IEF Options History — October 2022

In October 2022, IEF traded between $92.89 and $97.29. ATM implied volatility averaged 13.3%, placing in the 89.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.8% (HV 20d: 12.5%). Max pain ranged from $96.00 to $102.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2022-10-05: Highest Volume — 46,855 contracts
  • 2022-10-10: Largest IV spike — 11.0% change
  • 2022-10-10: Highest IV Rank — 100.0%
  • 2022-10-21: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.77$92.89$97.29$96.87$94.22
Max Pain$97.71$96.00$102.00$100.00$96.00
ATM IV13.3%12.4%14.4%13.3%12.8%
Expected Move3.8%3.5%4.1%3.8%4.0%
HV 20d12.5%9.4%13.6%13.3%9.4%
HV 60d10.6%10.2%10.9%10.7%10.2%
IV Rank89.1%77.1%100.0%92.1%80.8%
IV Percentile95.5%88.1%100.0%98.4%90.1%
Term Structure-0.2%-0.7%0.3%-0.0%-0.2%
VWIV13.7%11.6%16.0%14.2%13.9%
Skew 25d1.1%0.5%1.7%0.7%1.1%
Skew 10d2.1%0.6%3.9%0.6%2.2%
Call IV 25d12.9%12.0%13.9%13.3%12.4%
Put IV 25d14.0%13.1%15.1%14.0%13.4%
Bid-Ask Spread %8.324.1067.604.526.41
Gamma HHI0.090.070.130.100.09
Net GEX-20.5M-46.8M16.6M13.5M-10.9M
Net DEX245.7M75.1M388.8M194.2M163.7M
Net VEX-2.2M-2.6M-2.0M-2.6M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.381.670.601.02
Total Volume24,754.23814,42346,85527,05414,423
Total OI368,931.429337,069393,043367,748342,615

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$96.87$100.0013.3%3.8%13.3%92.1%14.2%0.7%-0.0%13.5M194.2M-2.6M0.604.5216,95510,099157,177210,571
2022-10-04$97.29$100.0012.6%3.5%13.0%83.8%12.5%0.5%0.2%16.6M165.6M-2.3M0.385.1227,49110,317158,599214,746
2022-10-05$96.25$102.0013.0%3.6%13.1%88.4%11.9%0.6%0.1%-5.3M283.8M-2.3M1.504.6818,71628,139149,504211,927
2022-10-06$95.71$98.0013.0%3.8%13.2%88.3%14.4%0.7%0.3%-12.7M198.1M-2.2M1.336.1418,41524,550152,348212,700
2022-10-07$95.24$98.0012.7%3.7%13.2%84.6%13.8%1.2%0.3%-31.7M293.6M-2.3M0.7967.6015,03611,873153,892222,611
2022-10-10$94.72$98.0014.1%3.9%13.3%100.0%14.8%1.3%-0.5%-34.7M314.7M-2.1M0.884.1016,08614,165152,558221,648
2022-10-11$94.95$98.0014.1%3.9%13.3%100.0%13.9%1.3%-0.3%-28.8M267.8M-2.2M0.625.0713,8628,573156,187219,972
2022-10-12$95.14$98.0014.4%4.0%13.4%100.0%14.2%1.0%-0.3%-36.4M285.5M-2.5M0.475.5715,4397,236156,027223,721
2022-10-13$94.85$98.0013.9%3.9%13.4%94.8%13.6%1.2%-0.4%-46.3M320.9M-2.1M1.356.329,11712,264155,668224,287
2022-10-14$94.41$98.0014.0%3.9%13.4%96.2%14.4%1.4%-0.5%-25.5M334.4M-2.0M1.025.8818,53418,938156,255219,567
2022-10-17$94.39$97.0013.5%3.9%13.4%90.2%13.2%1.4%-0.7%-45.9M292.0M-2.3M1.674.8513,27422,120164,654228,167
2022-10-18$94.62$97.0012.4%3.5%13.4%77.1%11.6%1.3%-0.1%-46.8M270.1M-2.3M0.665.6210,2746,820165,057227,805
2022-10-19$93.62$97.0013.2%3.8%13.6%85.9%14.2%1.1%-0.4%-45.0M388.8M-2.4M1.184.897,5898,945165,365227,678
2022-10-20$92.89$97.0014.1%4.1%13.1%97.5%16.0%1.5%-0.4%-33.9M383.3M-2.5M0.854.969,1717,801165,688221,422
2022-10-21$93.19$97.0014.3%4.1%13.2%99.2%14.5%1.3%-0.5%-29.9M342.3M-2.3M0.954.739,3078,796167,717221,124
2022-10-24$93.05$97.0013.5%4.0%11.9%89.4%14.0%1.7%-0.2%-20.4M241.0M-2.2M0.565.5613,6977,703141,721195,348
2022-10-25$94.13$97.0012.9%3.8%12.6%83.4%13.6%1.3%-0.3%810.8K128.8M-2.1M0.585.809,7735,670148,693199,113
2022-10-26$94.61$97.0012.7%3.8%9.9%80.8%13.2%0.8%-0.2%-459.2K99.5M-2.1M0.514.5010,7105,501146,954198,314
2022-10-27$95.20$96.0012.8%3.8%10.1%82.3%13.4%0.8%0.0%369.4K75.1M-2.0M0.815.858,5106,935145,155198,678
2022-10-28$94.76$96.0012.5%3.8%10.1%77.2%13.2%0.8%-0.0%-6.6M115.7M-2.1M1.066.618,2698,746145,977200,350
2022-10-31$94.22$96.0012.8%4.0%9.4%80.8%13.9%1.1%-0.2%-10.9M163.7M-2.0M1.026.417,1537,270144,021198,594