207,338
2022-05-25$104.32$110.009.1%2.7%9.1%59.7%9.6%0.1%0.0%9.3M160.8M-4.2M0.745.0713,97210,316171,751207,517
2022-05-26$104.23$110.008.9%2.7%9.1%56.9%9.4%0.4%0.1%10.5M141.8M-3.7M0.514.467,4543,800174,356209,745
2022-05-27$104.43$110.008.1%2.4%8.9%44.5%9.0%0.4%0.2%10.0M114.6M-3.6M3.104.3913,23941,047174,511209,482
2022-05-31$103.43$110.009.3%2.8%9.1%61.6%9.9%0.6%-0.1%-14.4M299.5M-3.9M1.044.448,7369,100174,745211,076