IEF Options History — January 2023

In January 2023, IEF traded between $96.45 and $100.02. ATM implied volatility averaged 9.6%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.0% (HV 20d: 9.6%). Max pain ranged from $96.00 to $99.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.60.

Notable Days

  • 2023-01-19: Highest Volume — 34,736 contracts
  • 2023-01-06: Largest IV drop — 7.5% change
  • 2023-01-03: Highest IV Rank — 52.3%
  • 2023-01-03: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.71$96.45$100.02$96.45$98.94
Max Pain$98.25$96.00$99.00$96.00$99.00
ATM IV9.6%8.4%10.5%10.5%8.4%
Expected Move2.8%2.6%3.1%3.1%2.7%
HV 20d9.6%8.8%10.7%8.8%9.5%
HV 60d10.0%9.7%10.3%9.7%9.9%
IV Rank40.3%22.3%52.3%52.3%22.3%
IV Percentile27.8%6.0%54.4%54.4%6.0%
Term Structure-0.2%-0.4%0.2%-0.3%-0.1%
VWIV9.9%9.2%11.1%11.1%9.4%
Skew 25d0.4%-0.1%0.9%0.9%0.3%
Skew 10d0.8%-0.0%1.5%1.5%0.5%
Call IV 25d9.4%8.3%10.1%10.1%8.3%
Put IV 25d9.8%8.5%11.1%11.1%8.5%
Bid-Ask Spread %11.744.6917.6210.245.94
Gamma HHI0.220.110.370.130.32
Net GEX22.8M-11.1M76.1M-11.1M146.0K
Net DEX-246.8M-471.5M-51.4M-51.4M-182.8M
Net VEX-1.4M-1.6M-1.2M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.1118.654.814.33
Total Volume8,858.3562734,7364,8094,406
Total OI262,017.25230,048309,931232,047277,106

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$96.45$96.0010.5%3.1%8.8%52.3%11.1%0.9%-0.3%-11.1M-51.4M-1.4M4.8110.248283,98177,319154,728
2023-01-04$97.25$96.0010.3%3.1%9.0%49.8%10.7%0.7%-0.3%3.6M-133.9M-1.3M4.5012.011,5366,91477,871152,177
2023-01-05$97.13$99.0010.3%2.9%8.8%49.3%11.0%0.6%-0.3%-810.0K-116.8M-1.3M1.5317.2527542278,959157,982
2023-01-06$98.38$99.009.5%2.7%9.5%39.7%9.7%0.5%-0.2%20.9M-239.7M-1.2M0.5015.913,2251,60778,975158,177
2023-01-09$98.59$99.009.8%2.8%9.4%43.2%9.7%0.3%-0.0%25.4M-261.4M-1.2M0.4416.1893141379,244158,645
2023-01-10$98.06$99.009.9%2.8%9.3%45.3%10.0%0.4%0.0%16.7M-213.8M-1.2M0.6117.0615,9309,68479,612158,736
2023-01-11$98.59$97.009.9%2.9%9.4%44.0%9.8%0.6%0.0%25.1M-273.1M-1.3M0.1117.6210,7061,19185,293167,768
2023-01-12$99.47$97.009.6%2.8%9.4%40.1%9.7%0.3%0.2%55.4M-406.6M-1.3M0.7215.081,14982295,599168,495
2023-01-13$98.94$98.009.6%2.8%9.5%40.0%9.7%0.7%0.2%50.3M-347.9M-1.4M0.3514.086,5662,32896,154168,839
2023-01-17$98.69$98.0010.2%2.9%9.6%47.2%10.3%0.5%-0.4%49.5M-326.5M-1.3M0.4116.6610,9394,52096,283170,807
2023-01-18$100.02$98.0010.0%2.9%10.7%45.4%10.1%0.1%-0.4%66.8M-471.5M-1.3M0.4316.556,3172,72899,299174,931
2023-01-19$99.81$99.009.7%2.8%10.3%40.9%10.2%0.1%-0.4%76.1M-439.0M-1.4M7.939.763,88930,847101,770177,630
2023-01-20$99.19$98.009.8%2.8%10.1%41.6%9.8%0.2%-0.3%49.1M-309.2M-1.6M0.4317.03931399101,989207,942
2023-01-23$98.88$98.009.7%2.9%10.2%40.8%9.9%0.5%-0.3%6.8M-195.6M-1.5M1.275.435,6847,23983,467176,196
2023-01-24$99.38$99.009.4%2.8%10.3%37.7%9.7%0.3%-0.3%13.9M-244.6M-1.5M3.715.052,0247,51485,449182,955
2023-01-25$99.47$99.009.2%2.8%10.1%35.3%9.7%0.1%-0.2%13.3M-226.1M-1.6M0.585.9081347486,816190,087
2023-01-26$99.19$99.009.0%2.8%9.6%32.8%9.6%0.2%-0.3%9.6M-186.0M-1.6M0.196.8873813787,328190,379
2023-01-27$99.00$99.008.7%2.6%9.6%28.5%9.2%-0.1%-0.3%-7.3M-169.0M-1.6M18.654.6993817,49588,066190,404
2023-01-30$98.73$99.008.9%2.8%9.6%30.5%9.7%0.4%-0.2%-7.2M-140.7M-1.5M0.545.4140622187,171189,697
2023-01-31$98.94$99.008.4%2.7%9.5%22.3%9.4%0.3%-0.1%146.0K-182.8M-1.4M4.335.948263,58087,289189,817