IEF Options History — August 2022

In August 2022, IEF traded between $100.97 and $105.61. ATM implied volatility averaged 9.9%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.1% (HV 20d: 9.8%). Max pain ranged from $103.00 to $104.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.95.

Notable Days

  • 2022-08-08: Highest Volume — 33,994 contracts
  • 2022-08-22: Largest IV spike — 8.0% change
  • 2022-08-22: Highest IV Rank — 69.0%
  • 2022-08-02: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.12$100.97$105.61$105.61$100.97
Max Pain$103.65$103.00$104.00$104.00$103.00
ATM IV9.9%8.8%11.0%10.3%10.3%
Expected Move2.9%2.6%3.2%3.1%2.9%
HV 20d9.8%7.8%10.7%9.2%7.8%
HV 60d10.8%10.6%11.0%10.6%10.6%
IV Rank56.3%43.4%69.0%60.2%60.3%
IV Percentile69.7%55.6%89.7%76.2%75.4%
Term Structure-0.0%-0.4%0.5%-0.4%0.2%
VWIV10.1%9.0%11.3%11.3%9.9%
Skew 25d0.6%-0.0%0.9%0.3%0.4%
Skew 10d1.3%-0.0%4.1%0.5%0.9%
Call IV 25d9.7%8.6%10.7%10.2%10.1%
Put IV 25d10.3%9.2%11.5%10.5%10.5%
Bid-Ask Spread %4.552.7912.736.164.27
Gamma HHI0.110.080.140.090.14
Net GEX-5.2M-31.5M35.8M35.8M-25.8M
Net DEX16.5M-362.5M335.5M-362.5M335.5M
Net VEX-2.8M-3.3M-2.3M-3.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.278.452.672.81
Total Volume9,266.30476633,99418,39716,153
Total OI371,471.261356,512392,515356,512375,199

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$105.61$104.0010.3%3.1%9.2%60.2%11.3%0.3%-0.4%35.8M-362.5M-3.2M2.676.165,01813,379148,504208,008
2022-08-02$104.15$104.0010.2%3.2%10.5%60.0%11.3%-0.0%-0.1%15.9M-175.1M-3.2M2.266.075,06111,430149,022210,842
2022-08-03$104.49$104.0010.2%3.1%10.0%59.4%11.3%0.7%-0.3%18.2M-188.5M-3.3M2.166.525,17911,211149,735212,521
2022-08-04$104.94$104.0010.2%2.9%9.7%60.2%10.2%0.4%-0.3%25.3M-269.1M-3.2M2.273.955,32612,088150,095212,508
2022-08-05$103.67$104.0010.0%2.9%10.5%57.5%10.4%0.7%-0.3%9.7M-89.7M-3.0M2.363.474,91011,589150,109213,719
2022-08-08$104.18$103.009.9%2.8%10.4%56.3%10.1%0.7%-0.1%13.1M-165.0M-2.9M2.063.6311,09622,898149,210212,664
2022-08-09$103.92$103.009.9%2.8%10.4%55.9%9.8%0.9%0.1%11.4M-124.5M-3.0M1.463.581,2511,832152,152216,647
2022-08-10$104.03$103.009.4%2.7%10.4%49.7%9.7%0.6%0.3%5.0M-102.8M-2.9M1.743.029031,575152,822230,197
2022-08-11$103.30$103.009.3%2.8%10.6%48.2%9.6%0.8%0.5%-12.0M4.3M-2.8M1.283.36682873152,495225,335
2022-08-12$103.59$103.008.8%2.6%10.7%43.4%9.0%0.6%0.2%-19.6M-29.3M-2.7M1.063.494,4944,764152,568225,284
2022-08-15$103.97$103.009.2%2.6%10.7%47.6%9.2%0.5%-0.1%10.1M-113.0M-2.6M1.063.485,9106,268151,826224,072
2022-08-16$103.83$104.009.2%2.7%10.5%47.9%9.4%0.6%0.1%5.7M-72.4M-2.7M1.033.20378388154,153227,886
2022-08-17$103.22$104.009.4%2.7%10.7%50.7%9.8%0.8%0.1%-13.2M23.3M-2.8M1.134.121,4571,645154,373228,024
2022-08-18$103.38$104.009.9%2.8%10.1%56.2%9.8%0.6%-0.2%-7.9M-7.3M-2.8M1.282.795,1846,622154,857227,279
2022-08-19$102.51$104.0010.2%2.9%9.6%59.2%10.0%0.7%0.1%-15.5M139.5M-2.6M0.503.056,1083,039159,917232,598
2022-08-22$102.06$104.0011.0%3.1%9.6%69.0%11.0%0.8%-0.1%-22.0M180.6M-2.8M1.224.061,3371,632148,919216,012
2022-08-23$101.87$104.0010.3%2.9%9.6%61.1%10.3%0.8%0.2%-20.4M182.8M-2.6M4.2512.737002,975149,909216,638
2022-08-24$101.38$104.0010.5%3.0%9.6%63.7%10.4%0.7%0.0%-24.7M268.0M-2.5M0.864.741,5401,331150,136217,018
2022-08-25$101.99$104.0010.1%2.9%9.2%58.9%10.4%0.7%0.0%-23.9M187.2M-2.5M2.424.414521,092151,258216,859
2022-08-26$101.94$104.009.6%2.7%9.2%52.3%9.5%0.5%-0.0%-28.5M201.2M-2.4M8.455.133933,321151,531216,917
2022-08-29$101.33$104.0010.2%2.9%9.0%59.1%10.0%0.4%0.1%-31.5M284.0M-2.4M0.274.226,0181,623150,571218,564
2022-08-30$101.37$103.0010.2%2.8%7.9%59.2%9.8%0.5%0.0%-24.7M271.6M-2.3M0.325.161,513487156,277218,609
2022-08-31$100.97$103.0010.3%2.9%7.8%60.3%9.9%0.4%0.2%-25.8M335.5M-2.3M2.814.274,23811,915156,747218,452