GOVT Options History — December 2017 In December 2017, GOVT traded between $24.98 and $25.21. ATM implied volatility averaged 41.9%. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 39.2% (HV 20d: 2.7%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2017-12-01 : Highest Volume — 2 contracts2017-12-07 : Largest IV spike — 1022.4% change2017-12-28 : Largest Expected Move — 29.7%Monthly Statistics Metric Avg Min Max Open Close Price $25.11 $24.98 $25.21 $25.15 $25.09 Max Pain $23.00 $23.00 $23.00 $23.00 $23.00 ATM IV 41.9% 5.0% 103.6% 42.7% 34.9% Expected Move 9.2% 1.3% 29.7% 12.2% 10.0% HV 20d 2.7% 2.4% 3.0% 2.7% 2.8% HV 60d 2.6% 2.5% 2.7% 2.6% 2.6% Term Structure -9.1% -34.7% -2.2% -17.5% -10.0% VWIV 68.8% 68.8% 68.8% 68.8% 68.8% Skew 25d 1.4% -18.1% 10.2% 3.5% 2.9% Skew 10d 4.2% -4.2% 11.2% 11.2% 5.8% Call IV 25d 41.0% 4.4% 118.4% 56.5% 47.7% Put IV 25d 42.4% 6.1% 128.5% 60.0% 50.6% Bid-Ask Spread % 179.74 45.70 195.71 162.27 188.53 Gamma HHI 0.78 0.50 1.00 0.50 1.00 Net GEX 109 34 157 135 95 Net DEX -2.2K -3.6K -952 -3.1K -987 Net VEX -5 -7 -4 -7 -4 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 1.55 1 2 2 1 Total OI 1.55 1 2 2 1
Daily Data (20 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 2017-12-01 $25.15 $23.00 42.7% 12.2% 2.7% 0.0% 68.8% 3.5% -17.5% 135 -3.1K -7 0.00 162.27 2 0 2 0 2017-12-04 $25.13 $0.00 25.8% 7.4% 2.7% 0.0% 0.0% 1.3% -6.2% 134 -3.3K -6 0.00 187.80 2 0 2 0 2017-12-05 $25.15 $0.00 49.8% 7.4% 2.7% 0.0% 0.0% 1.0% -6.2% 134 -3.1K -6 0.00 188.71 2 0 2 0 2017-12-06 $25.19 $0.00 5.0% 1.3% 2.7% 0.0% 0.0% 1.7% -2.2% 139 -3.4K -5 0.00 45.70 2 0 2 0 2017-12-07 $25.15 $0.00 55.7% 7.7% 2.8% 0.0% 0.0% 1.5% -7.2% 157 -3.0K -6 0.00 188.04 2 0 2 0 2017-12-08 $25.14 $0.00 58.6% 7.8% 2.8% 0.0% 0.0% 2.0% -6.3% 135 -3.1K -6 0.00 187.99 2 0 2 0 2017-12-11 $25.13 $0.00 77.6% 7.9% 2.5% 0.0% 0.0% 1.6% -7.6% 136 -3.1K -6 0.00 187.20 2 0 2 0 2017-12-12 $25.11 $0.00 88.3% 8.0% 2.5% 0.0% 0.0% 1.9% -6.7% 136 -3.1K -5 0.00 186.56 2 0 2 0 2017-12-13 $25.19 $0.00 28.0% 8.0% 2.7% 0.0% 0.0% 1.3% -7.9% 136 -3.2K -5 0.00 188.59 2 0 2 0 2017-12-14 $25.19 $0.00 28.4% 8.1% 2.6% 0.0% 0.0% 1.2% -8.2% 132 -3.0K -5 0.00 188.59 2 0 2 0 2017-12-15 $25.21 $0.00 28.8% 8.2% 2.4% 0.0% 0.0% 1.1% -8.6% 73 -3.6K -5 0.00 187.91 2 0 2 0 2017-12-18 $25.15 $0.00 18.3% 5.2% 2.5% 0.0% 0.0% -18.1% -3.8% 73 -1.0K -5 0.00 182.65 1 0 1 0 2017-12-19 $25.05 $0.00 30.2% 8.7% 2.9% 0.0% 0.0% 2.2% -7.5% 72 -1.0K -5 0.00 185.88 1 0 1 0 2017-12-20 $24.99 $0.00 30.7% 8.8% 3.0% 0.0% 0.0% 2.2% -7.2% 90 -963 -5 0.00 189.53 1 0 1 0 2017-12-21 $24.98 $0.00 31.2% 8.9% 2.8% 0.0% 0.0% 2.3% -7.5% 90 -959 -5 0.00 185.44 1 0 1 0 2017-12-22 $24.99 $0.00 31.3% 9.0% 2.8% 0.0% 0.0% 2.3% -7.9% 92 -952 -5 0.00 189.91 1 0 1 0 2017-12-26 $25.01 $0.00 33.9% 9.7% 2.7% 0.0% 0.0% 2.5% -9.5% 92 -965 -5 0.00 189.19 1 0 1 0 2017-12-27 $25.09 $0.00 34.8% 10.0% 3.0% 0.0% 0.0% 2.6% -9.6% 93 -1.0K -4 0.00 188.60 1 0 1 0 2017-12-28 $25.10 $0.00 103.6% 29.7% 3.0% 0.0% 0.0% 10.2% -34.7% 34 -1.3K -5 0.00 195.71 1 0 1 0 2017-12-29 $25.09 $0.00 34.9% 10.0% 2.8% 0.0% 0.0% 2.9% -10.0% 95 -987 -4 0.00 188.53 1 0 1 0
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