IEF Options History — July 2022

In July 2022, IEF traded between $101.51 and $105.20. ATM implied volatility averaged 11.4%, placing in the 73.6% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.2% (HV 20d: 11.2%). Max pain ranged from $100.00 to $102.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 3.69.

Notable Days

  • 2022-07-05: Highest Volume — 83,438 contracts
  • 2022-07-15: Largest IV drop — 5.3% change
  • 2022-07-05: Highest IV Rank — 93.4%
  • 2022-07-01: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.10$101.51$105.20$103.27$105.20
Max Pain$100.15$100.00$102.00$101.00$102.00
ATM IV11.4%10.0%13.0%12.9%10.0%
Expected Move3.3%3.0%3.7%3.7%3.0%
HV 20d11.2%9.4%13.8%13.1%9.5%
HV 60d10.5%10.3%10.6%10.3%10.6%
IV Rank73.6%57.5%93.4%91.9%57.5%
IV Percentile88.6%71.4%99.2%99.2%71.4%
Term Structure-0.1%-0.4%0.2%0.0%-0.0%
VWIV11.6%10.5%13.1%12.5%10.7%
Skew 25d0.3%-0.4%0.8%-0.4%0.4%
Skew 10d0.7%-1.5%2.0%-1.5%0.7%
Call IV 25d11.4%9.9%13.6%13.4%9.9%
Put IV 25d11.7%10.2%13.3%13.0%10.3%
Bid-Ask Spread %6.184.298.654.295.89
Gamma HHI0.090.070.130.090.08
Net GEX41.0M18.4M60.7M54.1M32.0M
Net DEX-202.2M-381.7M8.5M-339.1M-339.4M
Net VEX-3.6M-4.0M-3.3M-3.7M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.691.387.551.382.78
Total Volume41,758.117,99283,43821,70321,578
Total OI345,164.7323,755372,592323,755362,045

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$103.27$101.0012.9%3.7%13.1%91.9%12.5%-0.4%0.0%54.1M-339.1M-3.7M1.384.299,12312,580157,749166,006
2022-07-05$103.70$100.0013.0%3.6%13.1%93.4%13.0%-0.4%-0.1%51.3M-381.7M-4.0M7.558.659,75973,679158,833167,037
2022-07-06$102.77$100.0013.0%3.6%13.3%93.0%13.1%0.0%-0.1%49.0M-257.3M-4.0M4.208.6010,03142,128160,394170,341
2022-07-07$102.12$100.0012.7%3.6%13.5%89.6%12.9%0.0%-0.1%52.2M-183.6M-3.8M4.415.719,49941,935161,798170,752
2022-07-08$101.51$100.0012.0%3.4%13.6%81.7%12.2%0.2%-0.0%46.6M-105.9M-3.7M4.745.738,92142,248162,467172,002
2022-07-11$102.13$100.0012.2%3.4%13.8%83.1%12.0%0.6%-0.2%59.0M-168.0M-3.6M2.955.9513,44139,675163,419171,827
2022-07-12$102.63$100.0012.4%3.5%13.4%86.5%12.3%0.7%-0.2%57.6M-220.0M-3.6M5.145.307,18536,930164,022175,100
2022-07-13$102.94$100.0011.9%3.4%11.0%80.1%12.0%0.7%-0.1%57.2M-227.5M-3.8M2.984.7317,06850,914163,446176,998
2022-07-14$102.60$100.0011.6%3.3%10.7%76.9%12.0%0.6%-0.1%60.7M-142.8M-3.9M3.985.2814,34657,134169,750195,157
2022-07-15$102.75$100.0011.0%3.1%10.1%69.5%11.1%0.4%-0.1%44.0M-204.2M-3.6M3.845.3912,04046,192175,563197,029
2022-07-18$102.51$100.0010.9%3.1%9.8%68.4%11.0%0.5%-0.4%29.2M-83.1M-3.7M6.866.366,68045,797153,125185,345
2022-07-19$102.04$100.0010.5%3.0%10.1%63.6%10.6%0.4%-0.3%22.4M-28.3M-3.5M6.536.137,15346,687153,883185,850
2022-07-20$101.84$100.0010.7%3.1%9.8%66.1%11.5%0.7%-0.2%18.4M8.5M-3.5M2.636.185,92315,561155,588187,333
2022-07-21$102.96$100.0010.5%3.0%9.4%63.6%11.3%0.8%-0.4%52.7M-122.7M-3.6M2.377.496,85516,275156,251196,358
2022-07-22$104.13$100.0010.4%3.0%10.0%61.8%10.6%0.2%-0.1%33.9M-286.3M-3.5M2.176.468,40718,279157,066197,807
2022-07-25$103.76$100.0010.4%3.1%10.1%61.6%10.9%0.6%0.2%21.1M-195.5M-3.4M2.476.705,95614,690151,044199,469
2022-07-26$103.91$100.0010.6%3.1%9.8%64.0%11.3%0.4%0.1%21.3M-187.9M-3.6M2.296.085,47312,519152,176199,660
2022-07-27$104.11$100.0010.3%3.1%9.8%60.9%11.0%0.4%0.1%24.0M-244.3M-3.3M2.406.925,40212,975152,334201,850
2022-07-28$105.09$100.0010.1%3.0%9.9%58.9%10.5%0.2%-0.1%32.8M-334.3M-3.3M2.075.727,85216,272152,408204,012
2022-07-29$105.20$102.0010.0%3.0%9.5%57.5%10.7%0.4%-0.0%32.0M-339.4M-3.3M2.785.895,70715,871154,681207,364