IEF Options History — February 2023

In February 2023, IEF traded between $95.38 and $99.70. ATM implied volatility averaged 9.2%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.7% (HV 20d: 8.5%). Max pain ranged from $97.00 to $99.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 5.10.

Notable Days

  • 2023-02-17: Highest Volume — 78,052 contracts
  • 2023-02-21: Largest IV spike — 12.0% change
  • 2023-02-21: Highest IV Rank — 32.9%
  • 2023-02-28: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.94$95.38$99.70$99.68$95.75
Max Pain$97.11$97.00$99.00$99.00$97.00
ATM IV9.2%8.3%10.1%8.4%9.9%
Expected Move2.7%2.4%3.0%2.6%3.0%
HV 20d8.5%7.1%10.2%9.6%8.0%
HV 60d9.4%8.9%10.3%9.9%9.1%
IV Rank24.7%15.7%32.9%22.4%29.8%
IV Percentile17.4%4.8%38.1%6.0%32.5%
Term Structure-0.1%-0.5%0.5%0.1%-0.5%
VWIV9.3%8.4%10.3%8.7%10.3%
Skew 25d0.7%0.3%1.1%0.4%0.7%
Skew 10d1.3%0.3%2.1%0.6%1.4%
Call IV 25d8.8%8.2%9.5%8.2%9.3%
Put IV 25d9.5%8.5%10.4%8.6%10.0%
Bid-Ask Spread %5.973.3513.7213.724.41
Gamma HHI0.360.120.630.280.15
Net GEX-45.3M-119.5M43.7M33.1M-14.1M
Net DEX109.1M-320.6M359.5M-310.9M332.5M
Net VEX-1.3M-1.4M-1.2M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.100.0649.583.0413.23
Total Volume10,440.7371,18878,0524,8164,069
Total OI270,118.579215,145303,364277,874266,356

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$99.68$99.008.4%2.6%9.6%22.4%8.7%0.4%0.1%33.1M-310.9M-1.3M3.0413.721,1913,62587,877189,997
2023-02-02$99.70$97.008.3%2.4%9.3%21.2%8.4%0.4%-0.1%43.7M-320.6M-1.3M0.535.322,7751,48289,212191,818
2023-02-03$98.60$97.008.4%2.4%10.2%21.0%8.4%0.3%-0.1%-6.5M-145.8M-1.4M1.795.961,7173,06889,006193,006
2023-02-06$97.78$97.009.0%2.6%9.7%28.6%8.8%0.5%0.1%-45.3M-3.6M-1.4M0.418.041,54563488,489193,577
2023-02-07$97.53$97.008.8%2.5%9.7%25.3%9.1%0.5%-0.0%-57.6M32.9M-1.4M1.978.551,1832,32689,535193,723
2023-02-08$97.81$97.008.6%2.6%9.6%21.8%8.7%0.6%0.5%-54.1M-11.7M-1.4M0.215.581,08322989,970195,122
2023-02-09$97.44$97.008.8%2.6%9.4%25.0%9.0%0.6%0.3%-73.8M57.9M-1.4M1.603.561,8662,98790,426195,192
2023-02-10$96.93$97.009.2%2.6%8.8%28.7%9.3%0.6%0.1%-92.5M160.9M-1.4M3.683.688733,21290,282195,546
2023-02-13$97.16$97.009.7%2.8%8.8%30.2%9.7%0.8%-0.1%-92.7M123.4M-1.3M1.677.875,8879,84689,560195,615
2023-02-14$96.78$97.009.4%2.7%8.8%21.9%9.4%1.1%0.0%-115.8M178.9M-1.3M0.854.841,9781,68992,797194,201
2023-02-15$96.44$97.009.2%2.6%7.1%17.8%8.9%1.0%-0.0%-119.5M262.8M-1.2M10.233.486666,81594,068194,870
2023-02-16$96.13$97.009.2%2.6%7.1%19.1%9.0%1.1%0.1%-67.1M351.4M-1.3M1.413.35492696100,042202,669
2023-02-17$96.41$97.009.0%2.6%7.1%15.7%8.9%0.7%0.1%-115.6M310.4M-1.3M49.584.971,54376,509100,446202,918
2023-02-21$95.41$97.0010.1%2.9%7.7%32.9%10.0%0.9%-0.2%-16.9M180.7M-1.2M2.047.171,1102,26773,097142,048
2023-02-22$95.50$97.0010.0%2.9%7.4%30.4%9.9%0.9%-0.3%-18.3M179.1M-1.2M0.065.863,33321173,875143,721
2023-02-23$95.91$97.009.5%2.8%7.7%22.8%10.0%0.9%-0.3%-3.4M126.7M-1.2M3.346.415311,77276,947143,753
2023-02-24$95.38$97.009.7%2.8%7.8%25.7%10.0%0.9%-0.3%-23.4M208.5M-1.2M1.004.6820,71920,62177,454145,232
2023-02-27$95.57$97.009.9%3.0%7.9%29.8%9.8%0.6%-0.5%-20.4M359.5M-1.3M0.196.006,5781,24694,882164,924
2023-02-28$95.75$97.009.9%3.0%8.0%29.8%10.3%0.7%-0.5%-14.1M332.5M-1.3M13.234.412863,783100,859165,497