IEF Options History — June 2023

In June 2023, IEF traded between $96.34 and $98.07. ATM implied volatility averaged 8.4%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 0.9% (HV 20d: 7.5%). Max pain ranged from $97.00 to $98.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.54.

Notable Days

  • 2023-06-30: Highest Volume — 28,862 contracts
  • 2023-06-29: Largest IV spike — 11.5% change
  • 2023-06-01: Highest IV Rank — 8.8%
  • 2023-06-01: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.04$96.34$98.07$98.07$96.63
Max Pain$97.10$97.00$98.00$98.00$97.00
ATM IV8.4%7.6%9.4%9.4%8.3%
Expected Move2.4%2.1%2.8%2.8%2.2%
HV 20d7.5%6.9%8.2%7.0%8.2%
HV 60d9.4%8.5%11.0%10.9%8.7%
IV Rank3.3%0.0%8.8%8.8%5.6%
IV Percentile3.0%0.0%13.1%13.1%4.4%
Term Structure0.2%-0.1%0.5%0.1%0.3%
VWIV8.5%7.4%10.1%10.1%7.8%
Skew 25d0.2%-0.3%0.6%0.3%0.3%
Skew 10d0.3%-0.6%0.9%0.1%0.2%
Call IV 25d8.5%7.7%9.5%9.5%8.1%
Put IV 25d8.7%7.8%9.8%9.8%8.3%
Bid-Ask Spread %7.064.1010.414.106.06
Gamma HHI0.200.130.700.130.18
Net GEX-86.9M-325.2M-7.6M-10.3M-50.0M
Net DEX192.0M-15.0M497.3M72.0M66.0M
Net VEX-1.1M-1.4M-868.6K-1.4M-998.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.540.1514.866.821.66
Total Volume9,607.5241,10228,8628,19928,862
Total OI196,869.238132,666253,644238,288159,604

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$98.07$98.009.4%2.8%7.0%8.8%10.1%0.3%0.1%-10.3M72.0M-1.4M6.824.101,0497,15098,973139,315
2023-06-02$97.32$98.009.1%2.6%7.3%6.1%9.5%0.5%0.2%-90.5M286.3M-1.3M2.054.161,2112,47899,298143,470
2023-06-05$97.32$97.008.9%2.7%7.1%4.5%7.8%0.6%0.3%-95.7M262.8M-1.2M14.867.5985012,63383,733136,265
2023-06-06$97.34$97.008.6%2.6%6.9%1.9%9.1%0.5%0.3%-128.6M307.0M-1.2M0.317.5683926384,098143,841
2023-06-07$96.62$97.008.9%2.6%7.3%5.0%9.4%0.5%0.2%-115.2M414.8M-1.0M1.766.707,72813,56484,634133,867
2023-06-08$97.25$97.008.8%2.6%7.3%3.9%9.5%0.5%0.2%-94.8M241.9M-1.1M5.168.273,79119,54791,946132,191
2023-06-09$97.00$97.008.8%2.6%7.0%4.1%9.6%0.4%0.4%-120.6M325.9M-1.2M10.398.011,06711,08495,548144,841
2023-06-12$97.06$97.009.0%2.6%6.9%5.7%9.2%0.3%0.3%-124.2M319.1M-1.1M2.518.583,5708,95695,685147,900
2023-06-13$96.37$97.008.8%2.6%7.2%3.5%9.3%0.4%0.2%-146.7M497.3M-1.0M3.238.391,8095,84795,368150,178
2023-06-14$96.50$97.008.2%2.3%7.2%0.0%7.9%0.3%-0.1%-155.6M487.9M-1.0M1.056.823,1793,345103,347150,297
2023-06-15$97.30$97.007.9%2.2%7.9%0.0%8.0%0.1%-0.0%-153.0M189.4M-997.6K2.336.772,8306,589108,510142,665
2023-06-16$96.90$97.007.9%2.3%7.8%0.4%8.0%0.2%0.0%-325.2M344.2M-982.5K1.965.501,3002,543110,857140,324
2023-06-20$97.20$97.007.9%2.3%7.8%0.2%8.2%0.1%0.4%-21.4M8.9M-932.8K0.517.081,01151837,46095,695
2023-06-21$97.23$97.007.7%2.2%7.8%0.0%7.8%0.1%0.3%-18.0M2.1M-922.6K0.156.972,47537938,03395,796
2023-06-22$96.70$97.007.6%2.2%8.0%0.0%7.6%0.1%0.5%-40.9M61.4M-898.6K1.5910.417611,20936,59496,072
2023-06-23$97.13$97.007.9%2.2%8.2%2.2%8.0%-0.2%0.2%-26.2M22.7M-887.2K0.257.446,0211,51737,08596,521
2023-06-26$97.28$97.008.3%2.3%7.8%5.3%8.3%-0.3%0.2%-10.5M-10.6M-881.2K0.197.2394317942,29994,786
2023-06-27$96.93$97.008.1%2.3%7.9%3.6%8.0%-0.2%0.2%-25.1M24.2M-868.6K12.736.5282210,46442,60694,891
2023-06-28$97.37$97.007.6%2.1%7.5%0.5%7.4%-0.2%0.4%-7.6M-15.0M-959.5K4.278.163,78316,16145,119106,186
2023-06-29$96.34$97.008.5%2.3%8.1%7.1%8.1%0.3%0.3%-65.4M122.8M-1.0M0.465.952,3441,08748,712109,644
2023-06-30$96.63$97.008.3%2.2%8.2%5.6%7.8%0.3%0.3%-50.0M66.0M-998.0K1.666.0610,85618,00649,895109,709