IEF Options History — February 2024

In February 2024, IEF traded between $93.48 and $96.77. ATM implied volatility averaged 8.0%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 0.6% (HV 20d: 8.6%). Max pain ranged from $96.00 to $96.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 6.38.

Notable Days

  • 2024-02-07: Highest Volume — 116,352 contracts
  • 2024-02-23: Largest IV drop — 6.9% change
  • 2024-02-05: Highest IV Rank — 7.9%
  • 2024-02-22: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.36$93.48$96.77$96.77$94.16
Max Pain$96.00$96.00$96.00$96.00$96.00
ATM IV8.0%7.8%8.4%8.2%7.8%
Expected Move2.3%2.2%2.4%2.3%2.3%
HV 20d8.6%6.4%9.2%6.4%8.6%
HV 60d8.2%7.7%8.7%8.1%7.7%
IV Rank4.8%2.9%7.9%6.4%3.5%
IV Percentile12.7%5.6%25.8%15.9%7.9%
Term Structure-0.0%-0.5%0.4%-0.2%-0.0%
VWIV8.8%7.8%16.9%9.6%7.9%
Skew 25d0.2%-0.3%0.6%-0.3%0.2%
Skew 10d0.0%-0.8%0.8%-0.7%0.2%
Call IV 25d8.0%7.7%8.6%8.6%7.8%
Put IV 25d8.3%8.0%8.8%8.3%8.0%
Bid-Ask Spread %73.4136.86101.9063.32101.68
Gamma HHI0.140.100.350.120.35
Net GEX15.9M-44.9M202.7M109.8M202.7M
Net DEX180.4M-486.6M405.6M-486.6M197.4M
Net VEX-3.6M-4.1M-2.9M-4.1M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.380.0732.471.872.94
Total Volume25,728.31,581116,35244,62414,963
Total OI351,006.3322,911392,324322,911392,324

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$96.77$96.008.2%2.3%6.4%6.4%9.6%-0.3%-0.2%109.8M-486.6M-4.1M1.8763.3215,56929,055193,447129,464
2024-02-02$95.57$96.008.0%2.3%7.6%4.6%10.6%0.2%-0.5%26.9M-100.7M-3.9M5.4886.825,16928,323195,153138,132
2024-02-05$94.62$96.008.4%2.4%8.3%7.9%8.2%-0.1%-0.2%-6.4M147.4M-3.7M0.7975.3911,2728,923183,540140,108
2024-02-06$95.20$96.008.2%2.3%8.5%6.0%8.2%-0.0%-0.2%25.6M-34.8M-4.1M0.9841.092,4552,405191,844143,479
2024-02-07$95.03$96.008.0%2.3%8.6%4.3%16.9%-0.1%-0.1%19.6M13.6M-4.0M32.0437.823,522112,830192,382142,566
2024-02-08$94.65$96.008.0%2.3%8.6%4.3%8.2%0.2%-0.1%11.1M116.4M-3.8M7.7863.005,87245,690195,031140,238
2024-02-09$94.50$96.007.8%2.2%8.4%2.9%9.3%0.1%0.0%-9.9M161.9M-3.7M32.4738.3595430,975197,477143,107
2024-02-12$94.59$96.007.9%2.3%8.3%3.9%8.0%0.0%0.1%-5.0M156.6M-3.5M2.2846.327,27516,618194,073142,282
2024-02-13$93.56$96.008.2%2.3%8.8%5.8%8.3%0.2%0.2%-24.6M405.6M-3.3M5.3644.161,94810,449210,521142,993
2024-02-14$93.93$96.008.0%2.3%8.9%5.0%8.7%0.3%-0.0%-19.9M261.2M-3.4M10.7436.864,06843,696211,884140,147
2024-02-15$94.16$96.007.9%2.2%9.0%3.6%7.9%0.4%0.3%-20.1M236.4M-3.4M4.7295.743,29115,518213,526143,166
2024-02-16$93.72$96.007.8%2.2%9.1%2.9%7.9%0.4%0.4%-44.9M359.3M-3.3M0.65101.9015,69710,251215,439143,458
2024-02-20$93.91$96.008.1%2.3%9.0%5.3%8.0%0.3%-0.0%6.2M259.2M-3.4M0.6775.086,1644,156208,055132,637
2024-02-21$93.63$96.008.1%2.3%9.0%5.6%8.1%0.6%-0.2%7.9M306.0M-3.5M0.7191.011,7601,255213,979135,652
2024-02-22$93.48$96.008.4%2.4%9.0%7.4%8.3%0.6%-0.1%-7.0M386.4M-2.9M1.6495.6210,58717,310215,046136,686
2024-02-23$94.05$96.007.8%2.2%9.2%3.2%7.8%0.4%-0.0%9.6M265.0M-3.6M1.3992.64661920222,443152,163
2024-02-26$93.90$96.008.0%2.3%9.2%4.3%8.2%0.4%0.0%14.1M298.5M-3.6M3.8690.629853,801220,894151,700
2024-02-27$93.72$96.008.1%2.4%8.9%5.5%8.2%0.5%-0.1%1.6M358.0M-3.6M11.2496.355095,720220,868154,778
2024-02-28$93.98$96.007.9%2.3%9.0%4.0%8.2%0.4%-0.1%21.8M302.0M-3.6M0.0794.4613,006944221,141158,303
2024-02-29$94.16$96.007.8%2.3%8.6%3.5%7.9%0.2%-0.0%202.7M197.4M-3.6M2.94101.683,80011,163233,830158,494