IEF Options History — August 2024

In August 2024, IEF traded between $96.25 and $97.91. ATM implied volatility averaged 8.0%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 0.3% (HV 20d: 7.7%). Max pain ranged from $94.00 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2024-08-02: Highest Volume — 56,448 contracts
  • 2024-08-05: Largest IV spike — 15.5% change
  • 2024-08-05: Highest IV Rank — 65.0%
  • 2024-08-05: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.23$96.25$97.91$96.27$97.15
Max Pain$94.36$94.00$95.00$95.00$95.00
ATM IV8.0%7.5%9.7%7.6%7.9%
Expected Move2.3%2.1%2.7%2.3%2.4%
HV 20d7.7%4.8%8.3%4.8%6.2%
HV 60d7.3%6.5%7.5%6.5%7.3%
IV Rank33.1%23.0%65.0%25.3%31.9%
IV Percentile47.2%26.6%88.1%30.6%49.6%
Term Structure-0.0%-0.6%0.7%0.2%0.2%
VWIV8.2%7.6%9.7%8.1%7.9%
Skew 25d-0.7%-1.6%-0.2%-0.8%-0.4%
Skew 10d-1.5%-3.1%0.8%-2.3%-0.8%
Call IV 25d8.5%7.8%10.9%8.1%7.9%
Put IV 25d7.8%7.3%9.3%7.3%7.6%
Bid-Ask Spread %96.9690.08108.99108.9999.11
Gamma HHI0.380.250.500.250.37
Net GEX190.1M119.2M267.1M236.0M176.1M
Net DEX-907.2M-1.30B-681.1M-889.6M-732.2M
Net VEX-3.3M-3.8M-3.0M-3.8M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.054.850.300.29
Total Volume12,547.598956,4486,6313,511
Total OI393,324.227358,381427,168400,052382,824

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$96.27$95.007.6%2.3%4.8%25.3%8.1%-0.8%0.2%236.0M-889.6M-3.8M0.30108.995,0971,534231,887168,165
2024-08-02$97.70$95.008.4%2.6%6.6%40.6%8.6%-0.2%0.7%198.0M-1.30B-3.5M0.40101.1140,26416,184232,376169,452
2024-08-05$97.91$94.009.7%2.7%6.6%65.0%9.7%-1.6%-0.3%186.4M-1.24B-3.3M0.4090.4326,29710,640220,556167,209
2024-08-06$96.97$94.008.8%2.5%7.7%47.4%8.8%-1.1%-0.0%190.4M-922.9M-3.8M0.4890.371,806865234,820179,923
2024-08-07$96.55$94.008.5%2.5%7.9%42.4%8.6%-0.9%-0.1%166.3M-761.6M-3.7M0.2095.675,9491,194235,210180,519
2024-08-08$96.25$94.008.2%2.3%7.9%36.6%8.4%-0.8%-0.1%164.4M-681.1M-3.5M0.3194.547,6192,355236,160182,238
2024-08-09$96.62$94.007.8%2.3%7.9%29.8%8.1%-0.8%0.0%194.3M-822.0M-3.6M0.2696.415,8711,534242,743184,425
2024-08-12$96.94$94.008.2%2.3%7.8%36.6%8.4%-1.1%0.1%192.9M-901.3M-3.5M0.1497.292,677379236,613181,890
2024-08-13$97.32$94.008.1%2.3%7.8%35.6%8.4%-1.0%-0.2%223.4M-1.06B-3.3M0.2096.614,784963238,882182,201
2024-08-14$97.47$94.007.5%2.1%7.8%23.7%7.9%-0.7%-0.0%251.6M-1.10B-3.3M1.6896.371,7102,874242,423182,857
2024-08-15$96.85$94.007.5%2.2%8.1%24.1%8.4%-0.4%0.2%158.3M-871.0M-3.3M0.86100.572,1071,808232,598185,683
2024-08-16$97.06$94.007.5%2.2%8.0%23.0%7.6%-0.5%0.1%267.1M-945.5M-3.3M0.31100.378,7402,668233,453186,069
2024-08-19$97.22$94.007.6%2.2%7.9%25.1%8.0%-0.5%-0.1%120.0M-739.4M-3.2M0.6195.75614375202,766155,949
2024-08-20$97.62$94.007.8%2.3%8.0%30.3%8.0%-0.6%-0.3%152.6M-839.4M-3.2M0.1690.083,088484204,218156,445
2024-08-21$97.82$94.008.3%2.4%7.9%38.4%8.4%-0.8%-0.6%164.2M-920.9M-3.1M0.0992.668,203775206,695156,779
2024-08-22$97.34$94.008.0%2.3%8.3%32.6%8.0%-0.4%-0.4%119.2M-788.6M-3.1M1.4594.6912,83918,564211,387157,361
2024-08-23$97.77$95.007.6%2.2%8.2%25.3%7.6%-0.7%-0.2%187.8M-936.7M-3.0M0.5095.8013,3536,655217,820159,154
2024-08-26$97.70$95.007.6%2.2%8.3%26.5%7.8%-0.4%0.1%215.0M-932.5M-3.0M4.8598.238924,330209,891148,490
2024-08-27$97.63$95.007.8%2.3%8.3%29.2%8.1%-0.5%0.1%201.3M-872.4M-3.2M0.8097.116,8995,530210,547151,108
2024-08-28$97.55$95.007.8%2.3%8.2%29.4%7.9%-0.5%0.1%212.5M-876.2M-3.1M0.05100.945,720271217,029156,208
2024-08-29$97.41$95.007.8%2.3%8.1%29.0%8.1%-0.5%0.2%205.5M-823.3M-3.2M0.9599.9814,36913,654222,652157,458
2024-08-30$97.15$95.007.9%2.4%6.2%31.9%7.9%-0.4%0.2%176.1M-732.2M-3.2M0.2999.112,718793224,335158,489