GOVT Options History — July 2017

Name: GOVT Options Analytics - July 2017
Creator: Options Analysis Suite

In July 2017, GOVT traded between $25.12 and $25.34. ATM implied volatility averaged 26.4%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 23.6% (HV 20d: 2.8%). Net GEX was positive for 6 of 18 trading days. Term structure was in contango for 0 of 18 days. Put/call ratio averaged 0.00.

Notable Days

2017-07-21: Highest Volume — 1 contracts
2017-07-28: Largest IV spike — 797.0% change
2017-07-31: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.24	$25.12	$25.34	$25.15	$25.27
ATM IV	26.4%	4.0%	45.3%	45.0%	38.6%
Expected Move	7.0%	1.1%	11.1%	8.5%	11.1%
HV 20d	2.8%	2.7%	2.9%	2.9%	2.7%
Term Structure	-8.3%	-25.6%	-1.3%	-4.3%	-14.9%
Skew 25d	3.9%	-0.4%	30.4%	2.6%	3.1%
Skew 10d	10.2%	-0.4%	44.8%	8.5%	10.4%
Call IV 25d	32.7%	3.6%	51.4%	36.4%	51.4%
Put IV 25d	36.6%	6.8%	54.6%	39.0%	54.6%
Bid-Ask Spread %	148.16	13.58	166.01	166.01	160.71
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	19	0	64	0	59
Net DEX	-643	-2.0K	0	0	-1.9K
Net VEX	-2	-5	0	0	-5
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.389	0	1	0	1
Total OI	0.333	0	1	0	1

Daily Data (18 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Call OI
2017-07-06	$25.15	$0.00	45.0%	8.5%	0.0%	0.0%	0.0%	2.6%	-4.3%	0	0	0	166.01	0	0
2017-07-07	$25.12	$0.00	45.3%	8.6%	0.0%	0.0%	0.0%	2.4%	-4.6%	0	0	0	165.87	0	0
2017-07-10	$25.15	$0.00	35.2%	8.7%	0.0%	0.0%	0.0%	1.9%	-4.9%	0	0	0	165.47	0	0
2017-07-11	$25.16	$0.00	29.2%	8.9%	0.0%	0.0%	0.0%	2.5%	-5.1%	0	0	0	165.93	0	0
2017-07-12	$25.22	$0.00	31.3%	9.0%	0.0%	0.0%	0.0%	1.8%	-5.3%	0	0	0	165.64	0	0
2017-07-13	$25.18	$0.00	18.2%	5.2%	0.0%	0.0%	0.0%	2.6%	-5.5%	0	0	0	165.77	0	0
2017-07-14	$25.21	$0.00	29.8%	8.5%	0.0%	0.0%	0.0%	1.6%	-6.2%	0	0	0	160.34	0	0
2017-07-17	$25.23	$0.00	18.4%	5.3%	0.0%	0.0%	0.0%	6.3%	-25.6%	0	0	0	139.63	0	0
2017-07-18	$25.29	$0.00	17.7%	5.1%	0.0%	0.0%	0.0%	-0.4%	-5.4%	0	0	0	137.20	0	0
2017-07-19	$25.30	$0.00	18.0%	5.2%	0.0%	0.0%	0.0%	2.2%	-5.8%	0	0	0	164.16	0	0
2017-07-20	$25.31	$0.00	18.7%	5.4%	0.0%	0.0%	0.0%	2.2%	-6.6%	0	0	0	164.15	0	0
2017-07-21	$25.34	$0.00	32.3%	9.3%	0.0%	0.0%	0.0%	30.4%	-10.7%	0	0	0	153.49	1	0
2017-07-24	$25.32	$0.00	19.7%	5.6%	0.0%	0.0%	0.0%	2.0%	-13.6%	50	-2.0K	-5	105.04	1	1
2017-07-25	$25.21	$0.00	19.3%	5.5%	0.0%	0.0%	0.0%	2.3%	-9.0%	64	-1.9K	-5	152.27	1	1
2017-07-26	$25.27	$0.00	19.1%	5.5%	0.0%	0.0%	0.0%	2.2%	-7.6%	59	-1.9K	-5	159.68	1	1
2017-07-27	$25.24	$0.00	4.0%	1.1%	2.9%	0.0%	0.0%	1.3%	-1.3%	52	-2.0K	-5	13.58	1	1
2017-07-28	$25.27	$0.00	35.8%	10.3%	2.8%	0.0%	0.0%	3.0%	-12.7%	55	-1.8K	-5	161.97	1	1
2017-07-31	$25.27	$0.00	38.6%	11.1%	2.7%	0.0%	0.0%	3.1%	-14.9%	59	-1.9K	-5	160.71	1	1