IEF Options History — November 2022

In November 2022, IEF traded between $93.18 and $97.35. ATM implied volatility averaged 11.1%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.7% (HV 20d: 10.4%). Max pain ranged from $96.00 to $100.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2022-11-10: Highest Volume — 35,117 contracts
  • 2022-11-14: Largest IV spike — 13.3% change
  • 2022-11-01: Highest IV Rank — 79.0%
  • 2022-11-01: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.62$93.18$97.35$94.14$97.35
Max Pain$97.86$96.00$100.00$96.00$97.00
ATM IV11.1%9.3%12.6%12.6%10.6%
Expected Move3.3%2.8%3.8%3.8%3.4%
HV 20d10.4%8.2%12.1%9.2%10.7%
HV 60d10.9%10.0%11.5%10.1%11.1%
IV Rank60.2%37.6%79.0%79.0%54.1%
IV Percentile72.4%37.3%87.7%87.7%63.9%
Term Structure-0.1%-0.5%0.6%-0.3%-0.5%
VWIV12.0%9.9%13.5%13.4%11.4%
Skew 25d0.7%0.2%1.1%1.1%0.5%
Skew 10d1.4%0.6%2.4%2.1%1.0%
Call IV 25d10.8%8.9%12.1%12.1%10.5%
Put IV 25d11.5%10.0%13.2%13.2%11.0%
Bid-Ask Spread %7.892.8318.055.3510.83
Gamma HHI0.140.080.190.090.19
Net GEX19.3M-25.8M57.7M-11.0M37.2M
Net DEX-32.1M-251.3M191.8M159.7M-146.6M
Net VEX-1.8M-2.0M-1.5M-2.0M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.354.950.802.26
Total Volume17,754.2381,21335,11719,5884,693
Total OI368,733.905342,636399,341342,636366,121

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$94.14$96.0012.6%3.8%9.2%79.0%13.4%1.1%-0.3%-11.0M159.7M-2.0M0.805.3510,8558,733143,977198,659
2022-11-02$94.03$96.0012.1%3.7%8.5%72.8%12.6%1.1%-0.3%-12.5M158.2M-1.9M0.997.0313,65913,494147,872200,128
2022-11-03$93.64$100.0011.8%3.5%8.4%69.1%13.5%0.9%-0.3%-19.5M177.0M-1.8M0.9313.597,2486,739150,776202,816
2022-11-04$93.56$100.0010.7%3.2%8.3%56.2%11.9%0.9%-0.3%-25.8M174.2M-1.8M0.9210.017,8647,259151,239201,748
2022-11-07$93.18$100.0010.8%3.2%8.2%55.5%13.5%0.9%0.6%-24.9M191.8M-1.7M0.4910.8313,7726,760151,095200,879
2022-11-08$93.73$100.0010.6%3.2%8.5%53.2%12.6%0.6%0.5%-12.7M126.8M-1.8M0.8211.767,5196,187158,791200,766
2022-11-09$93.90$100.0010.2%3.1%8.5%49.0%12.1%1.0%0.3%-10.0M97.5M-1.6M0.9616.8415,82415,168160,634200,682
2022-11-10$96.12$100.009.6%2.9%12.0%41.8%9.9%0.9%0.5%44.7M-131.0M-1.7M0.3515.8926,1039,014169,232208,988
2022-11-11$95.93$98.009.3%2.8%11.8%37.6%9.9%1.0%0.6%43.1M-105.5M-1.7M0.7218.0514,89510,753173,398207,895
2022-11-14$95.67$98.0010.5%3.1%11.9%52.8%11.0%0.7%0.4%36.7M-76.7M-1.7M1.343.4714,05418,820174,266208,594
2022-11-15$96.35$97.0011.3%3.3%12.1%61.7%11.7%0.2%0.2%49.7M-153.1M-1.9M1.593.897,67312,211178,341214,790
2022-11-16$97.17$97.0011.6%3.3%11.6%65.9%11.7%0.5%-0.4%56.9M-251.3M-1.9M1.423.348,24411,745178,638214,847
2022-11-17$96.48$97.0011.8%3.4%11.5%68.2%12.1%0.7%-0.5%57.7M-159.7M-1.8M2.832.836,09617,277179,030215,790
2022-11-18$96.12$97.0011.5%3.3%11.7%64.9%11.6%0.3%-0.1%25.2M-100.5M-1.9M1.763.717,13312,574179,166220,175
2022-11-21$96.12$97.0011.6%3.4%11.6%65.4%11.9%0.4%-0.3%22.2M-58.7M-1.7M1.204.326,6337,963157,066201,193
2022-11-22$96.60$97.0011.7%3.4%11.1%66.7%12.1%0.6%-0.5%26.5M-94.5M-1.8M1.415.305,2227,364158,815203,289
2022-11-23$97.05$97.0011.7%3.5%11.1%66.8%12.1%0.4%-0.5%30.1M-126.4M-1.8M1.955.164,8789,527159,423205,982
2022-11-25$96.94$97.0011.4%3.4%10.9%63.3%12.4%0.4%-0.4%29.8M-119.5M-1.7M2.214.95378835159,537206,981
2022-11-28$97.22$97.0011.2%3.5%10.8%60.5%12.1%0.3%-0.3%32.6M-141.0M-1.7M1.934.561,8623,585159,289206,972
2022-11-29$96.81$97.0011.0%3.5%10.7%58.8%12.3%0.5%-0.0%28.2M-95.0M-1.6M4.953.973741,852158,381207,151
2022-11-30$97.35$97.0010.6%3.4%10.7%54.1%11.4%0.5%-0.5%37.2M-146.6M-1.5M2.2610.831,4393,254158,274207,847