IEF Options History — June 2022

In June 2022, IEF traded between $98.11 and $102.69. ATM implied volatility averaged 10.8%, placing in the 71.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.1% (HV 20d: 10.8%). Max pain ranged from $101.00 to $110.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2022-06-14: Highest Volume — 37,862 contracts
  • 2022-06-13: Largest IV spike — 32.0% change
  • 2022-06-13: Highest IV Rank — 100.0%
  • 2022-06-13: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.99$98.11$102.69$102.60$102.42
Max Pain$101.81$101.00$110.00$110.00$101.00
ATM IV10.8%8.5%13.6%9.4%11.2%
Expected Move3.1%2.5%3.9%2.8%3.2%
HV 20d10.8%8.5%12.7%9.6%12.7%
HV 60d9.6%8.8%10.4%9.0%10.4%
IV Rank71.7%50.4%100.0%64.2%71.6%
IV Percentile89.6%71.8%100.0%79.4%94.8%
Term Structure-0.0%-0.5%0.4%0.0%-0.1%
VWIV11.2%9.1%13.4%9.9%11.1%
Skew 25d1.2%0.4%2.5%0.7%0.4%
Skew 10d2.4%0.7%4.9%1.1%0.7%
Call IV 25d10.4%8.3%12.7%9.2%11.3%
Put IV 25d11.6%9.1%15.1%9.9%11.8%
Bid-Ask Spread %7.434.4517.044.764.80
Gamma HHI0.110.090.230.090.11
Net GEX-8.6M-47.2M47.3M-30.8M47.3M
Net DEX280.7M-191.5M753.1M410.7M-191.5M
Net VEX-3.5M-3.9M-2.9M-3.8M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.572.110.710.77
Total Volume21,084.09511,99137,86219,18625,350
Total OI360,119306,698411,879386,898318,656

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$102.60$110.009.4%2.8%9.6%64.2%9.9%0.7%0.0%-30.8M410.7M-3.8M0.714.7611,2447,942174,046212,852
2022-06-02$102.69$102.008.9%2.6%9.5%56.8%9.3%0.7%-0.1%-23.7M324.0M-3.1M1.1514.505,8396,718180,029209,897
2022-06-03$102.41$102.008.5%2.5%9.0%50.4%9.1%0.8%0.0%-35.6M357.2M-3.7M1.0217.046,0296,153180,226206,187
2022-06-06$101.78$102.009.1%2.6%9.0%59.5%9.6%0.8%0.0%-43.9M449.2M-3.5M0.879.608,1697,104175,627204,636
2022-06-07$102.16$102.009.1%2.6%8.7%59.8%9.7%0.7%0.1%-39.7M315.7M-3.2M0.576.897,6144,377173,857198,720
2022-06-08$101.88$102.009.2%2.6%8.7%61.0%9.3%0.8%-0.2%-46.1M382.1M-3.4M0.6712.258,6835,842173,868198,414
2022-06-09$101.70$102.009.5%2.7%8.5%64.4%9.9%0.7%-0.1%-47.2M392.7M-3.1M0.899.156,8056,079175,953199,053
2022-06-10$100.73$102.0010.3%2.9%8.8%75.6%10.2%1.3%-0.1%-42.1M518.3M-2.9M1.109.338,4759,301179,188200,401
2022-06-13$98.80$102.0013.6%3.9%10.8%100.0%13.4%2.4%-0.3%-33.9M692.8M-3.1M0.905.0616,24814,632180,004199,525
2022-06-14$98.11$101.0013.5%3.9%10.7%98.8%13.1%2.5%-0.3%-23.6M753.1M-3.4M0.894.4520,05017,812191,487200,156
2022-06-15$99.28$101.0011.7%3.4%11.7%78.2%11.9%1.7%-0.5%-16.0M556.2M-3.1M1.277.029,78612,465205,367204,786
2022-06-16$100.11$101.0012.6%3.6%11.9%88.9%12.6%2.1%-0.4%-19.5M492.7M-3.9M1.094.5110,61911,566206,148205,011
2022-06-17$100.20$101.0011.5%3.3%11.8%75.8%13.4%1.3%-0.0%-43.9M454.2M-3.9M1.426.009,63213,637206,955204,924
2022-06-21$99.62$101.0011.9%3.5%11.6%79.9%13.3%1.8%0.1%13.3M117.8M-3.5M0.595.169,4145,537148,831157,867
2022-06-22$100.96$101.0010.6%3.1%12.7%64.9%11.6%1.1%0.4%29.2M-3.4M-3.8M1.855.8910,41519,291149,187158,366
2022-06-23$101.44$101.0011.0%3.3%12.4%70.0%11.6%0.9%0.3%39.3M-94.1M-3.6M1.437.8112,44217,834152,594162,456
2022-06-24$101.14$101.0011.0%3.2%12.4%69.1%11.4%1.1%0.4%45.9M-39.3M-3.7M2.116.608,09117,088153,772163,815
2022-06-27$100.64$101.0011.5%3.3%12.4%76.0%12.8%1.2%0.0%24.5M30.8M-3.8M1.885.678,72316,373151,801163,495
2022-06-28$100.62$101.0011.3%3.3%12.4%73.1%12.0%1.3%-0.1%27.3M28.4M-3.6M1.324.908,45511,180152,404164,240
2022-06-29$101.46$101.0010.8%3.1%12.5%67.5%10.8%0.9%-0.1%37.7M-53.4M-3.7M1.494.667,92311,829153,076164,622
2022-06-30$102.42$101.0011.2%3.2%12.7%71.6%11.1%0.4%-0.1%47.3M-191.5M-3.6M0.774.8014,29611,054153,248165,408