GOVT Options History — January 2018 In January 2018, GOVT traded between $24.75 and $25.05. ATM implied volatility averaged 37.6%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 35.0% (HV 20d: 2.7%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2018-01-02 : Highest Volume — 1 contracts2018-01-23 : Largest IV spike — 194.6% change2018-01-23 : Highest IV Rank — 95.4%2018-01-23 : Largest Expected Move — 28.4%Monthly Statistics Metric Avg Min Max Open Close Price $24.90 $24.75 $25.05 $25.03 $24.75 ATM IV 37.6% 18.8% 99.1% 38.9% 42.7% Expected Move 9.8% 5.4% 28.4% 11.2% 12.2% HV 20d 2.7% 2.3% 3.0% 2.9% 2.3% HV 60d 2.7% 2.6% 2.8% 2.7% 2.6% IV Rank 34.1% 15.5% 95.4% 37.4% 39.2% IV Percentile 64.6% 20.1% 99.3% 81.7% 82.6% Term Structure -11.3% -32.3% -3.5% -13.8% -15.1% Skew 25d 0.3% -8.0% 7.7% 0.5% 0.1% Skew 10d 2.5% -0.8% 7.7% 5.4% 0.4% Call IV 25d 45.8% 15.2% 114.6% 54.6% 57.3% Put IV 25d 46.1% 15.8% 122.3% 55.1% 57.3% Bid-Ask Spread % 185.46 155.30 195.37 187.38 188.16 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 90 42 159 92 85 Net DEX -906 -1.2K -394 -973 -864 Net VEX -4 -4 -3 -4 -3 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 1 1 1 1 Total OI 1 1 1 1 1
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 2018-01-02 $25.03 $0.00 38.9% 11.2% 2.9% 0.0% 0.0% 0.5% -13.8% 92 -973 -4 0.00 187.38 1 0 1 0 2018-01-03 $25.05 $0.00 39.5% 11.3% 2.9% 0.0% 0.0% 0.5% -13.4% 91 -980 -4 0.00 188.01 1 0 1 0 2018-01-04 $25.04 $0.00 40.8% 7.7% 2.8% 37.4% 0.0% 0.3% -4.5% 78 -1.0K -4 0.00 174.04 1 0 1 0 2018-01-05 $25.01 $0.00 41.6% 7.7% 2.8% 38.2% 0.0% 0.3% -4.7% 92 -959 -4 0.00 190.19 1 0 1 0 2018-01-08 $25.01 $0.00 46.3% 8.0% 2.7% 42.8% 0.0% 0.3% -5.3% 92 -957 -4 0.00 187.31 1 0 1 0 2018-01-09 $24.92 $0.00 49.3% 7.8% 3.0% 45.9% 0.0% 0.2% -5.4% 91 -924 -4 0.00 190.14 1 0 1 0 2018-01-10 $24.91 $0.00 28.4% 8.1% 3.0% 25.0% 0.0% 0.2% -5.7% 81 -968 -4 0.00 190.47 1 0 1 0 2018-01-11 $24.94 $0.00 28.4% 8.1% 3.0% 25.0% 0.0% 0.2% -5.8% 86 -953 -4 0.00 190.23 1 0 1 0 2018-01-12 $24.94 $0.00 28.8% 8.3% 2.7% 25.4% 0.0% 0.2% -6.0% 79 -992 -4 0.00 190.23 1 0 1 0 2018-01-16 $24.96 $0.00 19.2% 5.5% 2.8% 15.9% 0.0% -8.0% -26.4% 159 -394 -3 0.00 184.38 1 0 1 0 2018-01-17 $24.93 $0.00 18.8% 5.4% 2.8% 15.5% 0.0% 0.4% -26.1% 105 -845 -4 0.00 168.05 1 0 1 0 2018-01-18 $24.86 $0.00 31.2% 8.9% 2.8% 27.8% 0.0% 0.2% -7.6% 91 -888 -4 0.00 185.21 1 0 1 0 2018-01-19 $24.82 $0.00 32.2% 9.2% 2.5% 28.9% 0.0% 2.5% -8.1% 81 -927 -4 0.00 189.99 1 0 1 0 2018-01-22 $24.82 $0.00 33.6% 9.6% 2.4% 30.2% 0.0% 0.1% -9.3% 84 -909 -4 0.00 188.91 1 0 1 0 2018-01-23 $24.87 $0.00 99.1% 28.4% 2.6% 95.4% 0.0% 7.7% -32.3% 42 -1.2K -4 0.00 195.37 1 0 1 0 2018-01-24 $24.83 $0.00 34.5% 9.9% 2.6% 31.2% 0.0% 0.2% -9.2% 84 -914 -3 0.00 185.05 1 0 1 0 2018-01-25 $24.87 $0.00 35.3% 10.1% 2.7% 31.9% 0.0% 0.2% -10.2% 85 -926 -4 0.00 188.19 1 0 1 0 2018-01-26 $24.83 $0.00 36.2% 10.4% 2.4% 32.8% 0.0% 0.2% -11.0% 85 -903 -3 0.00 188.84 1 0 1 0 2018-01-29 $24.79 $0.00 24.8% 7.1% 2.4% 21.5% 0.0% 0.6% -3.5% 116 -670 -3 0.00 155.30 1 0 1 0 2018-01-30 $24.75 $0.00 40.8% 11.7% 2.4% 37.4% 0.0% 0.0% -14.2% 86 -858 -3 0.00 189.32 1 0 1 0 2018-01-31 $24.75 $0.00 42.7% 12.2% 2.3% 39.2% 0.0% 0.1% -15.1% 85 -864 -3 0.00 188.16 1 0 1 0
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