GOVT Options History — September 2017

In September 2017, GOVT traded between $25.24 and $25.58. ATM implied volatility averaged 39.4%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 35.9% (HV 20d: 3.5%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2017-09-01: Highest Volume — 2 contracts
  • 2017-09-14: Largest IV spike — 364.7% change
  • 2017-09-14: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.39$25.24$25.58$25.41$25.24
ATM IV39.4%6.3%97.0%44.9%35.8%
Expected Move7.3%1.8%22.9%12.9%10.3%
HV 20d3.5%2.7%3.7%2.7%3.7%
HV 60d3.0%3.0%3.1%3.0%3.0%
Term Structure-9.1%-25.9%14.1%-19.2%-12.9%
Skew 25d0.6%-22.6%14.2%3.3%-18.2%
Skew 10d6.7%-23.4%14.2%11.1%8.3%
Call IV 25d37.8%5.4%88.8%56.3%46.2%
Put IV 25d38.4%6.8%103.0%59.6%28.0%
Bid-Ask Spread %174.0199.55189.10162.54180.80
Gamma HHI0.520.500.650.500.50
Net GEX14073169129147
Net DEX-3.2K-3.6K-3.0K-3.2K-3.1K
Net VEX-10-12-8-11-10
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume22222
Total OI22222

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$25.41$0.0044.9%12.9%2.7%0.0%0.0%3.3%-19.2%129-3.2K-110.00162.542020
2017-09-05$25.55$0.0053.4%7.9%3.2%0.0%0.0%2.1%-5.3%169-3.2K-100.00184.752020
2017-09-06$25.50$0.0056.6%7.9%3.3%0.0%0.0%4.0%-9.8%107-3.6K-80.00177.022020
2017-09-07$25.58$0.0058.9%7.9%3.4%0.0%0.0%4.3%-5.3%150-3.2K-100.00160.002020
2017-09-08$25.57$0.0058.5%5.1%3.4%0.0%0.0%2.7%14.1%153-3.2K-100.00186.972020
2017-09-11$25.47$0.0085.0%4.9%3.7%0.0%0.0%0.8%-7.9%92-3.3K-110.00170.752020
2017-09-12$25.43$0.0097.0%5.0%3.7%0.0%0.0%1.9%-7.5%129-3.1K-110.00189.102020
2017-09-13$25.39$0.0017.2%4.9%3.7%0.0%0.0%1.9%-8.1%152-3.1K-100.00184.442020
2017-09-14$25.40$0.0079.9%22.9%3.6%0.0%0.0%14.2%-25.9%73-3.0K-120.00176.222020
2017-09-15$25.38$0.0029.2%8.4%3.5%0.0%0.0%3.6%-24.4%124-3.2K-100.00187.662020
2017-09-18$25.35$0.0017.7%5.1%3.6%0.0%0.0%-22.6%-7.1%140-3.2K-100.00188.042020
2017-09-19$25.33$0.0018.5%5.3%3.6%0.0%0.0%2.0%-7.4%156-3.1K-100.00188.132020
2017-09-20$25.29$0.0017.5%5.0%3.6%0.0%0.0%1.9%-5.8%146-3.1K-100.00183.262020
2017-09-21$25.29$0.0031.8%9.1%3.5%0.0%0.0%3.1%-9.6%159-3.0K-100.00187.412020
2017-09-22$25.32$0.006.3%1.8%3.5%0.0%0.0%-1.0%-2.3%165-3.2K-100.00125.692020
2017-09-25$25.38$0.0020.0%5.7%3.6%0.0%0.0%1.4%-12.7%148-3.0K-90.0099.552020
2017-09-26$25.36$0.0020.0%5.7%3.6%0.0%0.0%2.0%-8.0%151-3.1K-100.00183.232020
2017-09-27$25.26$0.0019.6%5.6%3.7%0.0%0.0%2.1%-8.4%147-3.1K-100.00181.952020
2017-09-28$25.26$0.0019.5%5.6%3.7%0.0%0.0%2.1%-9.2%163-3.0K-90.00182.702020
2017-09-29$25.24$0.0035.8%10.3%3.7%0.0%0.0%-18.2%-12.9%147-3.1K-100.00180.802020