It's up to you really. IUI may be an option - it's less invasive and cheaper but also has a lower success rate. We had the option of trying IUI first as DH's sperm was 'borderline', but went straight to IVF as we hoped it would be quicker.

ETA - if you ovulate, the there has to be an egg. It is possible that your ovaries aren't doing quite what they should in the luteal phase, however, hormone-wise. Clomid or OI can help with this.