IEF Options History — July 2023

In July 2023, IEF traded between $94.62 and $97.10. ATM implied volatility averaged 9.0%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 0.3% (HV 20d: 8.7%). Max pain ranged from $95.00 to $97.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.71.

Notable Days

  • 2023-07-31: Highest Volume — 22,644 contracts
  • 2023-07-27: Largest IV spike — 13.7% change
  • 2023-07-06: Highest IV Rank — 21.1%
  • 2023-07-06: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.97$94.62$97.10$96.03$95.65
Max Pain$95.75$95.00$97.00$97.00$96.00
ATM IV9.0%7.9%10.4%8.6%8.6%
Expected Move2.5%2.3%2.9%2.3%2.4%
HV 20d8.7%8.1%9.3%8.1%8.5%
HV 60d8.7%7.8%9.1%8.7%7.8%
IV Rank10.4%2.3%21.1%7.9%7.3%
IV Percentile15.9%2.4%54.4%7.1%9.1%
Term Structure0.0%-0.3%0.4%0.2%-0.3%
VWIV8.9%7.8%10.7%7.8%8.2%
Skew 25d0.5%0.2%0.9%0.5%0.9%
Skew 10d1.1%0.4%1.8%0.5%1.6%
Call IV 25d8.9%7.9%10.1%8.6%8.4%
Put IV 25d9.4%8.2%11.0%9.2%9.3%
Bid-Ask Spread %7.644.6833.516.238.22
Gamma HHI0.220.120.420.170.13
Net GEX-13.5M-72.8M58.0M-16.8M-21.7M
Net DEX66.9M-116.4M341.4M72.1M74.7M
Net VEX-1.2M-1.4M-1.0M-1.1M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.710.3915.100.684.86
Total Volume9,536.965522,64465522,644
Total OI159,937.2118,381181,351143,796154,512

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-07-03$96.03$97.008.6%2.3%8.1%7.9%7.8%0.5%0.2%-16.8M72.1M-1.1M0.686.2339126456,93486,862
2023-07-05$95.43$97.009.5%2.4%8.3%14.7%8.6%0.6%-0.0%-32.3M146.9M-1.0M15.105.1183212,56357,18186,846
2023-07-06$94.72$97.0010.4%2.9%8.6%21.1%10.7%0.9%0.1%-61.9M279.3M-1.1M6.896.771,62511,19457,57297,892
2023-07-07$94.62$97.009.9%2.8%8.3%17.6%9.8%0.8%0.1%-72.8M341.4M-1.1M1.406.823,0004,19858,651106,632
2023-07-10$95.09$97.0010.2%2.9%8.1%19.5%10.0%0.7%-0.2%-68.5M253.6M-1.1M0.925.374,7444,34260,182104,907
2023-07-11$95.25$95.009.9%2.8%8.2%17.7%9.7%0.6%-0.2%-67.3M212.3M-1.2M1.7633.511,8263,22161,881105,615
2023-07-12$96.22$95.009.0%2.6%9.0%10.9%9.2%0.5%-0.1%-17.3M32.9M-1.1M1.875.643,8677,24963,580101,891
2023-07-13$97.00$95.009.0%2.5%9.2%10.5%8.9%0.4%-0.1%31.3M-87.3M-1.1M1.977.206,05011,93866,102102,550
2023-07-14$96.53$95.009.1%2.6%9.3%11.2%9.2%0.5%-0.2%6.0M-15.7M-1.3M12.187.304795,83669,683106,140
2023-07-17$96.69$95.009.0%2.6%8.8%10.7%9.1%0.5%-0.1%21.4M-30.9M-1.2M6.196.178385,18868,926106,465
2023-07-18$96.80$95.008.8%2.5%8.7%9.0%8.8%0.4%-0.1%31.7M-49.5M-1.2M0.825.004,4483,66269,419106,460
2023-07-19$97.10$95.008.6%2.5%8.7%8.0%9.3%0.3%-0.1%58.0M-116.4M-1.2M9.406.734474,20371,140106,436
2023-07-20$96.43$95.008.8%2.5%9.1%9.1%9.0%0.4%-0.0%13.8M15.8M-1.1M1.005.093,1873,20171,194106,579
2023-07-21$96.47$95.008.2%2.3%8.9%4.6%8.6%0.3%0.1%-4.7M21.0M-1.1M0.814.6860949673,911107,440
2023-07-24$96.18$95.008.1%2.3%8.8%4.0%8.1%0.2%0.2%-8.3M-12.7M-1.1M1.067.3510,54811,18742,70575,676
2023-07-25$96.02$96.008.3%2.4%8.7%5.3%8.2%0.4%0.3%-10.0M26.2M-1.3M1.615.584,4887,23153,93086,588
2023-07-26$96.31$96.007.9%2.3%8.7%2.3%8.1%0.3%0.3%-6.3M-6.9M-1.4M0.396.411,40555256,83089,857
2023-07-27$95.34$96.009.0%2.6%9.2%10.4%9.0%0.9%0.2%-21.3M101.6M-1.4M3.656.442,96010,79957,95590,217
2023-07-28$95.62$96.008.3%2.3%8.6%5.3%8.3%0.7%0.4%-22.7M80.6M-1.4M1.547.283,5575,46958,55392,850
2023-07-31$95.65$96.008.6%2.4%8.5%7.3%8.2%0.9%-0.3%-21.7M74.7M-1.4M4.868.223,86718,77760,12194,391