GOVT Options History — August 2017 In August 2017, GOVT traded between $25.28 and $25.51. ATM implied volatility averaged 30.4%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 27.7% (HV 20d: 2.7%). Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2017-08-08 : Highest Volume — 2 contracts2017-08-08 : Largest IV spike — 878.4% change2017-08-31 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $25.39 $25.28 $25.51 $25.29 $25.51 ATM IV 30.4% 3.3% 51.1% 21.5% 44.8% Expected Move 7.9% 0.9% 12.9% 6.2% 12.9% HV 20d 2.7% 2.4% 3.0% 2.7% 2.4% Term Structure -13.3% -37.8% 1.0% -11.6% -18.7% Skew 25d -0.6% -69.3% 30.6% -1.1% 3.2% Skew 10d 6.8% -19.3% 17.5% 6.9% 11.3% Call IV 25d 34.4% 4.2% 76.5% 48.2% 55.9% Put IV 25d 33.8% 5.6% 59.1% 47.1% 59.1% Bid-Ask Spread % 140.36 23.52 164.34 155.83 157.44 Gamma HHI 0.67 0.50 1.00 1.00 0.51 Net GEX 117 50 190 58 135 Net DEX -3.0K -3.7K -2.0K -2.2K -3.3K Net VEX -9 -13 -2 -4 -10 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 1.783 1 2 1 2 Total OI 1.739 1 2 1 2
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2017-08-01 $25.29 $0.00 21.5% 6.2% 2.7% 0.0% 0.0% -1.1% -11.6% 58 -2.2K -4 0.00 155.83 1 0 1 0 2017-08-02 $25.29 $0.00 25.3% 7.3% 2.6% 0.0% 0.0% 2.5% -16.8% 60 -2.2K -4 0.00 163.58 1 0 1 0 2017-08-03 $25.36 $0.00 42.8% 4.9% 2.7% 0.0% 0.0% -16.8% -5.7% 70 -2.0K -4 0.00 142.28 1 0 1 0 2017-08-04 $25.29 $0.00 24.3% 4.5% 2.8% 0.0% 0.0% 1.1% -25.4% 50 -2.3K -2 0.00 57.06 1 0 1 0 2017-08-07 $25.31 $0.00 5.2% 1.3% 2.8% 0.0% 0.0% 3.3% -1.1% 57 -2.1K -4 0.00 23.52 1 0 1 0 2017-08-08 $25.28 $0.00 51.1% 5.1% 2.9% 0.0% 0.0% -4.6% -6.7% 64 -2.0K -4 0.00 150.93 2 0 1 0 2017-08-09 $25.33 $0.00 17.0% 4.9% 2.8% 0.0% 0.0% 1.9% -9.4% 152 -3.0K -11 0.00 156.37 2 0 2 0 2017-08-10 $25.38 $0.00 28.8% 8.3% 2.8% 0.0% 0.0% 2.3% -9.3% 127 -3.2K -11 0.00 164.29 2 0 2 0 2017-08-11 $25.41 $0.00 29.2% 8.4% 2.8% 0.0% 0.0% 6.3% -18.0% 190 -3.5K -10 0.00 163.91 2 0 2 0 2017-08-14 $25.36 $0.00 43.3% 12.4% 2.9% 0.0% 0.0% -69.3% -37.8% 75 -2.9K -13 0.00 153.16 2 0 2 0 2017-08-15 $25.32 $0.00 3.3% 0.9% 2.9% 0.0% 0.0% 0.9% 1.0% 139 -3.4K -11 0.00 40.21 2 0 2 0 2017-08-16 $25.35 $0.00 31.6% 9.1% 2.9% 0.0% 0.0% 2.5% -11.9% 144 -3.0K -11 0.00 159.97 2 0 2 0 2017-08-17 $25.41 $0.00 32.1% 9.2% 3.0% 0.0% 0.0% 2.5% -12.1% 149 -3.1K -11 0.00 159.91 2 0 2 0 2017-08-18 $25.41 $0.00 32.6% 9.4% 3.0% 0.0% 0.0% 2.5% -12.9% 127 -3.2K -11 0.00 160.61 2 0 2 0 2017-08-21 $25.42 $0.00 19.8% 5.7% 3.0% 0.0% 0.0% 1.9% -11.2% 161 -3.3K -11 0.00 127.20 2 0 2 0 2017-08-22 $25.39 $0.00 22.0% 6.3% 2.5% 0.0% 0.0% 1.5% -10.9% 88 -3.7K -8 0.00 155.42 2 0 2 0 2017-08-23 $25.45 $0.00 36.0% 10.3% 2.5% 0.0% 0.0% 2.7% -15.0% 119 -3.5K -9 0.00 164.34 2 0 2 0 2017-08-24 $25.42 $0.00 36.8% 10.6% 2.5% 0.0% 0.0% 2.8% -16.9% 117 -3.2K -12 0.00 161.84 2 0 2 0 2017-08-25 $25.44 $0.00 37.7% 10.8% 2.5% 0.0% 0.0% 30.6% -16.0% 141 -3.2K -11 0.00 139.20 2 0 2 0 2017-08-28 $25.46 $0.00 40.7% 11.7% 2.5% 0.0% 0.0% 3.0% -15.7% 161 -3.2K -11 0.00 164.02 2 0 2 0 2017-08-29 $25.50 $0.00 41.8% 12.0% 2.5% 0.0% 0.0% 3.0% -15.1% 159 -3.2K -10 0.00 163.31 2 0 2 0 2017-08-30 $25.48 $0.00 31.0% 8.9% 2.6% 0.0% 0.0% 3.0% -8.4% 150 -3.3K -11 0.00 143.82 2 0 2 0 2017-08-31 $25.51 $0.00 44.8% 12.9% 2.4% 0.0% 0.0% 3.2% -18.7% 135 -3.3K -10 0.00 157.44 2 0 2 0
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