IEF Options History — July 2024

In July 2024, IEF traded between $92.66 and $95.91. ATM implied volatility averaged 7.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 0.0% (HV 20d: 7.3%). Max pain ranged from $93.00 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2024-07-11: Highest Volume — 196,552 contracts
  • 2024-07-15: Largest IV spike — 12.3% change
  • 2024-07-01: Highest IV Rank — 36.8%
  • 2024-07-01: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.51$92.66$95.91$92.66$95.91
Max Pain$94.73$93.00$95.00$93.00$95.00
ATM IV7.3%6.4%8.2%8.2%7.6%
Expected Move2.1%1.9%2.3%2.3%2.2%
HV 20d7.3%4.9%8.7%8.5%5.0%
HV 60d6.7%6.5%7.4%7.4%6.5%
IV Rank19.4%3.6%36.8%36.8%25.6%
IV Percentile18.7%0.8%48.8%48.8%30.6%
Term Structure-0.1%-0.5%0.2%-0.4%-0.0%
VWIV7.3%6.1%8.0%8.0%7.6%
Skew 25d-0.1%-0.7%0.5%0.4%-0.7%
Skew 10d0.1%-1.3%1.3%0.7%-1.2%
Call IV 25d7.4%6.7%8.3%8.3%7.8%
Put IV 25d7.3%6.6%8.7%8.7%7.1%
Bid-Ask Spread %104.1993.36112.56101.99112.56
Gamma HHI0.170.120.280.170.28
Net GEX144.5M76.9M259.4M76.9M259.4M
Net DEX-445.3M-783.5M-24.7M-24.7M-702.2M
Net VEX-3.5M-3.8M-2.7M-3.5M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.024.052.260.53
Total Volume21,2381,158196,5526,48039,952
Total OI381,750.909344,681416,040370,996399,700

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$92.66$93.008.2%2.3%8.5%36.8%8.0%0.4%-0.4%76.9M-24.7M-3.5M2.26101.991,9874,493213,555157,441
2024-07-02$93.03$93.008.1%2.2%8.4%35.2%7.9%0.5%-0.3%102.1M-166.2M-3.5M0.72106.064,5223,264214,919159,289
2024-07-03$93.59$93.008.1%2.2%8.4%35.2%7.9%0.3%-0.5%122.8M-382.3M-3.5M0.02109.776,680143213,133160,773
2024-07-05$94.16$95.007.5%2.1%8.7%23.6%7.4%0.0%-0.4%148.1M-596.7M-3.2M2.0895.209381,948219,353160,878
2024-07-08$94.20$95.007.5%2.1%8.7%23.7%7.5%0.1%-0.0%151.2M-603.5M-3.1M0.1393.369,7751,255218,047159,753
2024-07-09$94.06$95.007.3%2.1%7.6%20.2%7.4%0.1%0.0%151.0M-516.8M-3.0M3.1799.821,4774,681218,569160,988
2024-07-10$94.15$95.007.1%2.0%7.6%16.5%7.2%0.0%0.0%151.2M-554.0M-2.8M0.17100.132,536435218,709162,615
2024-07-11$94.72$95.006.8%2.0%7.6%11.1%7.6%-0.0%0.1%151.5M-783.5M-2.7M0.87104.35104,89791,655217,022162,958
2024-07-12$94.93$95.006.4%1.9%7.4%3.6%6.5%-0.1%0.1%170.4M-531.7M-3.7M2.39104.862,8086,698227,374162,669
2024-07-15$94.63$95.007.2%2.1%7.2%18.4%7.5%0.3%0.1%135.8M-341.4M-3.7M2.30100.622,6386,067227,574165,141
2024-07-16$95.06$95.006.9%2.0%7.3%12.7%7.2%0.3%0.2%158.7M-577.3M-3.8M0.73101.206,5814,796230,208170,080
2024-07-17$95.15$95.006.9%2.0%7.1%11.9%7.1%-0.1%-0.0%168.2M-642.2M-3.8M0.07105.3411,729791236,148174,544
2024-07-18$94.87$95.007.0%2.0%7.1%13.5%7.0%-0.2%-0.0%166.2M-473.9M-3.7M0.90103.6025,70223,082240,990175,050
2024-07-19$94.59$95.007.1%2.1%7.1%17.1%7.1%0.1%-0.0%162.8M-346.2M-3.7M0.34106.0411,2133,794230,140162,515
2024-07-22$94.48$95.006.9%2.0%7.1%13.1%7.3%-0.1%-0.0%86.7M-248.4M-3.7M0.29101.041,463427207,521137,160
2024-07-23$94.56$95.006.9%2.0%7.1%11.7%6.9%-0.3%0.0%100.3M-304.3M-3.6M0.10107.9425,0952,496208,743137,549
2024-07-24$94.43$95.007.1%2.1%7.1%16.0%7.2%-0.2%-0.1%96.8M-261.9M-3.6M0.56105.18742416219,334139,774
2024-07-25$94.55$95.007.4%2.2%6.7%21.7%6.1%-0.5%0.0%102.8M-301.5M-3.6M0.02105.7320,792497219,804140,125
2024-07-26$95.03$95.007.2%2.1%6.9%18.7%7.1%-0.3%-0.3%171.5M-447.0M-3.6M4.05108.922,52810,231240,297140,597
2024-07-29$95.16$95.007.2%2.2%6.7%18.7%8.0%-0.6%0.0%158.9M-468.6M-3.8M1.75107.265,2519,175238,304149,945
2024-07-30$95.38$95.007.4%2.2%4.9%21.4%7.7%-0.7%0.0%184.9M-523.1M-3.8M0.39111.091,144442241,284157,948
2024-07-31$95.91$95.007.6%2.2%5.0%25.6%7.6%-0.7%-0.0%259.4M-702.2M-3.8M0.53112.5626,15013,802241,381158,319