IEF Options History — March 2023

In March 2023, IEF traded between $94.34 and $99.90. ATM implied volatility averaged 12.3%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.9% (HV 20d: 11.5%). Max pain ranged from $97.00 to $103.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 2.77.

Notable Days

  • 2023-03-13: Highest Volume — 38,589 contracts
  • 2023-03-13: Largest IV spike — 57.7% change
  • 2023-03-13: Highest IV Rank — 100.0%
  • 2023-03-15: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.56$94.34$99.90$94.77$99.15
Max Pain$100.39$97.00$103.00$97.00$100.00
ATM IV12.3%9.8%20.9%10.1%10.6%
Expected Move3.4%2.9%4.3%3.1%3.0%
HV 20d11.5%7.5%14.6%8.4%13.7%
HV 60d10.1%8.8%11.2%9.0%11.0%
IV Rank41.6%19.5%100.0%32.3%19.5%
IV Percentile75.0%26.6%100.0%38.1%54.0%
Term Structure-0.5%-1.1%-0.0%-0.3%-0.4%
VWIV11.8%9.9%15.5%10.8%10.6%
Skew 25d-0.1%-1.5%1.1%0.8%-1.0%
Skew 10d-0.3%-3.0%2.0%1.1%-1.9%
Call IV 25d11.9%9.3%15.7%9.7%11.4%
Put IV 25d11.8%10.2%14.7%10.5%10.4%
Bid-Ask Spread %7.273.5618.014.255.07
Gamma HHI0.150.110.230.120.16
Net GEX20.3M-25.9M78.8M-19.9M44.4M
Net DEX-44.9M-594.1M424.6M424.6M-63.1M
Net VEX-1.4M-1.6M-1.1M-1.2M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.770.0417.661.081.92
Total Volume10,519.7831,02538,5892,1153,866
Total OI238,577.435159,208324,284264,781213,276

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$94.77$97.0010.1%3.1%8.4%32.3%10.8%0.8%-0.3%-19.9M424.6M-1.2M1.084.251,0161,099100,999163,782
2023-03-02$94.34$97.0010.3%3.1%7.7%35.1%11.0%1.0%-0.2%-19.9M280.8M-1.1M5.224.871,3777,189101,629141,683
2023-03-03$95.07$97.009.8%3.0%8.5%27.1%10.5%0.9%-0.0%-15.1M207.6M-1.2M6.193.565033,115101,873147,709
2023-03-06$94.97$103.0010.4%2.9%7.8%37.0%9.9%0.9%-0.3%-16.1M208.2M-1.1M4.245.517103,011101,614146,797
2023-03-07$95.06$103.0010.5%2.9%7.5%39.2%10.2%1.1%-0.3%-19.1M209.3M-1.1M6.585.484422,910101,606148,735
2023-03-08$95.00$103.0010.5%2.9%7.5%38.8%10.4%1.1%-0.3%-25.9M236.0M-1.1M3.105.28250775101,885151,307
2023-03-09$95.55$103.0013.6%3.0%7.8%88.2%10.7%1.1%-0.6%-16.4M159.5M-1.1M3.566.214591,636102,069151,557
2023-03-10$97.27$103.0013.3%3.1%10.2%82.2%10.9%0.1%-0.1%24.1M-133.5M-1.2M0.277.9217,9344,764102,301152,133
2023-03-13$98.48$103.0020.9%4.2%10.9%100.0%14.8%-0.3%-0.9%39.0M-322.3M-1.3M1.4214.7115,91422,675111,401160,277
2023-03-14$97.75$100.0014.0%3.7%11.3%46.3%12.8%0.3%-0.6%43.1M-251.0M-1.5M0.398.564,0221,563130,431166,605
2023-03-15$98.97$100.0014.9%4.3%11.9%53.4%15.5%-1.5%-1.1%58.2M-465.1M-1.6M0.0418.0125,5221,020133,745166,840
2023-03-16$98.09$100.0012.1%3.5%12.4%31.0%12.3%0.1%-0.4%78.8M-354.5M-1.5M0.827.915,5924,610139,739167,247
2023-03-17$99.50$100.0013.8%4.0%13.1%44.8%13.9%-0.1%-0.8%38.9M-594.1M-1.6M1.419.983,3934,786144,755179,529
2023-03-20$98.88$100.0013.3%3.8%13.4%40.8%13.3%-0.8%-0.8%31.0M-126.9M-1.5M17.667.851,01017,83284,78274,426
2023-03-21$97.94$100.0011.7%3.4%13.3%28.1%11.8%-0.2%-0.5%12.9M-11.2M-1.5M0.396.498,7133,36885,50489,515
2023-03-22$98.94$100.0011.4%3.3%13.7%26.1%11.7%-0.6%-0.3%39.6M-138.3M-1.5M0.917.3711,48210,45991,89189,561
2023-03-23$99.82$100.0012.4%3.6%13.9%34.0%12.0%-1.4%-0.6%46.8M-166.0M-1.6M2.016.412,0964,217100,86598,490
2023-03-24$99.90$100.0013.2%3.8%13.6%40.0%13.0%-0.5%-0.7%41.1M-159.0M-1.6M0.698.6410,3647,16299,824104,282
2023-03-27$98.68$100.0011.9%3.4%14.6%29.7%11.9%-0.7%-0.5%24.2M-4.2M-1.6M0.046.834,196186101,816103,215
2023-03-28$98.65$100.0011.6%3.3%14.6%27.3%11.8%-1.1%-0.2%28.0M-3.1M-1.6M5.576.111,98211,031105,250103,279
2023-03-29$98.38$100.0011.0%3.2%14.0%22.7%11.3%-0.7%-0.4%20.1M36.6M-1.6M0.084.912,508204105,153108,906
2023-03-30$98.63$100.0012.4%3.0%13.8%34.1%10.7%-0.6%-0.1%28.1M-2.1M-1.5M0.125.364,441551105,374103,624
2023-03-31$99.15$100.0010.6%3.0%13.7%19.5%10.6%-1.0%-0.4%44.4M-63.1M-1.6M1.925.071,3242,542109,510103,766