IEF Options History — June 2024

In June 2024, IEF traded between $92.75 and $94.59. ATM implied volatility averaged 7.3%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 0.3% (HV 20d: 7.1%). Max pain ranged from $93.00 to $93.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.88.

Notable Days

2024-06-17: Highest Volume — 142,215 contracts
2024-06-12: Largest IV drop — 10.7% change
2024-06-06: Highest IV Rank — 28.4%
2024-06-05: Largest Expected Move — 2.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.92	$92.75	$94.59	$93.10	$93.73
Max Pain	$93.00	$93.00	$93.00	$93.00	$93.00
ATM IV	7.3%	6.8%	7.8%	7.2%	7.7%
Expected Move	2.1%	1.9%	2.2%	2.1%	2.2%
HV 20d	7.1%	5.5%	7.6%	5.5%	7.4%
HV 60d	7.1%	6.6%	7.3%	6.6%	7.0%
IV Rank	20.8%	11.3%	28.4%	17.2%	28.2%
IV Percentile	15.2%	5.2%	28.2%	9.5%	28.2%
Term Structure	0.1%	-0.3%	0.6%	-0.0%	0.5%
VWIV	8.2%	7.1%	14.9%	14.9%	7.7%
Skew 25d	-0.0%	-0.3%	0.5%	0.5%	-0.0%
Skew 10d	0.2%	-0.6%	1.5%	0.3%	0.1%
Call IV 25d	7.6%	6.9%	8.2%	6.9%	7.6%
Put IV 25d	7.5%	7.1%	7.9%	7.4%	7.6%
Bid-Ask Spread %	87.97	75.71	102.74	102.74	102.53
Gamma HHI	0.21	0.13	0.32	0.29	0.16
Net GEX	139.8M	99.8M	220.1M	122.4M	99.8M
Net DEX	-958.8M	-1.65B	-294.7M	-518.9M	-294.7M
Net VEX	-3.4M	-3.9M	-2.9M	-3.9M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.02	2.92	0.95	0.08
Total Volume	21,849	2,212	142,215	53,276	35,043
Total OI	531,155	304,798	628,505	552,280	355,597

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2024-06-03	$93.10	$93.00	7.2%	2.1%	5.5%	17.2%	14.9%	0.5%	-0.0%	122.4M	-518.9M	-3.9M	0.95	102.74	27,291	25,985	326,394	225,886
2024-06-04	$93.65	$93.00	7.6%	2.2%	5.9%	25.2%	7.8%	-0.1%	-0.1%	141.1M	-1.01B	-3.7M	1.15	94.73	7,587	8,734	352,286	226,259
2024-06-05	$93.94	$93.00	7.5%	2.2%	5.9%	24.4%	8.1%	-0.1%	-0.1%	153.9M	-1.15B	-3.6M	1.14	75.71	4,935	5,622	356,502	227,655
2024-06-06	$93.98	$93.00	7.8%	2.2%	5.8%	28.4%	8.6%	-0.1%	-0.2%	154.0M	-1.19B	-3.7M	0.69	84.76	8,854	6,066	360,673	230,315
2024-06-07	$92.95	$93.00	7.0%	2.0%	7.1%	14.6%	7.6%	0.1%	0.0%	140.8M	-672.0M	-3.8M	1.61	79.40	10,564	17,050	363,396	231,139
2024-06-10	$92.75	$93.00	7.3%	2.1%	7.0%	20.5%	7.6%	-0.1%	-0.1%	132.6M	-595.5M	-3.8M	2.92	92.96	1,664	4,867	374,829	238,376
2024-06-11	$93.23	$93.00	7.7%	2.2%	7.2%	26.7%	7.8%	-0.2%	-0.2%	162.5M	-885.3M	-3.6M	0.93	93.35	15,386	14,283	376,175	246,479
2024-06-12	$93.78	$93.00	6.8%	1.9%	7.5%	11.3%	8.5%	-0.1%	-0.1%	220.1M	-1.28B	-3.3M	1.50	88.52	5,122	7,698	378,957	249,548
2024-06-13	$94.38	$93.00	7.1%	2.0%	7.4%	16.5%	7.1%	-0.1%	0.1%	172.5M	-1.63B	-2.9M	0.02	85.19	21,485	458	377,967	248,589
2024-06-14	$94.59	$93.00	7.7%	2.2%	7.4%	27.4%	8.2%	-0.3%	-0.3%	137.5M	-1.65B	-3.0M	0.16	81.41	5,296	853	377,539	248,921
2024-06-17	$94.15	$93.00	7.6%	2.2%	7.5%	24.7%	7.8%	-0.0%	-0.1%	150.0M	-1.46B	-2.9M	0.98	91.79	71,989	70,226	374,646	241,318
2024-06-18	$94.57	$93.00	7.3%	2.1%	7.6%	20.1%	8.1%	0.3%	0.1%	141.6M	-1.36B	-3.2M	1.26	88.66	2,029	2,564	364,778	255,725
2024-06-20	$94.34	$93.00	7.2%	2.1%	7.6%	18.6%	8.2%	0.2%	-0.1%	105.8M	-1.27B	-3.4M	0.53	89.21	3,002	1,604	366,371	256,361
2024-06-21	$94.32	$93.00	7.3%	2.1%	7.6%	19.7%	7.5%	0.2%	-0.3%	122.4M	-1.07B	-3.4M	0.96	79.06	5,481	5,279	366,938	257,728
2024-06-24	$94.40	$93.00	7.0%	2.0%	7.5%	15.2%	7.3%	-0.1%	0.5%	116.4M	-561.9M	-3.1M	0.14	82.69	1,935	277	170,589	134,209
2024-06-25	$94.53	$93.00	7.2%	2.1%	7.5%	17.3%	7.6%	-0.1%	0.5%	128.2M	-609.1M	-3.1M	1.02	77.28	2,658	2,718	172,159	134,441
2024-06-26	$93.94	$93.00	7.3%	2.1%	7.6%	19.6%	7.7%	-0.3%	0.4%	118.5M	-461.8M	-3.1M	0.48	89.30	5,334	2,579	174,737	135,125
2024-06-27	$94.13	$93.00	7.3%	2.1%	7.3%	19.9%	7.4%	-0.2%	0.6%	135.7M	-527.0M	-3.1M	0.15	92.06	2,270	343	177,013	136,325
2024-06-28	$93.73	$93.00	7.7%	2.2%	7.4%	28.2%	7.7%	-0.0%	0.5%	99.8M	-294.7M	-3.4M	0.08	102.53	32,306	2,737	198,077	157,520