IEF Options History — November 2023

In November 2023, IEF traded between $90.37 and $93.88. ATM implied volatility averaged 9.2%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.5% (HV 20d: 9.7%). Max pain ranged from $91.00 to $92.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2023-11-03: Highest Volume — 74,238 contracts
  • 2023-11-13: Largest IV spike — 7.3% change
  • 2023-11-13: Highest IV Rank — 19.6%
  • 2023-11-13: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.11$90.37$93.88$90.37$93.27
Max Pain$91.29$91.00$92.00$91.00$92.00
ATM IV9.2%8.5%10.0%10.0%9.0%
Expected Move2.8%2.6%2.9%2.9%2.9%
HV 20d9.7%9.3%10.3%9.7%9.8%
HV 60d8.9%8.2%9.3%8.2%9.1%
IV Rank13.8%8.4%19.6%19.5%11.9%
IV Percentile34.1%14.7%61.9%57.1%27.4%
Term Structure-0.0%-0.5%0.7%-0.2%0.0%
VWIV9.6%8.5%10.3%8.5%10.0%
Skew 25d0.3%-0.4%0.6%0.3%-0.2%
Skew 10d0.7%-0.1%1.2%0.4%-0.1%
Call IV 25d9.2%8.6%10.0%10.0%9.2%
Put IV 25d9.4%8.6%10.3%10.2%8.9%
Bid-Ask Spread %3.212.395.244.853.48
Gamma HHI0.230.150.410.150.36
Net GEX97.7M57.2M135.7M94.3M99.1M
Net DEX-168.8M-377.1M36.8M-83.7M-187.9M
Net VEX-2.3M-2.6M-2.1M-2.3M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.074.721.910.72
Total Volume18,8471,12874,23867,1137,797
Total OI264,173244,771294,515272,505262,367

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$90.37$91.0010.0%2.9%9.7%19.5%8.5%0.3%-0.2%94.3M-83.7M-2.3M1.914.8523,09644,017189,41483,091
2023-11-02$90.94$91.009.8%2.9%9.9%18.3%10.1%0.5%-0.1%100.9M-278.4M-2.4M1.872.7716,36130,567192,08470,348
2023-11-03$91.65$91.009.4%2.8%10.1%15.3%9.7%0.4%-0.2%106.7M-377.1M-2.5M0.303.2057,17317,065193,20675,324
2023-11-06$91.12$91.009.4%2.9%9.5%15.0%9.8%0.4%0.7%79.1M-106.5M-2.1M0.132.797,730972175,06674,479
2023-11-07$91.63$91.009.3%2.8%9.7%14.2%9.9%0.3%0.5%90.2M-165.2M-2.1M4.722.742,18010,287169,64375,128
2023-11-08$92.00$91.009.0%2.7%9.6%12.4%9.5%0.4%0.5%96.0M-187.8M-2.2M0.512.7120,07210,183169,12985,157
2023-11-09$91.10$91.009.5%2.8%9.8%15.7%9.9%0.5%0.4%72.1M-46.1M-2.2M1.742.396,79111,790176,09587,866
2023-11-10$91.19$91.009.3%2.8%9.6%14.6%9.8%0.6%0.6%61.0M11.5M-2.2M1.663.121,3302,213174,90698,331
2023-11-13$91.15$91.0010.0%2.9%9.4%19.6%10.0%0.4%-0.3%57.2M36.8M-2.3M0.602.9013,1697,863172,63197,586
2023-11-14$92.52$91.009.6%2.8%10.0%16.7%9.8%0.6%-0.2%119.3M-242.3M-2.5M0.192.628,4621,631179,214101,357
2023-11-15$91.82$91.009.5%2.7%10.3%15.8%9.6%0.4%-0.3%111.7M-89.3M-2.3M0.072.8624,1861,765176,915101,991
2023-11-16$92.44$91.009.5%2.7%10.1%15.7%9.8%0.4%-0.3%135.7M-257.7M-2.6M0.082.759,280734191,710102,805
2023-11-17$92.48$91.009.1%2.7%10.1%13.1%9.6%0.3%-0.5%110.7M-237.4M-2.6M1.945.243,0795,980185,695102,882
2023-11-20$92.68$91.008.9%2.6%10.0%11.6%9.2%0.3%-0.2%106.4M-179.3M-2.3M0.533.37738390169,11885,069
2023-11-21$92.75$91.008.8%2.6%10.0%10.2%9.1%0.3%-0.2%117.4M-179.6M-2.3M3.273.629693,168169,38585,363
2023-11-22$92.73$92.008.6%2.6%9.3%9.1%9.0%0.2%-0.1%114.2M-168.0M-2.4M3.013.344621,390168,98986,772
2023-11-24$92.28$92.008.7%2.6%9.4%9.9%9.3%0.3%-0.1%68.0M-71.2M-2.1M2.163.58363783169,13787,787
2023-11-27$92.94$92.008.5%2.7%9.6%8.4%9.5%0.0%0.1%91.2M-154.9M-2.1M0.972.84991966161,97986,153
2023-11-28$93.38$92.008.8%2.8%9.5%10.7%10.2%0.0%-0.1%106.1M-250.4M-2.2M0.742.8610,1557,539163,00586,983
2023-11-29$93.88$92.009.0%2.9%9.5%12.3%10.3%-0.4%-0.1%115.0M-329.5M-2.4M0.583.2813,9958,105169,56993,904
2023-11-30$93.27$92.009.0%2.9%9.8%11.9%10.0%-0.2%0.0%99.1M-187.9M-2.3M0.723.484,5313,266165,15997,208