IEF Options History — May 2024

In May 2024, IEF traded between $91.53 and $93.53. ATM implied volatility averaged 6.9%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.0% (HV 20d: 5.9%). Max pain ranged from $92.00 to $93.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.82.

Notable Days

  • 2024-05-01: Highest Volume — 117,278 contracts
  • 2024-05-15: Largest IV drop — 10.2% change
  • 2024-05-13: Highest IV Rank — 22.6%
  • 2024-05-02: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.67$91.53$93.53$91.53$92.69
Max Pain$92.86$92.00$93.00$92.00$93.00
ATM IV6.9%6.2%7.7%7.2%6.8%
Expected Move2.0%1.8%2.3%2.2%2.0%
HV 20d5.9%5.0%7.9%7.8%5.6%
HV 60d6.6%6.4%6.9%6.8%6.6%
IV Rank8.5%0.0%22.6%11.8%10.4%
IV Percentile3.9%0.0%17.1%4.4%4.4%
Term Structure0.1%-0.4%0.4%0.4%-0.1%
VWIV7.3%6.2%13.1%13.1%6.8%
Skew 25d0.1%-0.2%0.4%0.0%-0.0%
Skew 10d0.4%-0.1%1.7%0.2%0.9%
Call IV 25d6.9%6.0%7.9%7.2%6.8%
Put IV 25d7.0%6.4%8.0%7.2%6.8%
Bid-Ask Spread %96.4776.34108.99104.99104.06
Gamma HHI0.240.180.390.190.28
Net GEX55.7M-94.5M164.4M-94.5M79.6M
Net DEX-272.2M-817.8M346.8M346.8M-162.1M
Net VEX-3.9M-4.6M-2.8M-2.8M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.039.591.291.99
Total Volume19,878.5911,037117,278117,2784,047
Total OI514,864.545374,746576,134374,746558,393

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$91.53$92.007.2%2.2%7.8%11.8%13.1%0.0%0.4%-94.5M346.8M-2.8M1.29104.9951,20866,070203,589171,157
2024-05-02$91.94$92.007.5%2.3%7.9%17.9%8.0%-0.2%0.3%-38.0M18.8M-3.7M9.3196.101,30112,110254,550194,720
2024-05-03$92.45$92.007.1%2.1%7.9%9.1%7.0%0.0%0.4%764.1K-185.6M-3.5M0.54108.999,5425,121253,644190,532
2024-05-06$92.55$93.007.2%2.1%7.9%11.2%7.5%0.2%0.2%16.5M-225.2M-3.2M0.1076.346,429674255,168189,748
2024-05-07$92.73$93.007.0%2.1%7.8%8.5%7.3%0.2%0.4%28.6M-274.7M-3.3M0.1976.7620,6343,864255,462190,017
2024-05-08$92.55$93.007.1%2.1%6.0%9.2%7.3%0.2%0.2%26.0M-228.8M-3.4M0.3090.8217,9215,395262,337191,498
2024-05-09$92.81$93.007.0%2.0%6.0%8.4%7.3%0.1%0.2%59.7M-348.7M-3.5M0.9790.1948,60847,389278,628196,631
2024-05-10$92.48$93.007.2%2.1%6.0%10.8%7.2%0.1%0.1%50.3M-360.3M-4.6M1.5491.082,6844,127322,613239,686
2024-05-13$92.62$93.007.7%2.2%5.3%22.6%7.8%0.0%-0.2%62.3M-394.1M-4.6M9.5991.575815,574323,299240,615
2024-05-14$92.87$93.007.7%2.1%5.1%20.9%7.4%-0.1%-0.4%71.0M-490.2M-4.4M0.3188.991,585488323,565245,783
2024-05-15$93.53$93.006.9%2.0%5.1%5.1%6.9%0.0%-0.1%154.5M-817.8M-4.1M0.5297.655,1622,702324,371246,102
2024-05-16$93.38$93.006.8%1.9%5.0%3.1%6.6%0.0%-0.1%156.7M-743.8M-4.0M0.3399.146,5552,181324,632247,841
2024-05-17$93.10$93.006.5%1.9%5.2%0.0%6.5%0.0%0.1%164.4M-625.7M-3.9M1.5498.598,31112,806327,346248,788
2024-05-20$92.97$93.006.5%1.9%5.2%0.7%6.5%0.1%-0.1%108.2M-402.1M-4.0M0.4796.19704333301,256199,508
2024-05-21$93.19$93.006.9%1.8%5.2%7.5%6.4%0.2%0.1%129.8M-499.4M-3.8M2.31107.099,70822,391301,634199,492
2024-05-22$93.09$93.006.3%1.8%5.1%0.0%6.4%0.2%-0.0%96.9M-398.5M-4.1M2.0399.535821,181311,203221,646
2024-05-23$92.77$93.006.5%1.9%5.1%3.7%6.7%0.3%-0.1%59.7M-213.4M-4.0M0.56102.381,070595311,365222,624
2024-05-24$92.87$93.006.2%1.8%5.0%0.0%6.2%0.4%-0.1%77.5M-259.1M-4.0M0.03100.4012,475348311,480222,875
2024-05-28$92.37$93.006.6%1.9%5.4%6.3%7.4%0.1%-0.0%33.1M-60.6M-4.0M1.12104.5212,23413,672322,454222,134
2024-05-29$91.91$93.006.9%2.0%5.5%12.2%7.1%0.4%-0.0%-42.0M293.4M-4.1M3.7696.491,3965,255327,593233,785
2024-05-30$92.31$93.006.7%2.0%5.7%8.7%7.0%-0.0%0.0%24.3M43.4M-4.0M1.29100.591,0131,303328,802228,454
2024-05-31$92.69$93.006.8%2.0%5.6%10.4%6.8%-0.0%-0.1%79.6M-162.1M-4.0M1.99104.061,3532,694329,480228,913