IEF Options History — November 2024

In November 2024, IEF traded between $93.28 and $95.13. ATM implied volatility averaged 8.3%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.3% (HV 20d: 7.0%). Max pain ranged from $95.00 to $96.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2024-11-05: Highest Volume — 81,106 contracts
  • 2024-11-06: Largest IV drop — 24.1% change
  • 2024-11-04: Highest IV Rank — 100.0%
  • 2024-11-01: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.87$93.28$95.13$93.66$95.13
Max Pain$95.95$95.00$96.00$95.00$96.00
ATM IV8.3%7.3%11.1%10.7%7.3%
Expected Move2.5%2.2%3.7%3.7%2.2%
HV 20d7.0%5.3%8.0%5.3%8.0%
HV 60d5.8%5.4%6.1%5.4%6.0%
IV Rank42.7%20.9%100.0%98.5%20.9%
IV Percentile57.9%23.8%100.0%99.6%23.8%
Term Structure0.2%-0.5%4.4%-0.3%-0.5%
VWIV8.8%7.7%13.1%13.1%8.1%
Skew 25d-0.3%-8.2%0.6%0.2%-0.3%
Skew 10d-0.3%-1.3%0.4%-0.4%-0.5%
Call IV 25d8.7%7.4%14.6%10.7%7.5%
Put IV 25d8.4%6.4%11.5%10.9%7.3%
Bid-Ask Spread %26.9318.3571.4726.8330.12
Gamma HHI0.140.110.200.110.17
Net GEX-37.3M-141.5M49.9M-15.9M8.3M
Net DEX350.3M28.0M646.4M373.7M28.0M
Net VEX-3.1M-4.1M-2.6M-3.8M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.118.330.713.50
Total Volume17,370.197381,10618,86310,179
Total OI415,222.25343,289533,896426,358363,463

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$93.66$95.0010.7%3.7%5.3%98.5%13.1%0.2%-0.3%-15.9M373.7M-3.8M0.7126.8311,0487,815268,913157,445
2024-11-04$94.16$96.0010.9%3.0%5.8%100.0%10.9%0.6%-0.4%12.5M230.4M-4.0M1.7726.2221,41937,997272,725158,805
2024-11-05$94.27$96.0011.1%3.0%5.8%100.0%10.4%0.6%-0.5%15.5M191.2M-4.1M0.6732.3548,48232,624286,274184,246
2024-11-06$93.28$96.008.5%2.6%6.7%45.3%9.3%0.5%0.1%-83.0M646.4M-3.3M0.7325.4617,48012,769325,168208,728
2024-11-07$93.95$96.008.0%2.5%7.3%35.5%8.7%0.3%0.2%-16.6M328.6M-3.5M0.1523.2537,8465,545312,384196,506
2024-11-08$94.16$96.007.8%2.4%7.4%31.2%8.7%0.2%0.2%49.9M232.2M-3.5M1.2021.346,2137,431316,580195,905
2024-11-11$93.91$96.008.0%2.5%7.4%35.2%8.6%0.3%0.4%11.8M337.8M-3.4M0.8020.962,2201,779284,304154,982
2024-11-12$93.31$96.008.1%2.5%7.3%37.2%9.0%0.3%0.7%-77.4M535.9M-3.1M1.0320.125,4595,613284,741156,153
2024-11-13$93.28$96.007.8%2.4%7.2%31.0%8.5%0.2%0.6%-115.1M541.2M-2.9M1.5519.395,4458,451289,158156,342
2024-11-14$93.28$96.007.9%2.4%7.1%33.4%8.6%0.1%0.7%-141.5M550.5M-3.0M0.2621.015,4361,408291,047161,378
2024-11-15$93.38$96.008.1%2.5%7.1%38.2%8.6%-0.0%0.7%-118.4M487.2M-2.9M8.3318.351,65913,825294,206158,447
2024-11-18$93.50$96.007.8%2.3%6.8%31.5%8.1%0.1%-0.1%-42.2M422.8M-2.8M1.0222.235,7225,822205,022138,267
2024-11-19$93.69$96.008.0%2.3%6.8%35.0%8.1%-0.3%-0.3%-35.7M364.5M-3.0M0.2223.081,588350208,731143,462
2024-11-20$93.62$96.008.0%2.3%6.8%36.8%8.3%-0.1%-0.3%-47.1M399.6M-2.8M0.2927.36755218209,611143,660
2024-11-21$93.53$96.008.0%2.3%6.7%35.1%8.2%-0.1%-0.2%-46.6M405.8M-2.8M0.1122.361,849197209,826143,649
2024-11-22$93.62$96.007.6%2.2%6.7%27.0%7.7%-0.4%-0.2%-48.1M393.0M-2.7M1.3871.471,0921,504211,172143,804
2024-11-25$94.59$96.007.4%2.2%7.8%24.3%7.9%-0.2%-0.1%-19.5M193.3M-2.8M0.6726.012,2171,493209,759142,419
2024-11-26$94.41$96.007.4%2.3%7.8%24.2%7.9%0.1%-0.1%-30.5M234.8M-2.6M0.2827.999,6072,735210,381142,744
2024-11-27$94.70$96.007.8%2.3%7.9%32.7%7.9%-8.2%4.4%-6.4M109.2M-2.9M2.4932.781,1792,931218,768145,270
2024-11-29$95.13$96.007.3%2.2%8.0%20.9%8.1%-0.3%-0.5%8.3M28.0M-2.8M3.5030.122,2637,916218,730144,733