Nanofluids are heat transfer liquids with dispersed nanoparticles. Ultrafine nano sized particles, having diameter <100 nm, are suspended in a conventional base fluid to constitute a nanofluid. The present study highlights the synthesis of Fe3O4 nanoparticles (IONPs) and their application in heat transfer phenomenon. For synthesis, a revised version of co-precipitation technique was used to produce pure IONPs and Oleic acid coating was done by physical immobilization method to prevent oxidation of iron and to make the nanoparticles hydrophobic in nature. Poly alpha olefin based nanofluid was prepared in five different volume fractions of 0.1wt %, 0.2wt %, 0.3wt.%, 0.4wt.% and 0.5wt.%. The XRD of the coated and uncoated IONPs was done for phase identification and crystalline structure. The compositional analysis of the coated and uncoated IONPs and confirmation of polymer coating was done by using Fourier-Transform Infrared Spectroscopy (FTIR). The thermal conductivity of the synthesized nanofluid was measured by Thermal Constants analyser technique. The thermal conductivity of the synthesized nanofluid was found to be increased than the pure Poly Alpha Olefin Oil.