GOVT Options History — November 2017 In November 2017, GOVT traded between $25.10 and $25.24. ATM implied volatility averaged 24.6%. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 22.0% (HV 20d: 2.6%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2017-11-01 : Highest Volume — 2 contracts2017-11-07 : Largest IV spike — 92.2% change2017-11-30 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $25.18 $25.10 $25.24 $25.16 $25.10 Max Pain $23.00 $23.00 $23.00 $23.00 $23.00 ATM IV 24.6% 13.4% 50.4% 21.9% 40.7% Expected Move 6.6% 3.5% 11.7% 6.3% 11.7% HV 20d 2.6% 2.4% 2.8% 2.6% 2.6% HV 60d 2.9% 2.6% 2.9% 2.9% 2.6% Term Structure -10.0% -16.2% 7.6% -13.4% -16.2% VWIV 49.0% 33.1% 64.5% 42.0% 64.5% Skew 25d -1.4% -20.5% 15.1% 2.2% 2.7% Skew 10d 5.1% -7.6% 22.8% 7.9% 10.9% Call IV 25d 38.8% 19.4% 56.1% 50.8% 56.1% Put IV 25d 37.4% 9.1% 58.7% 53.0% 58.7% Bid-Ask Spread % 159.18 135.54 184.35 184.35 162.19 Gamma HHI 0.65 0.50 1.00 0.52 0.50 Net GEX 142 88 172 170 131 Net DEX -3.2K -3.5K -2.9K -2.9K -3.1K Net VEX -7 -8 -5 -8 -7 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 (21 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 2017-11-01 $25.16 $0.00 21.9% 6.3% 2.6% 0.0% 0.0% 2.2% -13.4% 170 -2.9K -8 0.00 184.35 2 0 2 0 2017-11-02 $25.18 $23.00 22.6% 7.7% 2.6% 0.0% 42.0% 1.3% -8.1% 172 -3.0K -8 0.00 163.34 2 0 2 0 2017-11-03 $25.21 $23.00 23.3% 7.7% 2.6% 0.0% 41.7% 1.7% -7.8% 168 -3.0K -8 0.00 162.81 2 0 2 0 2017-11-06 $25.23 $23.00 26.2% 7.9% 2.6% 0.0% 43.7% 1.1% -9.3% 157 -3.1K -8 0.00 161.15 2 0 2 0 2017-11-07 $25.24 $23.00 50.4% 3.5% 2.6% 0.0% 0.0% -8.9% -4.8% 150 -3.3K -5 0.00 145.39 2 0 2 0 2017-11-08 $25.22 $23.00 17.5% 5.0% 2.6% 0.0% 40.8% -20.1% -7.7% 98 -3.5K -6 0.00 159.08 2 0 2 0 2017-11-09 $25.21 $23.00 29.0% 8.3% 2.6% 0.0% 45.0% 1.8% -9.8% 169 -3.0K -7 0.00 162.32 2 0 2 0 2017-11-10 $25.12 $23.00 29.0% 8.3% 2.7% 0.0% 44.5% 2.0% -10.0% 168 -2.9K -7 0.00 161.44 2 0 2 0 2017-11-13 $25.12 $23.00 30.2% 8.7% 2.7% 0.0% 46.8% 1.9% -11.6% 154 -3.0K -7 0.00 160.25 2 0 2 0 2017-11-14 $25.15 $23.00 17.0% 4.9% 2.7% 0.0% 0.0% 15.1% 7.6% 102 -3.4K -5 0.00 135.54 2 0 2 0 2017-11-15 $25.21 $23.00 18.5% 5.3% 2.8% 0.0% 42.2% -20.5% -7.5% 105 -3.4K -5 0.00 158.96 2 0 2 0 2017-11-16 $25.15 $23.00 31.4% 9.0% 2.8% 0.0% 48.5% 2.0% -12.5% 153 -3.0K -7 0.00 162.21 2 0 2 0 2017-11-17 $25.19 $23.00 13.4% 3.8% 2.6% 0.0% 0.0% -5.6% -11.9% 134 -3.4K -5 0.00 161.37 2 0 2 0 2017-11-20 $25.17 $23.00 20.3% 5.8% 2.6% 0.0% 48.3% -20.3% -8.3% 88 -3.5K -5 0.00 159.67 2 0 2 0 2017-11-21 $25.17 $23.00 19.4% 5.6% 2.5% 0.0% 33.1% 2.3% -11.0% 167 -3.0K -7 0.00 158.19 2 0 2 0 2017-11-22 $25.23 $23.00 19.2% 5.5% 2.6% 0.0% 52.4% 2.2% -9.8% 168 -3.0K -7 0.00 159.30 2 0 2 0 2017-11-24 $25.19 $23.00 20.1% 5.8% 2.6% 0.0% 55.3% 2.2% -15.6% 132 -3.3K -7 0.00 143.34 2 0 2 0 2017-11-27 $25.22 $23.00 21.7% 6.2% 2.5% 0.0% 59.4% 2.3% -13.4% 131 -3.2K -7 0.00 160.11 2 0 2 0 2017-11-28 $25.21 $23.00 21.7% 6.2% 2.4% 0.0% 61.2% 2.3% -13.8% 132 -3.2K -6 0.00 161.02 2 0 2 0 2017-11-29 $25.16 $23.00 22.5% 6.5% 2.5% 0.0% 64.1% 2.4% -15.1% 133 -3.2K -6 0.00 160.81 2 0 2 0 2017-11-30 $25.10 $23.00 40.7% 11.7% 2.6% 0.0% 64.5% 2.7% -16.2% 131 -3.1K -7 0.00 162.19 2 0 2 0
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