IEF Options History — April 2023

In April 2023, IEF traded between $98.25 and $100.48. ATM implied volatility averaged 10.1%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.4% (HV 20d: 10.5%). Max pain ranged from $98.00 to $100.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 3.55.

Notable Days

2023-04-12: Highest Volume — 54,662 contracts
2023-04-25: Largest IV spike — 11.9% change
2023-04-04: Highest IV Rank — 24.4%
2023-04-04: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$99.31	$98.25	$100.48	$99.38	$99.66
Max Pain	$98.68	$98.00	$100.00	$100.00	$99.00
ATM IV	10.1%	9.1%	11.2%	10.7%	10.0%
Expected Move	2.9%	2.6%	3.2%	3.1%	2.9%
HV 20d	10.5%	7.5%	13.7%	13.7%	8.5%
HV 60d	10.6%	10.3%	11.0%	11.0%	10.7%
IV Rank	15.4%	7.9%	24.4%	20.3%	14.9%
IV Percentile	34.1%	6.7%	69.0%	58.7%	31.3%
Term Structure	-0.1%	-0.8%	0.2%	-0.5%	0.0%
VWIV	10.2%	9.2%	11.2%	11.0%	10.2%
Skew 25d	-0.4%	-1.1%	0.3%	-0.7%	-0.4%
Skew 10d	-0.5%	-2.1%	0.9%	-1.4%	-1.0%
Call IV 25d	10.4%	9.3%	11.9%	11.4%	10.2%
Put IV 25d	10.0%	9.3%	10.9%	10.8%	9.7%
Bid-Ask Spread %	5.04	3.23	7.12	3.36	5.78
Gamma HHI	0.21	0.16	0.26	0.18	0.21
Net GEX	27.6M	-27.1M	79.1M	49.8M	4.1M
Net DEX	-69.6M	-283.7M	135.2M	-88.3M	-77.3M
Net VEX	-1.4M	-1.6M	-1.2M	-1.4M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.55	0.04	13.59	0.13	0.04
Total Volume	10,184.737	917	54,662	2,947	12,061
Total OI	209,857.263	164,105	248,533	200,907	199,573

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-04-03	$99.38	$100.00	10.7%	3.1%	13.7%	20.3%	11.0%	-0.7%	-0.5%	49.8M	-88.3M	-1.4M	0.13	3.36	2,618	329	104,269	96,638
2023-04-04	$100.06	$100.00	11.2%	3.2%	13.7%	24.4%	11.2%	-1.1%	-0.8%	62.5M	-200.9M	-1.5M	0.78	3.23	1,936	1,501	104,403	93,133
2023-04-05	$100.44	$100.00	10.8%	3.1%	13.7%	21.1%	10.8%	-0.7%	-0.1%	69.6M	-238.6M	-1.4M	0.26	5.07	2,564	663	104,190	93,462
2023-04-06	$100.48	$98.00	11.0%	3.0%	13.7%	22.6%	10.9%	-0.8%	0.2%	79.1M	-283.7M	-1.6M	4.45	5.64	1,501	6,686	113,098	93,881
2023-04-10	$99.53	$98.00	10.3%	2.9%	13.0%	17.6%	10.5%	-0.5%	0.1%	64.7M	-143.5M	-1.4M	1.34	4.52	1,077	1,446	113,393	96,996
2023-04-11	$99.44	$99.00	9.9%	2.8%	12.4%	14.2%	10.1%	-0.4%	0.1%	61.0M	-127.5M	-1.3M	8.34	5.31	264	2,201	114,072	97,130
2023-04-12	$99.68	$99.00	9.8%	2.8%	12.0%	13.3%	10.2%	-0.6%	-0.1%	76.1M	-155.0M	-1.3M	1.44	4.77	22,427	32,235	114,131	98,149
2023-04-13	$99.38	$99.00	9.3%	2.7%	11.3%	9.5%	9.6%	-0.5%	-0.0%	60.3M	-104.1M	-1.3M	1.00	3.96	4,816	4,810	116,590	100,390
2023-04-14	$98.88	$99.00	9.1%	2.6%	10.9%	7.9%	9.2%	0.0%	0.1%	30.4M	-24.6M	-1.2M	0.70	4.93	7,831	5,496	117,941	102,632
2023-04-17	$98.34	$98.00	9.4%	2.7%	9.8%	10.1%	9.6%	-0.0%	0.0%	-2.5M	55.8M	-1.2M	5.27	3.90	1,585	8,346	120,648	105,268
2023-04-18	$98.47	$98.00	9.9%	2.8%	9.6%	13.9%	9.8%	-0.1%	-0.2%	-6.4M	67.8M	-1.3M	13.59	4.37	762	10,354	121,673	113,174
2023-04-19	$98.25	$98.00	10.1%	2.9%	9.0%	15.4%	10.1%	0.2%	-0.3%	-27.1M	135.2M	-1.4M	1.52	3.90	2,407	3,650	122,111	122,838
2023-04-20	$98.75	$98.00	9.7%	2.8%	8.4%	12.7%	9.8%	0.2%	-0.3%	-24.4M	65.9M	-1.4M	0.65	6.40	556	361	121,941	126,338
2023-04-21	$98.56	$98.00	9.5%	2.7%	7.7%	10.9%	9.6%	0.3%	-0.2%	-833.5K	112.5M	-1.4M	8.08	4.88	717	5,795	122,000	126,533
2023-04-24	$99.02	$98.00	9.6%	2.8%	7.9%	12.0%	9.7%	-0.2%	0.1%	3.1M	-51.2M	-1.4M	7.58	7.12	723	5,481	76,705	87,400
2023-04-25	$100.06	$98.00	10.8%	3.2%	7.5%	20.9%	11.1%	-0.6%	-0.0%	20.5M	-146.9M	-1.5M	0.95	7.09	10,465	9,903	77,109	92,921
2023-04-26	$99.62	$99.00	10.2%	3.0%	7.7%	16.2%	10.9%	-0.9%	-0.0%	11.9M	-113.7M	-1.6M	0.75	5.72	2,907	2,183	85,170	100,933
2023-04-27	$98.90	$99.00	10.0%	3.0%	8.1%	15.1%	10.1%	-0.6%	0.0%	-7.0M	-4.5M	-1.6M	10.57	5.85	1,284	13,569	87,499	102,956
2023-04-28	$99.66	$99.00	10.0%	2.9%	8.5%	14.9%	10.2%	-0.4%	0.0%	4.1M	-77.3M	-1.6M	0.04	5.78	11,592	469	88,206	111,367