IEF Options History — December 2024

In December 2024, IEF traded between $92.09 and $95.25. ATM implied volatility averaged 6.9%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 0.7% (HV 20d: 6.2%). Max pain ranged from $93.00 to $96.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.65.

Notable Days

  • 2024-12-17: Highest Volume — 96,958 contracts
  • 2024-12-06: Largest IV drop — 9.2% change
  • 2024-12-18: Highest IV Rank — 23.6%
  • 2024-12-02: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.60$92.09$95.25$94.93$92.46
Max Pain$93.90$93.00$96.00$96.00$93.00
ATM IV6.9%6.3%7.4%7.2%7.2%
Expected Move2.1%1.9%2.3%2.3%2.1%
HV 20d6.2%5.2%7.4%7.2%6.2%
HV 60d6.3%6.0%6.6%6.0%6.4%
IV Rank14.4%0.5%23.6%18.9%19.2%
IV Percentile16.6%0.4%34.1%19.8%27.4%
Term Structure0.2%-0.7%0.6%0.4%0.6%
VWIV7.3%6.3%8.1%8.1%7.3%
Skew 25d-0.1%-0.6%0.4%-0.4%-0.3%
Skew 10d-0.2%-3.3%1.2%-0.6%-0.5%
Call IV 25d7.1%6.3%7.6%7.5%7.6%
Put IV 25d7.0%6.1%7.7%7.2%7.3%
Bid-Ask Spread %25.5711.2938.0125.2534.06
Gamma HHI0.170.130.430.150.13
Net GEX-18.4M-163.3M15.6M-4.8M8.9M
Net DEX163.4M-2.6M534.0M54.4M18.9M
Net VEX-2.5M-3.1M-2.0M-2.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.1420.110.850.32
Total Volume12,281.7141,20096,9585,7165,935
Total OI346,986.429243,465422,789362,923255,182

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-12-02$94.93$96.007.2%2.3%7.2%18.9%8.1%-0.4%0.4%-4.8M54.4M-2.9M0.8525.253,0962,620217,607145,316
2024-12-03$94.59$96.006.9%2.3%7.1%13.5%7.9%-0.6%0.5%-10.6M154.7M-2.7M20.1129.4278815,845218,292146,619
2024-12-04$94.94$96.007.0%2.3%7.2%14.6%7.9%-0.4%0.4%-5.5M73.7M-2.9M0.1438.016,998992218,462162,037
2024-12-05$94.98$94.007.0%2.1%6.0%16.2%7.6%-0.4%0.2%-387.3K42.8M-2.9M4.6123.552,33810,775224,823162,743
2024-12-06$95.25$94.006.4%2.0%5.5%2.9%7.1%-0.3%0.6%-125.7K-1.8M-3.1M2.5320.425,10512,924231,415173,302
2024-12-09$94.97$94.006.6%2.0%5.7%7.9%7.3%-0.2%0.4%-13.3M112.7M-2.9M0.5525.06772428231,079181,976
2024-12-10$94.82$94.006.7%2.0%5.6%8.7%7.2%-0.2%0.3%-7.2M186.4M-2.6M3.2828.711,0773,531231,619182,106
2024-12-11$94.52$94.006.3%1.9%5.2%0.5%6.7%-0.1%0.3%-9.8M317.1M-2.6M0.2531.015,7671,417232,184185,622
2024-12-12$94.13$94.006.3%1.9%5.4%2.1%6.7%-0.4%0.3%-39.6M432.3M-2.4M0.9632.575,0914,907230,262186,422
2024-12-13$93.68$94.006.8%2.0%5.7%11.0%7.3%0.1%0.4%-35.1M534.0M-2.3M1.2522.263,2564,067234,786188,003
2024-12-16$93.73$94.007.3%2.1%5.7%21.5%7.8%0.1%0.1%-448.8K444.7M-2.5M0.7018.781,182822236,010178,254
2024-12-17$93.70$94.007.4%2.1%5.7%22.9%7.5%-0.2%-0.2%-14.7M434.9M-2.4M0.9935.2348,67748,281236,725178,246
2024-12-18$92.69$94.007.4%2.1%6.9%23.6%7.4%0.4%0.1%-97.5M177.5M-2.4M0.5524.884,2342,321194,832133,538
2024-12-19$92.25$93.007.3%2.1%7.0%21.0%7.7%0.1%0.1%-163.3M152.8M-2.2M6.8016.543,13721,337197,981122,805
2024-12-20$92.63$93.006.9%2.0%7.2%12.6%7.0%0.1%-0.1%-11.5M99.4M-2.3M0.5011.292,9001,444198,618137,205
2024-12-23$92.19$93.007.0%2.0%7.4%14.5%6.3%0.1%0.1%-2.7M78.7M-2.2M0.7914.221,3331,059150,24995,848
2024-12-24$92.16$93.007.0%2.0%6.1%15.2%7.6%-0.1%-0.7%991.0K54.6M-2.1M5.6826.801,1176,350151,35494,487
2024-12-26$92.31$93.007.1%2.1%6.2%18.2%7.4%0.0%0.2%6.7M10.6M-2.2M0.2320.061,083253151,82691,639
2024-12-27$92.09$93.007.2%2.1%6.0%19.1%7.2%-0.3%0.2%-2.1M54.6M-2.0M4.2628.952,0218,617152,64991,652
2024-12-30$92.62$93.007.1%2.1%6.2%18.3%7.4%-0.0%0.6%15.6M-2.6M-2.1M0.3229.953,050969152,770100,170
2024-12-31$92.46$93.007.2%2.1%6.2%19.2%7.3%-0.3%0.6%8.9M18.9M-2.0M0.3234.064,4971,438155,153100,029