IEF Options History — September 2022

In September 2022, IEF traded between $94.62 and $100.58. ATM implied volatility averaged 11.5%, placing in the 73.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.7% (HV 20d: 8.8%). Max pain ranged from $100.00 to $103.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 28.35.

Notable Days

  • 2022-09-15: Highest Volume — 181,700 contracts
  • 2022-09-26: Largest IV spike — 12.3% change
  • 2022-09-26: Highest IV Rank — 100.0%
  • 2022-09-27: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.12$94.62$100.58$100.02$95.87
Max Pain$102.00$100.00$103.00$103.00$100.00
ATM IV11.5%10.2%14.0%10.5%13.2%
Expected Move3.3%2.8%4.0%3.0%3.8%
HV 20d8.8%7.3%13.1%7.9%12.8%
HV 60d10.0%9.2%11.0%10.7%10.5%
IV Rank73.7%59.2%100.0%62.8%90.1%
IV Percentile87.5%67.5%100.0%79.8%98.4%
Term Structure-0.0%-0.4%0.3%0.1%0.3%
VWIV11.7%10.1%15.6%10.3%14.7%
Skew 25d0.8%0.4%1.7%0.9%0.9%
Skew 10d1.2%0.2%3.4%1.2%1.2%
Call IV 25d11.2%10.0%13.4%10.1%13.0%
Put IV 25d12.0%10.5%15.1%11.0%13.9%
Bid-Ask Spread %5.023.457.273.565.33
Gamma HHI0.110.080.130.130.09
Net GEX-14.6M-29.1M2.6M-29.1M2.6M
Net DEX404.6M265.7M536.8M449.9M343.6M
Net VEX-2.0M-2.5M-1.6M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio28.350.02561.540.570.28
Total Volume26,604.4293,021181,70011,95530,639
Total OI387,561.286339,028469,840376,013407,114

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$100.02$103.0010.5%3.0%7.9%62.8%10.3%0.9%0.1%-29.1M449.9M-2.2M0.573.567,6384,317156,806219,207
2022-09-02$100.58$103.0010.2%2.8%7.5%59.2%10.1%0.4%0.1%-22.7M302.3M-2.3M0.293.5414,5374,246162,379214,647
2022-09-06$99.43$102.0011.3%3.2%7.9%72.4%10.9%0.9%-0.2%-13.9M436.9M-2.0M0.997.2515,10614,901177,610214,022
2022-09-07$100.03$102.0010.9%3.1%8.4%68.4%10.6%0.5%-0.0%-5.1M349.5M-2.2M1.594.578,15112,985185,995213,572
2022-09-08$99.83$102.0010.8%3.1%8.3%66.5%10.5%0.7%-0.0%-10.1M395.7M-2.1M0.025.4217,998324183,453213,354
2022-09-09$99.67$102.0010.5%3.0%8.1%62.9%10.5%0.4%-0.0%-3.3M423.8M-2.2M0.725.511,7521,269196,663213,085
2022-09-12$99.42$102.0010.5%3.1%7.9%63.1%10.6%0.4%0.2%908.7K446.0M-1.8M0.794.235,2604,180197,555211,564
2022-09-13$98.88$102.0010.7%3.1%7.7%65.2%10.6%0.6%0.1%-1.5M517.2M-1.8M0.733.4518,51513,470200,257213,198
2022-09-14$98.92$102.0010.2%3.0%7.8%59.2%10.2%0.4%0.1%-3.4M512.0M-1.8M0.394.752,9271,149206,790214,969
2022-09-15$98.65$102.0010.4%3.0%7.7%62.0%10.7%0.5%0.1%-20.7M536.8M-1.9M561.544.21323181,377209,111214,857
2022-09-16$98.71$102.0010.7%3.0%7.6%65.4%10.8%0.6%-0.1%-24.4M536.1M-2.1M1.174.5010,76312,634209,230260,610
2022-09-19$98.40$102.0011.2%3.2%7.3%72.0%11.4%0.7%-0.2%-18.8M265.7M-1.9M18.504.5178214,465144,746194,282
2022-09-20$97.74$102.0011.3%3.2%7.4%73.4%11.0%1.0%-0.3%-22.2M308.2M-1.8M0.274.972,432653145,053208,398
2022-09-21$98.06$102.0010.9%3.1%7.7%68.0%11.2%0.4%-0.3%-20.6M280.1M-1.8M0.887.273,2512,846146,966208,697
2022-09-22$96.70$102.0011.5%3.3%8.7%75.1%11.3%0.9%-0.2%-23.5M382.8M-1.6M0.465.063,1301,440148,359208,993
2022-09-23$96.80$102.0012.1%3.5%8.3%81.7%12.2%0.6%-0.4%-21.1M358.6M-1.7M1.805.262,9665,331151,205208,892
2022-09-26$95.19$102.0013.6%3.9%9.6%100.0%15.4%1.1%-0.0%-21.7M454.4M-2.1M2.395.2310,02023,935151,537208,621
2022-09-27$94.62$102.0014.0%4.0%9.6%100.0%15.6%1.7%0.0%-21.0M474.9M-2.1M0.995.0023,05422,776154,380207,736
2022-09-28$96.69$102.0013.1%3.8%13.1%89.9%13.4%1.7%0.2%-16.8M364.3M-2.5M0.595.5714,7938,689163,733210,560
2022-09-29$96.29$102.0013.1%3.8%13.1%89.8%13.8%0.9%0.2%-11.3M356.9M-2.3M0.386.3424,3399,330167,457213,124
2022-09-30$95.87$100.0013.2%3.8%12.8%90.1%14.7%0.9%0.3%2.6M343.6M-2.4M0.285.3324,0126,627191,808215,306