IEF Options History — October 2023 In October 2023, IEF traded between $88.98 and $91.50. ATM implied volatility averaged 10.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.4% (HV 20d: 9.2%). Max pain ranged from $91.00 to $93.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.12.
Notable Days 2023-10-19 : Highest Volume — 82,133 contracts2023-10-03 : Largest IV spike — 16.1% change2023-10-03 : Highest IV Rank — 31.0%2023-10-03 : Largest Expected Move — 3.4%Monthly Statistics Metric Avg Min Max Open Close Price $90.19 $88.98 $91.50 $90.63 $89.75 Max Pain $92.09 $91.00 $93.00 $93.00 $91.00 ATM IV 10.6% 9.8% 11.6% 10.0% 10.4% Expected Move 3.1% 2.8% 3.4% 2.8% 3.0% HV 20d 9.2% 6.5% 10.7% 6.5% 9.7% HV 60d 8.3% 7.7% 8.7% 8.0% 8.2% IV Rank 24.1% 18.3% 31.0% 19.1% 22.2% IV Percentile 71.6% 49.2% 86.1% 54.8% 68.3% Term Structure -0.1% -0.5% 0.1% -0.4% -0.1% VWIV 10.8% 7.5% 12.2% 9.8% 10.6% Skew 25d 0.6% -0.3% 1.6% 1.3% 0.3% Skew 10d 1.1% -0.1% 2.6% 1.8% 0.5% Call IV 25d 10.5% 9.3% 11.4% 9.3% 10.5% Put IV 25d 11.1% 10.3% 12.5% 10.6% 10.8% Bid-Ask Spread % 6.42 3.54 29.03 4.14 4.74 Gamma HHI 0.14 0.08 0.32 0.18 0.14 Net GEX 14.9M -63.0M 79.0M -10.0M 76.6M Net DEX 99.7M -51.6M 277.6M 277.6M 77.7M Net VEX -1.5M -2.4M -1.0M -1.1M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.11 6.65 1.01 0.88 Total Volume 13,954.364 1,121 82,133 4,507 1,121 Total OI 204,408.045 145,052 280,395 154,835 273,067
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2023-10-02 $90.63 $93.00 10.0% 2.8% 6.5% 19.1% 9.8% 1.3% -0.4% -10.0M 277.6M -1.1M 1.01 4.14 2,246 2,261 89,500 65,335 2023-10-03 $89.84 $93.00 11.6% 3.4% 6.8% 31.0% 12.0% 1.6% -0.4% -3.1M 211.5M -1.0M 3.08 8.29 5,290 16,289 91,051 54,001 2023-10-04 $90.43 $93.00 10.5% 3.0% 7.4% 23.1% 7.5% 1.1% -0.3% -10.3M 176.3M -1.1M 1.31 5.93 4,399 5,767 94,734 61,056 2023-10-05 $90.60 $93.00 10.7% 2.9% 7.3% 24.6% 10.6% 1.0% -0.3% -2.2M 98.0M -1.1M 1.99 4.00 2,952 5,867 93,459 53,730 2023-10-06 $90.13 $93.00 10.8% 3.0% 7.4% 25.6% 10.4% 0.9% -0.3% -13.9M 139.5M -1.0M 0.26 6.78 15,513 3,996 95,419 56,758 2023-10-09 $91.16 $92.00 11.1% 3.1% 8.7% 27.5% 11.4% 0.4% -0.1% 23.4M -7.3M -1.5M 0.20 17.13 11,149 2,269 111,206 56,866 2023-10-10 $91.03 $92.00 10.6% 3.0% 8.7% 23.8% 10.5% 0.3% 0.1% 27.1M -6.2M -1.5M 0.21 3.98 2,746 582 120,746 58,028 2023-10-11 $91.50 $92.00 9.8% 2.9% 8.9% 18.3% 10.0% 0.7% 0.1% 42.0M -51.6M -1.5M 0.80 4.27 2,910 2,315 122,420 59,387 2023-10-12 $90.70 $92.00 10.0% 2.8% 9.3% 19.4% 9.7% 0.9% -0.1% 7.2M 61.6M -1.3M 0.34 3.96 3,256 1,111 121,641 59,620 2023-10-13 $91.20 $92.00 10.5% 3.0% 9.6% 22.8% 10.6% 0.3% 0.0% 19.7M -7.6M -1.4M 6.65 3.81 735 4,890 123,390 60,060 2023-10-16 $90.72 $92.00 10.4% 3.0% 9.7% 22.3% 10.2% 0.7% -0.1% 428.2K 70.8M -1.3M 0.34 4.14 10,322 3,510 120,122 62,586 2023-10-17 $89.84 $92.00 10.4% 3.0% 10.1% 22.3% 10.6% 0.9% -0.2% -33.2M 166.1M -1.2M 0.89 3.54 10,680 9,459 117,152 64,501 2023-10-18 $89.44 $92.00 10.9% 3.1% 10.1% 25.8% 11.3% 0.6% -0.5% -40.6M 145.5M -1.3M 2.11 4.76 3,092 6,529 126,918 63,050 2023-10-19 $88.98 $92.00 11.4% 3.3% 9.9% 30.0% 11.8% 0.9% -0.1% -49.4M 190.9M -1.2M 0.77 5.91 46,318 35,815 129,089 64,724 2023-10-20 $89.38 $92.00 11.1% 3.2% 10.0% 27.5% 12.2% 0.7% -0.4% -63.0M 253.9M -1.8M 0.37 4.35 15,921 5,813 174,777 90,557 2023-10-23 $89.84 $92.00 10.7% 3.1% 10.0% 24.3% 11.4% 0.1% 0.1% 44.5M 108.0M -1.9M 0.11 29.03 17,706 1,867 160,110 77,543 2023-10-24 $90.02 $92.00 10.2% 3.0% 10.1% 20.9% 11.0% 0.3% 0.1% 61.8M 57.5M -2.1M 0.78 4.43 3,764 2,921 172,959 78,455 2023-10-25 $89.25 $92.00 11.1% 3.3% 10.3% 27.6% 11.8% 0.8% -0.0% 28.7M 158.9M -2.0M 0.65 4.98 4,195 2,723 176,242 80,520 2023-10-26 $89.93 $92.00 10.5% 3.1% 10.7% 23.1% 10.9% 0.1% 0.1% 71.1M 34.5M -2.2M 0.45 4.03 13,216 5,881 185,604 80,689 2023-10-27 $90.03 $91.00 10.5% 3.1% 10.7% 23.1% 11.3% -0.3% 0.1% 79.0M -4.5M -2.4M 0.31 4.64 2,981 927 196,586 83,809 2023-10-30 $89.72 $91.00 10.8% 3.2% 10.1% 25.5% 11.3% 0.1% -0.1% 71.0M 43.0M -2.2M 1.19 4.30 2,600 3,092 188,435 81,075 2023-10-31 $89.75 $91.00 10.4% 3.0% 9.7% 22.2% 10.6% 0.3% -0.1% 76.6M 77.7M -2.0M 0.88 4.74 595 526 189,406 83,661
« Sep 2023 | All History | Nov 2023 » Home IEF History October 2023