IEF Options History — September 2023

In September 2023, IEF traded between $91.25 and $94.00. ATM implied volatility averaged 8.2%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.2% (HV 20d: 7.1%). Max pain ranged from $93.00 to $95.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2023-09-07: Highest Volume — 43,298 contracts
  • 2023-09-25: Largest IV spike — 17.8% change
  • 2023-09-27: Highest IV Rank — 16.9%
  • 2023-09-27: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.79$91.25$94.00$94.00$91.60
Max Pain$94.10$93.00$95.00$95.00$93.00
ATM IV8.2%7.4%9.7%8.1%9.2%
Expected Move2.3%2.1%2.8%2.2%2.6%
HV 20d7.1%6.2%8.0%7.8%6.2%
HV 60d8.1%7.7%8.4%8.4%7.7%
IV Rank5.8%0.0%16.9%3.7%13.4%
IV Percentile10.9%0.0%42.9%3.6%31.7%
Term Structure0.0%-0.3%0.4%0.1%0.4%
VWIV8.2%7.4%10.0%7.6%8.7%
Skew 25d0.5%0.2%0.9%0.4%0.8%
Skew 10d0.9%0.3%1.7%0.3%1.7%
Call IV 25d8.0%7.2%9.3%7.9%8.7%
Put IV 25d8.5%7.5%10.0%8.3%9.5%
Bid-Ask Spread %5.133.0610.563.064.09
Gamma HHI0.290.200.590.220.25
Net GEX-30.2M-105.0M-9.0M-36.4M-9.0M
Net DEX183.6M89.4M272.4M199.4M231.1M
Net VEX-1.3M-1.5M-1.1M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.053.471.120.05
Total Volume8,140.452,36343,2982,3766,628
Total OI174,387.65125,717226,051206,173154,621

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$94.00$95.008.1%2.2%7.8%3.7%7.6%0.4%0.1%-36.4M199.4M-1.4M1.123.061,1201,25686,362119,811
2023-09-05$93.47$95.008.4%2.4%8.0%6.1%8.0%0.8%-0.2%-37.2M211.3M-1.3M2.396.321,1742,80887,044108,663
2023-09-06$93.16$95.008.3%2.3%7.7%5.7%8.1%0.9%-0.3%-40.7M243.7M-1.2M3.477.302,1607,48587,560106,914
2023-09-07$93.50$95.008.0%2.3%7.9%3.4%8.0%0.4%0.0%-31.4M154.2M-1.2M0.936.0522,39120,90787,65399,717
2023-09-08$93.53$94.007.9%2.2%7.6%2.6%7.7%0.2%-0.1%-37.0M124.0M-1.5M0.993.315,3325,258105,347110,189
2023-09-11$93.35$94.008.3%2.4%7.3%5.4%8.5%0.4%0.1%-38.5M149.2M-1.5M0.234.578,5671,951101,732113,983
2023-09-12$93.47$94.008.2%2.3%7.3%4.2%8.0%0.4%-0.0%-33.1M132.0M-1.5M0.593.724,0092,383104,187115,424
2023-09-13$93.59$94.007.9%2.2%7.3%2.6%7.8%0.2%-0.1%-32.1M91.4M-1.5M0.144.812,257326107,261117,056
2023-09-14$93.38$94.007.4%2.1%7.2%0.0%7.4%0.2%0.1%-47.5M187.5M-1.4M0.944.701,2541,183108,858117,193
2023-09-15$93.12$94.007.4%2.1%7.2%0.4%7.6%0.2%-0.1%-105.0M199.0M-1.3M0.353.687,0042,486109,706115,066
2023-09-18$93.22$94.007.4%2.1%7.1%0.3%7.4%0.2%-0.0%-10.4M89.4M-1.3M0.924.732,3112,11665,55960,158
2023-09-19$92.85$94.007.7%2.2%6.9%2.6%7.6%0.3%-0.1%-13.9M125.9M-1.2M1.794.593,4686,22566,27960,425
2023-09-20$92.87$94.007.4%2.1%6.9%0.3%7.4%0.3%0.1%-11.0M127.0M-1.3M1.136.362,4862,80369,36764,570
2023-09-21$92.10$94.008.3%2.4%6.4%6.8%8.4%0.9%0.1%-22.1M219.2M-1.2M0.944.511,9571,83471,30565,640
2023-09-22$92.43$94.007.7%2.2%6.5%2.4%7.8%0.5%0.1%-19.0M187.1M-1.2M0.425.341,66070372,39365,448
2023-09-25$91.73$94.009.1%2.6%7.0%12.5%9.1%0.7%0.1%-23.3M246.5M-1.1M0.914.612,1361,94970,92765,597
2023-09-26$91.72$94.009.3%2.7%6.8%14.4%10.0%0.6%0.2%-20.7M240.0M-1.1M0.895.161,8411,64072,86065,101
2023-09-27$91.25$94.009.7%2.8%6.2%16.9%9.5%0.7%0.3%-20.7M272.4M-1.1M0.1410.567,4011,00874,54466,050
2023-09-28$91.53$93.009.0%2.6%6.4%12.1%8.9%0.8%0.3%-15.0M242.2M-1.1M0.415.149,4283,90482,10665,077
2023-09-29$91.60$93.009.2%2.6%6.2%13.4%8.7%0.8%0.4%-9.0M231.1M-1.2M0.054.096,32430488,23966,382