IEF Options History — December 2022

In December 2022, IEF traded between $95.75 and $99.09. ATM implied volatility averaged 10.4%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.7% (HV 20d: 9.8%). Max pain ranged from $96.00 to $100.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2022-12-12: Highest Volume — 24,190 contracts
  • 2022-12-27: Largest IV spike — 8.5% change
  • 2022-12-12: Highest IV Rank — 64.8%
  • 2022-12-01: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.67$95.75$99.09$98.40$95.84
Max Pain$98.62$96.00$100.00$97.00$96.00
ATM IV10.4%9.6%11.5%10.8%10.0%
Expected Move3.0%2.7%3.5%3.5%2.8%
HV 20d9.8%8.4%11.7%11.1%8.4%
HV 60d11.0%9.6%11.8%11.3%9.6%
IV Rank51.4%41.2%64.8%56.6%46.5%
IV Percentile52.9%31.3%78.6%69.4%36.9%
Term Structure0.0%-0.3%0.5%-0.2%0.4%
VWIV10.5%9.5%12.4%12.4%9.9%
Skew 25d0.3%-0.3%0.8%-0.0%0.6%
Skew 10d0.6%-0.4%1.3%0.3%0.9%
Call IV 25d10.4%9.4%11.7%10.9%9.6%
Put IV 25d10.7%9.8%11.8%10.8%10.2%
Bid-Ask Spread %14.086.4151.4651.4618.57
Gamma HHI0.160.120.220.190.13
Net GEX24.4M-14.4M54.7M45.3M-14.4M
Net DEX-171.4M-318.4M-8.9M-255.7M-8.9M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.106.881.530.10
Total Volume6,691.52471024,1903,64217,589
Total OI314,616.048217,410399,144364,718237,193

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$98.40$97.0010.8%3.5%11.1%56.6%12.4%-0.0%-0.2%45.3M-255.7M-1.6M1.5351.461,4412,201157,382207,336
2022-12-02$98.50$97.0010.1%3.2%10.9%47.0%11.4%0.3%-0.1%51.7M-268.9M-1.5M3.9722.489243,667157,700208,514
2022-12-05$97.73$100.0010.7%3.0%11.4%54.6%10.8%0.3%0.0%42.5M-179.0M-1.5M0.5414.981,174639157,799210,660
2022-12-06$98.25$100.0011.0%3.1%11.2%58.6%11.1%-0.1%0.1%45.0M-240.5M-1.6M1.7015.181,1311,919157,939210,821
2022-12-07$99.09$100.0011.3%3.2%11.4%62.7%11.3%-0.3%0.2%45.4M-318.4M-1.7M0.1812.768,3091,520158,644211,700
2022-12-08$98.60$100.0011.1%3.2%11.7%60.3%11.2%0.4%0.3%50.9M-279.0M-1.6M2.3014.072,9026,664161,294212,503
2022-12-09$97.97$100.0011.1%3.1%9.1%59.2%11.1%-0.2%0.2%45.7M-204.1M-1.6M0.2116.216,2161,306163,085219,077
2022-12-12$97.69$100.0011.5%3.2%9.2%64.8%11.3%0.2%-0.3%43.0M-170.0M-1.7M1.0113.5912,02912,161164,244219,060
2022-12-13$98.55$99.0011.1%3.1%9.5%60.1%10.9%0.6%-0.2%47.2M-261.6M-1.7M0.5214.094,4412,306167,596229,429
2022-12-14$98.93$99.0010.2%2.9%9.3%49.2%10.1%0.3%-0.2%54.7M-297.6M-1.6M2.9025.632,1346,189167,421231,723
2022-12-15$98.82$99.009.8%2.7%8.9%43.1%9.7%0.5%-0.3%29.0M-191.4M-1.6M5.807.119675,607155,933234,637
2022-12-16$98.63$99.009.6%2.7%8.5%41.2%9.5%0.4%-0.3%6.0M-174.2M-1.6M1.197.441,2711,510156,218234,720
2022-12-19$97.88$99.009.6%2.7%8.9%41.3%9.5%0.4%0.1%15.2M-173.4M-1.6M1.047.6482486174,779142,674
2022-12-20$97.13$99.0010.0%2.9%9.4%46.5%10.4%0.6%-0.1%9.4M-118.9M-1.6M5.266.847073,72175,328142,082
2022-12-21$97.20$99.0010.0%2.9%9.2%45.5%10.2%0.5%0.1%5.9M-114.6M-1.6M0.876.466,3095,48875,610145,243
2022-12-22$97.23$98.009.9%2.8%9.1%44.5%9.8%0.4%0.0%6.6M-151.9M-1.7M1.306.5966286081,244149,529
2022-12-23$96.73$98.009.7%2.8%9.3%42.8%9.7%0.4%-0.0%2.6M-103.1M-1.7M0.7911.2449839381,195149,483
2022-12-27$95.97$98.0010.5%3.0%9.6%52.9%10.4%0.8%0.3%-3.1M-34.3M-1.6M0.626.4168042480,894149,368
2022-12-28$95.75$98.0010.6%3.0%9.5%53.4%10.4%0.8%0.3%-5.6M-14.8M-1.6M6.8810.011,54410,62481,256149,139
2022-12-29$96.13$96.0010.3%3.0%9.4%49.4%10.2%0.4%0.5%-10.0M-38.2M-1.6M0.466.9148522582,503153,982
2022-12-30$95.84$96.0010.0%2.8%8.4%46.5%9.9%0.6%0.4%-14.4M-8.9M-1.6M0.1018.5716,0091,58083,245153,948