GOVT Options History — October 2017 In October 2017, GOVT traded between $25.06 and $25.29. ATM implied volatility averaged 24.0%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 21.5% (HV 20d: 2.5%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2017-10-02 : Highest Volume — 2 contracts2017-10-24 : Largest IV spike — 699.5% change2017-10-02 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $25.19 $25.06 $25.29 $25.19 $25.17 ATM IV 24.0% 4.3% 38.2% 38.2% 21.2% Expected Move 6.4% 1.2% 10.9% 10.9% 6.1% HV 20d 2.5% 2.1% 3.5% 3.5% 2.6% HV 60d 3.0% 2.8% 3.0% 3.0% 2.9% Term Structure -5.8% -17.4% 20.6% -16.6% -12.4% Skew 25d -1.0% -20.0% 3.1% 3.1% 2.2% Skew 10d 1.7% -37.9% 8.0% 8.0% 7.9% Call IV 25d 33.4% 4.8% 51.2% 51.2% 49.4% Put IV 25d 32.4% 4.8% 54.3% 54.3% 51.5% Bid-Ask Spread % 159.94 40.61 188.53 188.53 184.76 Gamma HHI 0.58 0.50 0.94 0.50 0.52 Net GEX 152 86 182 144 169 Net DEX -3.1K -3.6K -2.8K -3.1K -2.9K Net VEX -8 -10 -6 -9 -8 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 2 2 2 2 2 Total OI 2 2 2 2 2
Daily Data (22 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 2017-10-02 $25.19 $0.00 38.2% 10.9% 3.5% 0.0% 0.0% 3.1% -16.6% 144 -3.1K -9 0.00 188.53 2 0 2 0 2017-10-03 $25.21 $0.00 14.8% 4.2% 2.8% 0.0% 0.0% -3.2% 1.4% 159 -3.4K -7 0.00 178.11 2 0 2 0 2017-10-04 $25.21 $0.00 24.9% 7.1% 2.8% 0.0% 0.0% -2.3% -17.4% 143 -3.0K -10 0.00 136.18 2 0 2 0 2017-10-05 $25.19 $0.00 23.2% 7.8% 2.4% 0.0% 0.0% 1.8% -4.5% 167 -2.9K -9 0.00 186.62 2 0 2 0 2017-10-06 $25.17 $0.00 22.8% 7.6% 2.4% 0.0% 0.0% 1.4% -4.0% 151 -3.1K -10 0.00 184.72 2 0 2 0 2017-10-09 $25.19 $0.00 26.3% 1.2% 2.1% 0.0% 0.0% 1.1% -2.5% 130 -3.5K -7 0.00 51.94 2 0 2 0 2017-10-10 $25.20 $0.00 26.7% 1.8% 2.1% 0.0% 0.0% -4.5% 1.4% 166 -3.6K -6 0.00 131.25 2 0 2 0 2017-10-11 $25.20 $0.00 17.0% 4.9% 2.1% 0.0% 0.0% -19.4% -2.3% 162 -2.9K -9 0.00 177.95 2 0 2 0 2017-10-12 $25.22 $0.00 29.0% 8.3% 2.1% 0.0% 0.0% 1.7% -5.6% 148 -3.0K -9 0.00 186.19 2 0 2 0 2017-10-13 $25.29 $0.00 16.7% 4.8% 2.4% 0.0% 0.0% 1.9% -5.7% 166 -3.0K -9 0.00 186.20 2 0 2 0 2017-10-16 $25.26 $0.00 17.0% 4.9% 2.4% 0.0% 0.0% 2.0% -5.9% 148 -3.0K -9 0.00 185.07 2 0 2 0 2017-10-17 $25.25 $0.00 18.6% 5.3% 2.4% 0.0% 0.0% -20.0% -3.4% 164 -3.0K -9 0.00 178.71 2 0 2 0 2017-10-18 $25.20 $0.00 31.3% 9.0% 2.4% 0.0% 0.0% 1.4% -7.9% 169 -3.0K -8 0.00 175.25 2 0 2 0 2017-10-19 $25.24 $0.00 30.9% 8.9% 2.5% 0.0% 0.0% 2.8% -11.0% 86 -3.5K -6 0.00 183.69 2 0 2 0 2017-10-20 $25.15 $0.00 4.7% 1.4% 2.7% 0.0% 0.0% 1.3% -2.5% 114 -3.5K -6 0.00 44.91 2 0 2 0 2017-10-23 $25.17 $0.00 4.3% 1.2% 2.6% 0.0% 0.0% -0.7% 20.6% 161 -2.8K -9 0.00 40.61 2 0 2 0 2017-10-24 $25.12 $0.00 34.0% 9.7% 2.6% 0.0% 0.0% 2.5% -8.7% 156 -3.1K -9 0.00 181.25 2 0 2 0 2017-10-25 $25.09 $0.00 34.7% 10.0% 2.3% 0.0% 0.0% 1.8% -9.5% 155 -3.1K -9 0.00 185.38 2 0 2 0 2017-10-26 $25.06 $0.00 35.2% 10.1% 2.3% 0.0% 0.0% 2.3% -10.0% 156 -3.0K -9 0.00 185.37 2 0 2 0 2017-10-27 $25.12 $0.00 35.9% 10.3% 2.5% 0.0% 0.0% 1.8% -10.4% 158 -3.1K -9 0.00 182.65 2 0 2 0 2017-10-30 $25.18 $0.00 20.6% 5.9% 2.6% 0.0% 0.0% -1.3% -11.3% 182 -3.0K -8 0.00 183.35 2 0 2 0 2017-10-31 $25.17 $0.00 21.2% 6.1% 2.6% 0.0% 0.0% 2.2% -12.4% 169 -2.9K -8 0.00 184.76 2 0 2 0
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