IEF Options History — October 2024

In October 2024, IEF traded between $94.56 and $98.16. ATM implied volatility averaged 8.9%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.8% (HV 20d: 5.1%). Max pain ranged from $95.00 to $98.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 2.26.

Notable Days

  • 2024-10-02: Highest Volume — 187,135 contracts
  • 2024-10-21: Largest IV spike — 7.6% change
  • 2024-10-31: Highest IV Rank — 100.0%
  • 2024-10-31: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.80$94.56$98.16$98.16$94.56
Max Pain$96.07$95.00$98.00$98.00$95.00
ATM IV8.9%6.9%10.7%7.1%10.7%
Expected Move2.7%1.9%3.7%1.9%3.7%
HV 20d5.1%3.8%5.9%4.2%5.4%
HV 60d6.1%5.1%6.5%5.9%5.1%
IV Rank54.6%12.9%100.0%15.7%100.0%
IV Percentile76.6%11.5%100.0%14.7%100.0%
Term Structure-0.0%-0.6%0.8%0.7%-0.3%
VWIV9.5%6.8%13.1%6.8%13.1%
Skew 25d0.7%0.0%4.9%0.0%0.1%
Skew 10d0.6%-0.6%1.4%0.0%0.4%
Call IV 25d8.8%7.1%10.9%7.2%10.9%
Put IV 25d9.5%7.1%13.7%7.2%11.0%
Bid-Ask Spread %50.9217.32108.03107.1030.62
Gamma HHI0.260.130.580.270.13
Net GEX-48.7M-251.4M135.3M135.3M8.3M
Net DEX242.6M-494.8M501.4M-494.8M217.2M
Net VEX-3.0M-3.9M-2.2M-2.2M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.0320.020.801.26
Total Volume26,762.6521,375187,13524,66139,100
Total OI330,964.87293,184399,032298,796399,032

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-10-01$98.16$98.007.1%1.9%4.2%15.7%6.8%0.0%0.7%135.3M-494.8M-2.2M0.80107.1013,66310,998161,589137,207
2024-10-02$97.84$98.006.9%1.9%3.8%12.9%6.8%0.0%0.8%113.6M-392.9M-2.2M0.99108.0393,81793,318163,419137,693
2024-10-03$97.44$96.007.4%2.3%4.0%21.2%8.2%0.1%0.8%-15.2M-49.9M-3.2M0.9990.776,1166,073170,429146,640
2024-10-04$96.47$96.007.7%2.4%5.2%28.4%8.4%0.5%0.7%-68.0M236.7M-3.2M0.7090.225,4273,773175,278149,240
2024-10-07$96.13$96.008.3%2.5%5.1%39.4%8.7%0.8%0.1%-84.3M262.9M-3.2M0.2290.859,4062,036178,002147,138
2024-10-08$96.13$96.008.5%2.5%4.8%43.8%8.6%0.9%0.1%-90.7M288.5M-3.1M1.1889.06631744177,983147,435
2024-10-09$95.85$96.009.0%2.6%4.8%54.1%9.0%1.4%0.4%-89.3M378.6M-2.9M0.6490.9121,65713,816177,913147,612
2024-10-10$95.82$96.009.2%2.6%4.8%56.5%9.0%4.9%-0.2%-34.0M318.2M-2.9M4.6188.091,1935,500186,133144,831
2024-10-11$95.84$96.008.8%2.6%4.7%49.5%9.1%1.3%0.4%-21.2M325.7M-2.9M1.0020.5714,63614,591186,586145,226
2024-10-14$95.65$96.009.0%2.5%4.5%52.4%8.9%0.7%-0.1%-81.6M410.1M-2.9M0.4517.322,4941,121187,894152,898
2024-10-15$96.18$96.008.9%2.6%5.2%52.3%9.2%0.5%-0.2%-69.6M209.3M-3.0M3.3123.111,6725,529188,757147,034
2024-10-16$96.30$96.008.8%2.5%5.2%49.8%8.7%0.6%-0.2%-68.5M174.4M-3.0M0.7926.453,2912,612189,184148,483
2024-10-17$95.84$96.008.5%2.5%5.3%44.2%8.7%0.9%-0.2%-100.3M320.7M-2.8M4.1327.647603,141191,431146,712
2024-10-18$95.97$96.008.6%2.5%5.4%46.3%9.0%0.7%-0.2%-251.4M289.8M-2.8M20.0231.6766513,315191,789146,905
2024-10-21$95.23$96.009.3%2.7%5.8%59.2%9.5%0.5%-0.6%-69.9M412.8M-2.7M0.2928.304,1301,190156,725136,459
2024-10-22$95.13$96.009.2%2.7%5.8%61.1%9.5%0.5%-0.4%-72.8M445.0M-2.6M2.2332.292,3185,165159,688137,471
2024-10-23$94.90$96.009.7%2.9%5.7%71.7%10.2%0.5%-0.5%-75.0M501.4M-2.7M1.3027.842,4333,158159,018142,327
2024-10-24$95.09$96.009.6%2.9%5.9%69.8%10.6%0.2%-0.4%-75.2M460.4M-2.7M0.0332.9371,2001,921159,895143,660
2024-10-25$94.85$96.009.6%3.0%5.6%68.6%10.8%0.1%-0.5%-41.3M351.6M-3.8M5.0329.221,6238,169224,238143,949
2024-10-28$94.66$96.0010.0%3.2%5.5%82.3%11.6%0.6%-0.4%-54.5M430.2M-3.7M0.9027.0325,99723,342222,784149,861
2024-10-29$94.66$95.5010.1%3.4%5.5%85.2%11.6%0.4%-0.4%-26.5M272.5M-3.5M0.1931.3438,5217,410202,938128,489
2024-10-30$94.59$95.0010.4%3.5%5.4%91.8%12.2%0.3%-0.4%11.8M211.2M-3.9M0.9029.7114,64813,221241,063133,154
2024-10-31$94.56$95.0010.7%3.7%5.4%100.0%13.1%0.1%-0.3%8.3M217.2M-3.9M1.2630.6217,28321,817253,193145,839