IEF Options History — April 2024

In April 2024, IEF traded between $91.25 and $93.73. ATM implied volatility averaged 7.8%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 0.2% (HV 20d: 7.7%). Max pain ranged from $92.00 to $95.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.41.

Notable Days

  • 2024-04-12: Highest Volume — 42,153 contracts
  • 2024-04-10: Largest IV spike — 10.0% change
  • 2024-04-15: Highest IV Rank — 43.8%
  • 2024-04-15: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.23$91.25$93.73$93.52$91.41
Max Pain$93.86$92.00$95.00$94.00$92.00
ATM IV7.8%7.1%8.8%7.1%7.9%
Expected Move2.3%2.0%2.5%2.0%2.4%
HV 20d7.7%6.1%8.7%6.5%7.8%
HV 60d7.4%7.0%7.8%7.1%7.1%
IV Rank24.4%8.5%43.8%8.5%24.9%
IV Percentile19.9%2.8%49.6%2.8%17.9%
Term Structure-0.1%-0.4%0.8%-0.3%0.1%
VWIV7.8%6.5%9.2%6.9%8.5%
Skew 25d0.1%-0.4%0.6%0.3%-0.2%
Skew 10d0.3%-0.8%2.6%0.6%-0.1%
Call IV 25d7.9%7.2%9.1%7.2%7.9%
Put IV 25d8.0%7.2%9.1%7.5%7.7%
Bid-Ask Spread %90.9072.3299.0993.3492.57
Gamma HHI0.180.140.230.180.20
Net GEX-124.9M-205.8M-38.7M-158.4M-99.6M
Net DEX506.3M255.6M889.8M376.5M483.5M
Net VEX-3.2M-3.7M-2.7M-3.4M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.1110.481.133.17
Total Volume14,856.0451,42842,1538,3622,365
Total OI391,478.455363,968427,825392,257375,558

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-04-01$93.52$94.007.1%2.0%6.5%8.5%6.9%0.3%-0.3%-158.4M376.5M-3.4M1.1393.343,9214,441205,934186,323
2024-04-02$93.34$94.007.3%2.0%6.5%11.8%7.1%0.5%-0.3%-176.9M438.2M-3.3M1.3198.051,0071,320207,239185,472
2024-04-03$93.41$94.007.5%2.0%6.1%17.9%7.1%0.6%-0.2%-170.4M405.8M-3.3M0.1884.2211,5712,087207,617185,169
2024-04-04$93.73$95.007.7%2.1%6.2%22.4%7.6%-0.2%-0.4%-138.5M255.6M-3.7M1.2093.181,4511,743218,569184,746
2024-04-05$93.16$95.007.4%2.1%6.4%16.7%6.5%0.1%-0.4%-193.0M488.4M-3.4M1.2199.091,4381,737219,760185,934
2024-04-08$92.93$95.007.3%2.1%6.4%14.5%7.2%-0.1%-0.0%-205.8M553.6M-3.2M2.6794.461,5144,043220,542182,380
2024-04-09$93.32$95.007.2%2.0%6.6%10.9%7.2%-0.1%-0.0%-198.0M415.8M-3.2M1.2298.69643785221,572182,516
2024-04-10$92.03$95.007.9%2.3%8.0%25.7%7.7%0.5%0.0%-176.8M889.8M-2.9M2.4089.472,8546,842221,856182,847
2024-04-11$91.98$95.007.7%2.3%8.0%22.4%7.2%0.5%0.2%-152.4M604.2M-2.7M2.3390.568,57319,996223,198146,082
2024-04-12$92.37$95.008.2%2.4%7.9%32.6%8.4%0.1%0.3%-135.4M462.1M-3.3M0.9381.3121,85920,294229,016157,627
2024-04-15$91.66$94.008.8%2.5%8.3%43.8%9.2%0.0%-0.1%-112.0M645.6M-3.2M0.1572.325,606843241,992164,609
2024-04-16$91.32$94.008.3%2.4%8.4%34.3%8.4%0.1%-0.1%-97.0M776.6M-3.0M10.0182.583,50735,088240,019164,866
2024-04-17$91.94$94.007.9%2.3%8.7%25.4%8.2%0.1%-0.0%-136.3M496.1M-3.3M10.4887.103,53337,020242,233161,866
2024-04-18$91.62$94.008.2%2.3%8.7%31.0%8.2%0.3%0.1%-106.3M553.8M-3.2M1.8890.0614,63127,504243,921159,094
2024-04-19$91.73$93.008.2%2.4%8.7%32.6%8.2%0.6%0.8%-77.5M482.5M-3.4M0.9792.523,4033,296258,043169,782
2024-04-22$91.75$93.008.0%2.3%8.5%27.3%8.1%-0.1%-0.2%-44.3M414.3M-3.3M0.1986.889,8511,889202,428161,540
2024-04-23$91.88$93.007.7%2.2%8.5%21.8%7.7%-0.2%-0.2%-38.7M404.7M-3.1M0.1197.5211,8991,336208,121163,333
2024-04-24$91.59$93.007.9%2.3%8.5%25.4%7.9%0.0%-0.2%-65.1M480.8M-3.0M6.5397.001,0156,629206,949163,434
2024-04-25$91.25$93.008.3%2.5%8.3%34.7%8.5%0.1%-0.3%-95.0M598.8M-3.1M3.0691.181,3494,133207,364169,811
2024-04-26$91.44$93.008.0%2.4%8.4%26.7%8.3%-0.1%-0.3%-87.7M533.2M-2.9M1.6891.4510,34017,350208,023167,153
2024-04-29$91.77$92.007.9%2.4%7.7%25.4%8.4%-0.4%-0.0%-81.8M379.1M-3.0M0.3096.224,7111,416205,992171,996
2024-04-30$91.41$92.007.9%2.4%7.8%24.9%8.5%-0.2%0.1%-99.6M483.5M-2.9M3.1792.575671,798203,369172,189