IEF Options History — September 2024

In September 2024, IEF traded between $97.41 and $99.13. ATM implied volatility averaged 7.4%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 2.7% (HV 20d: 4.6%). Max pain ranged from $95.00 to $97.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2024-09-04: Highest Volume — 101,528 contracts
  • 2024-09-20: Largest IV drop — 6.9% change
  • 2024-09-05: Highest IV Rank — 41.9%
  • 2024-09-03: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.44$97.41$99.13$97.41$98.03
Max Pain$96.33$95.00$97.00$95.00$97.00
ATM IV7.4%6.4%8.5%8.5%7.0%
Expected Move2.1%1.9%2.5%2.5%2.0%
HV 20d4.6%3.9%6.2%6.2%4.3%
HV 60d6.6%5.9%7.3%7.3%5.9%
IV Rank21.4%2.7%41.9%41.7%14.4%
IV Percentile29.0%0.8%72.6%72.6%12.7%
Term Structure0.0%-0.3%0.7%-0.1%0.7%
VWIV7.4%6.5%9.0%8.9%6.8%
Skew 25d-0.2%-0.6%0.1%-0.2%0.1%
Skew 10d-0.5%-1.4%1.3%-0.8%-0.3%
Call IV 25d7.6%6.4%8.8%8.5%7.2%
Put IV 25d7.3%6.2%8.5%8.3%7.3%
Bid-Ask Spread %99.4989.50106.17104.34106.17
Gamma HHI0.280.210.450.390.26
Net GEX130.1M-149.0M234.3M193.2M106.1M
Net DEX-896.0M-1.26B-416.9M-910.2M-416.9M
Net VEX-2.8M-3.3M-2.3M-3.1M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.254.200.520.68
Total Volume15,789.31,965101,5288,8661,965
Total OI375,712.4303,439453,657375,811303,439

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$97.41$95.008.5%2.5%6.2%41.7%8.9%-0.2%-0.1%193.2M-910.2M-3.1M0.52104.345,8243,042218,029157,782
2024-09-04$98.00$95.508.5%2.5%5.6%41.8%9.0%-0.3%-0.0%234.3M-1.06B-2.9M1.02101.4050,22751,301213,364158,088
2024-09-05$98.25$95.008.5%2.3%5.3%41.9%8.2%-0.3%-0.2%186.8M-1.07B-3.3M0.8594.9514,06311,945223,906162,344
2024-09-06$98.34$95.007.9%2.2%5.1%31.4%7.7%-0.4%-0.1%170.2M-1.10B-3.1M0.7393.233,5742,604225,447172,825
2024-09-09$98.52$96.007.6%2.1%5.0%26.5%7.6%-0.5%-0.2%181.0M-1.09B-3.0M0.5992.742,7521,630215,273166,666
2024-09-10$98.91$96.007.8%2.2%5.0%29.2%7.6%-0.6%-0.3%170.2M-1.21B-2.8M0.4989.501,950953217,211167,525
2024-09-11$98.84$96.007.5%2.1%4.9%24.3%7.5%-0.4%-0.3%180.1M-1.19B-2.8M0.9695.775,6805,430217,496168,422
2024-09-12$98.69$96.007.5%2.1%5.0%24.5%7.7%-0.3%-0.1%178.7M-1.13B-2.9M1.5896.791,0961,729221,950172,718
2024-09-13$98.91$96.007.6%2.1%4.3%24.7%7.5%-0.3%-0.2%171.3M-1.18B-2.8M4.2098.248513,575220,908173,789
2024-09-16$99.13$96.007.6%2.2%4.3%26.2%7.8%-0.3%-0.1%175.2M-1.26B-2.7M0.6997.2330,83921,354222,855175,642
2024-09-17$98.98$97.007.7%2.2%4.4%27.4%7.7%-0.2%-0.0%169.0M-1.18B-2.9M3.4999.783,82013,349235,310195,194
2024-09-18$98.60$97.007.3%2.1%4.5%20.1%7.4%0.0%0.0%127.1M-976.5M-2.9M2.31102.714,58510,583235,974208,151
2024-09-19$98.41$97.007.2%2.1%4.6%18.6%7.3%0.0%-0.2%11.2M-882.8M-2.9M4.1599.122,1588,966236,832216,825
2024-09-20$98.47$97.006.7%1.9%4.1%9.3%6.7%-0.1%-0.1%-149.0M-913.2M-2.7M0.52102.028,0554,222237,788209,505
2024-09-23$98.35$97.006.5%1.9%3.9%5.7%6.6%-0.3%0.4%34.9M-448.7M-2.6M2.45102.667,14317,486167,284147,807
2024-09-24$98.45$97.006.5%1.9%3.9%5.1%6.6%-0.0%0.4%132.1M-532.1M-2.5M2.3599.251,1362,671171,730139,668
2024-09-25$98.09$97.006.4%1.9%4.1%2.7%6.5%-0.2%0.4%105.2M-432.7M-2.5M0.25104.602,522628172,028137,979
2024-09-26$98.00$97.006.5%1.9%4.1%5.3%6.6%0.0%0.4%99.6M-418.3M-2.5M0.50105.722,0881,047174,240138,033
2024-09-27$98.34$97.006.7%1.9%4.2%8.1%6.9%-0.2%0.4%124.5M-522.2M-2.4M2.76103.687822,161175,459138,762
2024-09-30$98.03$97.007.0%2.0%4.3%14.4%6.8%0.1%0.7%106.1M-416.9M-2.3M0.68106.171,170795166,939136,500