IEF Options History — May 2023

In May 2023, IEF traded between $96.72 and $100.30. ATM implied volatility averaged 10.2%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.0% (HV 20d: 10.2%). Max pain ranged from $98.00 to $99.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.83.

Notable Days

  • 2023-05-30: Highest Volume — 31,848 contracts
  • 2023-05-25: Largest IV spike — 9.2% change
  • 2023-05-25: Highest IV Rank — 25.4%
  • 2023-05-25: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.60$96.72$100.30$98.31$98.13
Max Pain$98.36$98.00$99.00$99.00$98.00
ATM IV10.2%9.4%11.3%10.1%10.1%
Expected Move3.0%2.7%3.4%3.0%3.1%
HV 20d10.2%7.3%10.9%9.7%7.3%
HV 60d11.1%10.9%11.2%11.1%10.9%
IV Rank16.8%10.3%25.4%15.4%15.6%
IV Percentile40.8%13.5%71.8%34.5%35.3%
Term Structure-0.1%-0.4%0.6%-0.3%-0.1%
VWIV10.8%9.8%11.9%10.6%11.1%
Skew 25d-0.2%-0.7%0.3%-0.1%0.3%
Skew 10d-0.6%-1.6%0.8%-0.2%0.3%
Call IV 25d10.7%10.0%11.9%10.3%10.3%
Put IV 25d10.4%9.6%11.8%10.2%10.5%
Bid-Ask Spread %6.934.0121.845.245.10
Gamma HHI0.210.130.400.260.13
Net GEX-24.9M-160.0M46.1M-23.2M-6.1M
Net DEX55.4M-240.3M331.0M63.0M109.8M
Net VEX-1.5M-1.6M-1.3M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.0820.580.081.21
Total Volume14,510.8641,26931,8488,07812,602
Total OI228,943.818174,532267,251215,525235,136

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$98.31$99.0010.1%3.0%9.7%15.4%10.6%-0.1%-0.3%-23.2M63.0M-1.6M0.085.247,49558399,728115,797
2023-05-02$99.63$99.0010.8%3.2%10.8%21.3%11.2%-0.3%-0.3%22.4M-173.6M-1.6M2.715.622,3676,41799,966115,427
2023-05-03$100.10$99.0010.9%3.2%10.7%21.9%11.4%-0.1%-0.4%30.2M-240.3M-1.6M0.296.845,3011,55399,977120,524
2023-05-04$100.30$98.0011.1%3.2%10.6%23.7%11.3%-0.2%-0.3%24.2M-231.1M-1.6M0.936.037,0486,55096,843121,038
2023-05-05$99.66$98.0010.2%3.0%10.8%16.5%10.7%-0.1%-0.2%7.4M-107.5M-1.6M0.424.825,9742,497101,154126,117
2023-05-08$99.07$98.0010.1%3.0%10.5%15.9%10.6%-0.2%0.4%-13.1M-3.2M-1.5M0.575.2815,0948,666103,916127,090
2023-05-09$99.00$98.0010.1%3.0%10.5%15.9%10.7%-0.4%0.5%-19.1M5.9M-1.5M0.954.0114,84614,138107,415125,961
2023-05-10$99.60$98.009.9%3.0%10.7%14.5%10.6%-0.3%0.5%23.1M-92.5M-1.6M0.957.6410,63410,064115,090133,048
2023-05-11$100.03$98.0010.3%3.1%10.8%17.3%11.1%-0.3%0.6%46.1M-202.7M-1.6M0.7221.8410,1527,320117,198135,935
2023-05-12$99.47$98.009.7%2.9%10.8%12.2%10.2%-0.3%0.6%12.7M-73.1M-1.6M3.0910.004,19712,962119,652139,531
2023-05-15$99.20$98.009.8%2.8%10.6%13.3%10.2%-0.3%-0.1%-43.3M101.0M-1.5M11.2212.171,45816,355117,874149,213
2023-05-16$98.90$99.0010.1%2.9%10.7%15.4%10.5%-0.7%-0.2%-67.0M90.2M-1.6M6.978.931,62211,312118,199149,052
2023-05-17$98.59$99.009.8%2.8%10.7%13.0%9.8%-0.7%-0.3%-81.1M155.6M-1.4M2.566.774,94112,645118,084139,927
2023-05-18$98.03$99.009.4%2.7%10.8%10.3%10.1%-0.3%-0.2%-160.0M228.3M-1.4M0.234.1913,2503,033118,204132,779
2023-05-19$97.60$99.009.7%2.8%10.9%12.8%10.1%-0.7%-0.4%-45.5M331.0M-1.3M1.164.601,5771,824119,924132,647
2023-05-22$97.47$99.0010.0%2.9%10.7%15.2%10.3%-0.1%-0.2%-43.2M181.7M-1.3M0.615.268,9185,40068,243106,289
2023-05-23$97.60$98.0010.0%3.0%9.9%15.0%10.8%-0.5%-0.0%-45.4M167.7M-1.4M0.144.3812,5061,74574,694111,536
2023-05-24$97.40$98.0010.4%3.1%9.8%17.9%11.3%-0.3%-0.1%-35.4M181.3M-1.4M1.014.9463263784,159112,412
2023-05-25$96.72$98.0011.3%3.4%9.8%25.4%11.9%-0.0%-0.1%-47.0M290.0M-1.3M0.467.348,7634,01484,482112,354
2023-05-26$96.84$98.0010.8%3.2%9.3%20.9%11.7%0.2%-0.2%-56.4M282.8M-1.4M5.435.661,6018,69897,289115,483
2023-05-30$97.59$98.0010.7%3.3%8.6%20.3%11.7%0.2%-0.4%-27.8M154.7M-1.4M20.585.841,47630,37297,997119,380
2023-05-31$98.13$98.0010.1%3.1%7.3%15.6%11.1%0.3%-0.1%-6.1M109.8M-1.5M1.215.105,6906,91298,264136,872