IEF Options History — January 2024

In January 2024, IEF traded between $94.72 and $96.25. ATM implied volatility averaged 8.1%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.4% (HV 20d: 6.7%). Max pain ranged from $92.00 to $95.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 5.79.

Notable Days

  • 2024-01-03: Highest Volume — 162,497 contracts
  • 2024-01-16: Largest IV spike — 9.9% change
  • 2024-01-03: Highest IV Rank — 12.8%
  • 2024-01-02: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.47$94.72$96.25$96.03$96.18
Max Pain$94.71$92.00$95.00$92.00$95.00
ATM IV8.1%7.5%9.1%9.0%8.0%
Expected Move2.3%2.2%2.5%2.5%2.3%
HV 20d6.7%5.4%8.2%8.2%6.1%
HV 60d8.6%8.2%9.3%9.3%8.2%
IV Rank5.6%0.9%12.8%12.2%4.7%
IV Percentile12.5%1.6%39.3%33.7%10.3%
Term Structure-0.1%-0.3%0.2%-0.2%-0.2%
VWIV8.3%7.7%9.2%9.2%8.3%
Skew 25d0.0%-0.3%0.3%0.3%-0.1%
Skew 10d0.1%-0.7%0.6%0.3%-0.3%
Call IV 25d8.2%7.6%9.1%9.1%8.3%
Put IV 25d8.3%7.5%9.3%9.3%8.2%
Bid-Ask Spread %40.923.5393.833.6393.83
Gamma HHI0.140.100.210.150.12
Net GEX38.5M-13.4M104.1M44.1M83.7M
Net DEX-392.2M-852.6M-36.3M-554.7M-285.2M
Net VEX-3.7M-4.4M-2.3M-2.4M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.790.0731.047.610.07
Total Volume44,197.0952,592162,49760,64215,953
Total OI367,162.333291,520467,574291,520319,866

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$96.03$92.009.0%2.5%8.2%12.2%9.2%0.3%-0.2%44.1M-554.7M-2.4M7.613.637,04153,601154,209137,311
2024-01-03$96.25$92.009.1%2.4%7.9%12.8%9.0%0.2%-0.3%52.1M-595.8M-2.3M3.183.5338,866123,631159,310142,947
2024-01-04$95.69$95.008.8%2.5%8.1%10.8%8.9%0.1%-0.2%43.6M-565.7M-3.2M7.6010.647,46356,732196,884148,400
2024-01-05$95.34$95.008.5%2.4%8.1%8.3%8.6%0.3%-0.3%28.1M-483.5M-3.0M4.2812.809,76741,807203,359147,592
2024-01-08$95.59$95.008.6%2.5%8.1%9.0%8.7%0.2%-0.0%70.2M-586.2M-3.1M0.708.1557,44740,376205,281142,764
2024-01-09$95.65$95.008.3%2.4%7.5%7.2%8.5%0.0%-0.1%101.2M-721.5M-4.1M12.806.624,03051,569261,991146,362
2024-01-10$95.47$95.008.3%2.3%7.6%6.9%8.4%0.0%-0.0%95.6M-656.4M-4.3M31.0412.514,965154,109264,927157,494
2024-01-11$95.97$95.007.9%2.3%7.7%3.7%8.1%-0.0%-0.1%87.8M-765.9M-4.4M23.046.963,72885,888269,404171,035
2024-01-12$96.16$95.007.8%2.2%5.9%2.9%8.0%-0.3%-0.0%104.1M-852.6M-4.3M13.374.773,04840,763272,528173,673
2024-01-16$95.47$95.008.5%2.4%6.1%8.6%8.7%-0.1%0.0%42.8M-645.4M-4.3M8.8375.284,76742,112271,562172,241
2024-01-17$95.13$95.008.1%2.3%6.2%5.4%8.2%0.3%-0.2%-11.0M-417.6M-4.1M0.8169.187,7946,296274,931184,949
2024-01-18$94.91$95.008.0%2.3%6.2%4.5%8.1%0.1%-0.3%-13.4M-265.5M-4.0M0.9088.731,9421,753275,128190,082
2024-01-19$94.88$95.007.8%2.2%6.1%2.8%7.9%0.1%-0.1%3.0M-172.6M-3.8M1.1833.434,2375,002276,065191,509
2024-01-22$95.22$95.007.6%2.2%5.9%1.5%7.9%-0.1%0.1%15.4M-154.4M-3.9M0.2441.832,815673188,054125,470
2024-01-23$94.97$95.007.5%2.2%5.9%0.9%7.9%-0.1%0.0%8.7M-101.2M-3.8M3.5773.591,2094,311188,139126,008
2024-01-24$94.72$95.007.7%2.2%6.0%2.2%7.7%-0.2%0.1%-7.8M-36.3M-3.7M0.3561.432,412841188,585130,229
2024-01-25$95.12$95.007.8%2.3%6.2%3.0%8.1%-0.1%0.1%11.7M-109.6M-3.8M0.5638.911,664928190,490130,728
2024-01-26$94.98$95.007.7%2.3%5.4%2.4%7.9%-0.1%0.2%8.8M-89.6M-3.7M0.8135.404,8813,956191,258131,341
2024-01-29$95.50$95.008.1%2.4%5.8%5.2%8.3%0.0%-0.2%7.9M-62.9M-3.9M0.3487.8711,6123,988175,306122,023
2024-01-30$95.59$95.007.8%2.3%5.8%3.5%8.2%0.0%-0.2%32.0M-112.7M-3.8M0.2790.3311,1413,021185,127125,847
2024-01-31$96.18$95.008.0%2.3%6.1%4.7%8.3%-0.1%-0.2%83.7M-285.2M-3.9M0.0793.8314,963990191,244128,622