IEF Options History — August 2023

In August 2023, IEF traded between $93.02 and $95.35. ATM implied volatility averaged 9.1%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.5% (HV 20d: 8.6%). Max pain ranged from $95.00 to $97.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 4.25.

Notable Days

  • 2023-08-17: Highest Volume — 51,875 contracts
  • 2023-08-21: Largest IV spike — 9.1% change
  • 2023-08-03: Highest IV Rank — 18.1%
  • 2023-08-22: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.20$93.02$95.35$94.93$94.87
Max Pain$95.91$95.00$97.00$96.00$95.00
ATM IV9.1%8.4%10.0%8.9%8.4%
Expected Move2.6%2.4%2.8%2.5%2.4%
HV 20d8.6%8.1%9.5%8.6%8.3%
HV 60d8.2%7.8%8.5%7.9%8.4%
IV Rank11.4%6.2%18.1%9.7%6.3%
IV Percentile20.7%7.5%43.3%14.7%8.3%
Term Structure-0.1%-0.5%0.3%-0.4%-0.1%
VWIV9.1%8.2%9.9%8.6%8.2%
Skew 25d0.6%0.0%1.0%1.0%0.0%
Skew 10d1.2%0.0%2.0%1.9%0.2%
Call IV 25d8.9%8.4%9.9%8.4%8.5%
Put IV 25d9.5%8.5%10.6%9.4%8.6%
Bid-Ask Spread %4.282.645.965.313.26
Gamma HHI0.240.120.480.200.16
Net GEX-67.3M-163.6M-23.8M-44.9M-35.6M
Net DEX299.5M72.0M629.6M180.2M72.0M
Net VEX-1.6M-1.9M-1.4M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.250.0432.232.650.87
Total Volume13,679.56567651,87516,9078,594
Total OI204,618.696176,086241,985176,086197,964

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$94.93$96.008.9%2.5%8.6%9.7%8.6%1.0%-0.4%-44.9M180.2M-1.6M2.655.314,63312,27463,752112,334
2023-08-02$94.73$96.009.2%2.6%8.4%12.3%8.8%1.0%-0.3%-53.7M222.1M-1.7M6.305.353,25720,51367,192117,992
2023-08-03$94.00$97.0010.0%2.8%8.4%18.1%9.5%1.0%-0.5%-65.5M345.6M-1.7M3.204.472,0466,54167,864122,589
2023-08-04$95.12$97.009.3%2.6%9.4%13.1%9.3%0.9%-0.4%-53.2M178.3M-1.8M1.305.418,99911,68469,423123,850
2023-08-07$94.80$97.009.3%2.6%9.4%12.8%9.9%0.8%0.1%-56.4M217.3M-1.7M1.905.1223344372,835124,236
2023-08-08$95.31$97.009.2%2.7%9.5%12.2%9.2%0.6%0.2%-44.0M127.3M-1.8M3.475.411,0293,57472,952124,123
2023-08-09$95.35$97.008.9%2.6%8.8%9.9%9.3%0.8%0.1%-46.6M125.9M-1.8M4.425.472661,17773,584127,198
2023-08-10$94.70$97.008.8%2.5%8.4%9.4%8.7%0.8%-0.1%-73.9M263.5M-1.6M21.393.191,45931,20973,691128,001
2023-08-11$94.10$97.008.7%2.5%8.5%8.4%8.6%1.0%0.1%-155.0M536.5M-1.9M1.725.9612,16420,88074,872161,133
2023-08-14$93.98$97.009.0%2.6%8.5%10.5%8.9%0.9%0.2%-163.6M559.3M-1.8M2.154.578,53818,31677,006159,593
2023-08-15$93.84$96.009.1%2.6%8.4%11.6%9.2%0.7%0.3%-159.3M536.2M-1.8M32.234.5987328,13582,607155,079
2023-08-16$93.45$96.009.1%2.6%8.3%11.4%9.0%0.6%0.1%-142.2M613.9M-1.8M10.312.641,60916,58383,408158,577
2023-08-17$93.28$96.009.2%2.6%8.1%12.2%9.1%0.7%-0.1%-114.7M629.6M-1.6M2.203.0116,19435,68184,772153,549
2023-08-18$93.60$95.009.1%2.6%8.2%11.2%9.1%0.4%0.1%-50.8M470.9M-1.5M0.333.292,63786191,545137,195
2023-08-21$93.02$95.009.9%2.8%8.4%17.4%9.7%0.3%-0.2%-41.2M344.8M-1.4M1.004.363,4343,44668,639115,344
2023-08-22$93.06$95.009.9%2.8%8.4%17.4%9.8%0.4%-0.1%-37.6M339.1M-1.4M0.044.659,17132571,156116,275
2023-08-23$94.00$95.009.5%2.7%9.3%14.2%9.5%0.4%-0.2%-23.8M181.8M-1.6M0.133.532,20928480,063115,261
2023-08-24$93.73$95.009.5%2.7%8.7%14.5%9.5%0.3%-0.2%-26.5M230.6M-1.5M1.024.842,3602,41780,959115,473
2023-08-25$93.66$95.008.9%2.5%8.6%9.5%8.7%0.4%-0.0%-35.8M254.9M-1.5M0.254.533,00174782,148115,853
2023-08-28$93.94$95.008.5%2.5%8.7%7.0%8.4%0.3%-0.0%-44.3M227.7M-1.4M0.083.091,97516276,826116,485
2023-08-29$94.63$95.008.5%2.5%8.8%7.2%8.4%0.2%-0.1%-40.5M114.5M-1.5M0.193.032,66850977,999117,303
2023-08-30$94.59$95.008.4%2.4%8.7%6.2%8.6%0.1%0.0%-39.3M115.9M-1.4M0.593.3595656479,938117,592
2023-08-31$94.87$95.008.4%2.4%8.3%6.3%8.2%0.0%-0.1%-35.6M72.0M-1.4M0.873.264,6063,98880,577117,387