IEF Options History — December 2023

In December 2023, IEF traded between $93.65 and $96.97. ATM implied volatility averaged 8.8%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded below realized volatility by 0.3% (HV 20d: 9.1%). Max pain ranged from $92.00 to $94.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 13.18.

Notable Days

  • 2023-12-20: Highest Volume — 175,547 contracts
  • 2023-12-14: Largest IV drop — 7.8% change
  • 2023-12-07: Highest IV Rank — 18.7%
  • 2023-12-01: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.40$93.65$96.97$94.06$96.41
Max Pain$92.45$92.00$94.00$92.00$92.00
ATM IV8.8%8.2%9.9%9.1%8.5%
Expected Move2.5%2.3%3.0%3.0%2.4%
HV 20d9.1%8.4%10.0%10.0%8.4%
HV 60d9.6%9.2%10.0%9.2%9.2%
IV Rank10.7%6.0%18.7%13.0%8.0%
IV Percentile26.3%8.3%58.7%34.1%17.9%
Term Structure0.0%-0.4%0.6%-0.2%0.4%
VWIV8.9%8.1%10.6%10.6%8.5%
Skew 25d-0.3%-0.8%0.3%-0.4%-0.1%
Skew 10d-0.3%-1.0%0.3%-0.3%-0.2%
Call IV 25d9.1%8.1%10.2%9.5%8.5%
Put IV 25d8.8%8.2%9.5%9.1%8.4%
Bid-Ask Spread %4.002.709.813.243.26
Gamma HHI0.210.150.410.410.15
Net GEX66.6M48.3M122.1M109.2M48.3M
Net DEX-407.3M-669.6M-217.3M-371.1M-632.9M
Net VEX-2.3M-2.4M-2.1M-2.4M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.180.0755.380.3333.00
Total Volume43,099.354,970175,5476,57943,381
Total OI256,635.15219,846294,946264,456294,946

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$94.06$92.009.1%3.0%10.0%13.0%10.6%-0.4%-0.2%109.2M-371.1M-2.4M0.333.244,9431,636165,17999,277
2023-12-04$93.65$92.009.3%2.6%9.9%14.4%9.2%-0.5%-0.0%122.1M-315.1M-2.4M0.253.3257,45714,570171,37897,057
2023-12-05$94.28$92.009.7%2.7%9.8%16.8%9.6%-0.4%0.1%64.2M-287.2M-2.3M0.394.696,6562,581144,49599,265
2023-12-06$94.68$92.009.9%2.7%9.7%18.4%9.5%-0.5%-0.0%70.6M-355.9M-2.2M0.899.813,3883,014147,23698,888
2023-12-07$94.68$92.009.9%2.8%9.7%18.7%9.8%-0.6%0.0%71.2M-352.3M-2.3M1.202.752,2632,707148,337100,737
2023-12-08$93.94$92.009.7%2.7%9.4%17.1%9.3%-0.6%0.1%60.0M-228.4M-2.3M1.723.464,7888,241149,655102,321
2023-12-11$93.91$93.009.4%2.6%9.4%15.3%9.1%-0.8%-0.2%66.9M-217.3M-2.3M1.843.604,7428,733151,996107,026
2023-12-12$94.16$93.009.0%2.5%9.4%12.2%9.3%-0.4%-0.3%75.8M-240.2M-2.2M0.884.292,9082,566155,489115,188
2023-12-13$95.52$93.009.0%2.5%9.3%12.0%8.8%-0.4%-0.4%69.0M-512.6M-2.1M0.076.6330,5342,127156,487114,846
2023-12-14$96.07$93.008.3%2.3%8.7%6.8%8.1%-0.5%-0.2%59.5M-385.4M-2.2M0.943.499,0528,483135,084115,624
2023-12-15$96.02$93.008.5%2.4%8.6%8.2%8.6%-0.4%-0.0%55.0M-369.8M-2.3M3.062.707,64923,427138,943121,127
2023-12-18$95.77$93.008.4%2.4%8.8%7.6%8.4%-0.2%-0.0%48.4M-311.7M-2.3M10.043.244,12341,386121,86897,978
2023-12-19$95.93$93.008.2%2.3%8.8%6.1%8.3%-0.1%-0.1%50.4M-325.8M-2.3M20.014.041,95539,112122,90999,258
2023-12-20$96.48$94.008.5%2.4%8.9%8.3%8.9%-0.1%0.1%52.0M-393.2M-2.2M7.105.2021,683153,864123,721103,213
2023-12-21$96.28$92.008.2%2.4%9.0%6.4%8.4%0.0%0.1%54.3M-526.0M-2.3M53.513.551,36172,821142,626114,394
2023-12-22$96.19$92.008.2%2.3%8.7%6.0%8.4%0.3%-0.1%54.7M-513.0M-2.3M20.603.091,98640,918142,725114,882
2023-12-26$96.25$92.008.3%2.4%8.5%6.7%8.5%0.1%0.6%62.0M-520.4M-2.2M55.383.1381945,356143,989114,654
2023-12-27$96.97$92.008.2%2.4%8.6%6.4%8.3%0.1%0.6%69.8M-619.1M-2.3M46.113.562,830130,493144,198122,900
2023-12-28$96.68$92.008.3%2.3%8.7%6.6%8.3%-0.0%0.5%68.7M-669.6M-2.2M6.283.056,51740,917156,044136,763
2023-12-29$96.41$92.008.5%2.4%8.4%8.0%8.5%-0.1%0.4%48.3M-632.9M-2.4M33.003.261,27642,105157,409137,537