GOVT Options History — February 2018

In February 2018, GOVT traded between $24.44 and $24.71. ATM implied volatility averaged 45.0%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 41.3% (HV 20d: 3.7%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 5.79.

Notable Days

2018-02-14: Highest Volume — 8 contracts
2018-02-26: Largest IV spike — 436.6% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-28: Largest Expected Move — 22.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.54	$24.44	$24.71	$24.63	$24.54
Max Pain	$25.53	$25.00	$26.00	$26.00	$25.00
ATM IV	45.0%	7.9%	146.7%	44.1%	79.0%
Expected Move	11.0%	2.3%	22.7%	8.0%	22.7%
HV 20d	3.7%	2.7%	4.0%	2.7%	4.0%
HV 60d	3.1%	2.8%	3.1%	2.8%	3.1%
IV Rank	30.4%	3.2%	100.0%	40.7%	52.8%
IV Percentile	69.3%	4.4%	100.0%	84.8%	95.7%
Term Structure	-14.9%	-56.4%	12.1%	-9.8%	-56.4%
VWIV	32.6%	10.1%	65.7%	13.2%	65.7%
Skew 25d	8.1%	-14.7%	32.9%	14.4%	-14.7%
Skew 10d	17.2%	4.5%	104.9%	8.8%	104.9%
Call IV 25d	58.7%	7.9%	164.4%	30.0%	164.4%
Put IV 25d	66.8%	23.5%	149.7%	44.5%	149.7%
Bid-Ask Spread %	137.43	11.30	166.69	141.57	160.21
Gamma HHI	0.62	0.38	1.00	1.00	0.46
Net GEX	-316	-1.0K	84	84	-241
Net DEX	4.8K	-817	8.6K	-817	6.8K
Net VEX	-36	-44	-3	-3	-41
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.79	0.00	7.00	0.00	7.00
Total Volume	6.789	1	8	1	8
Total OI	6.421	1	8	1	8

Daily Data (19 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
2018-02-01	$24.63	$26.00	44.1%	8.0%	2.7%	40.7%	13.2%	14.4%	-9.8%	84	-817	-3	0.00	141.57	1	0	1	0
2018-02-02	$24.57	$26.00	45.7%	8.1%	2.8%	42.3%	11.9%	17.0%	-9.5%	83	-794	-3	5.00	142.13	1	5	1	0
2018-02-05	$24.71	$26.00	146.7%	22.3%	3.6%	100.0%	11.6%	5.7%	-49.6%	-169	4.4K	-40	5.00	160.15	1	5	1	5
2018-02-06	$24.62	$26.00	52.5%	8.3%	3.8%	34.3%	34.7%	7.6%	-10.4%	-239	3.7K	-40	5.00	143.97	1	5	1	5
2018-02-07	$24.56	$26.00	29.7%	8.5%	3.7%	18.4%	35.6%	7.8%	-11.0%	-241	3.8K	-40	5.00	140.02	1	5	1	5
2018-02-08	$24.59	$26.00	30.9%	8.9%	3.7%	19.3%	33.5%	8.8%	-11.2%	-241	3.8K	-40	5.00	142.30	1	5	1	5
2018-02-09	$24.56	$26.00	31.0%	8.9%	3.7%	19.3%	25.7%	11.8%	-9.8%	-298	4.6K	-39	5.00	142.40	1	5	1	5
2018-02-12	$24.56	$26.00	32.4%	9.3%	3.7%	20.3%	11.5%	32.9%	-13.3%	-240	3.9K	-39	5.00	131.77	1	5	1	5
2018-02-13	$24.58	$26.00	21.0%	6.0%	3.7%	12.4%	12.7%	21.1%	-4.4%	-303	3.9K	-37	5.00	117.19	1	5	1	5
2018-02-14	$24.48	$26.00	41.2%	11.8%	3.9%	26.4%	45.9%	13.1%	-14.2%	-255	3.8K	-39	7.00	136.14	1	7	1	5
2018-02-15	$24.48	$25.00	34.0%	9.7%	3.8%	21.4%	36.5%	9.5%	-18.7%	-467	7.4K	-44	7.00	139.80	1	7	1	7
2018-02-16	$24.53	$25.00	34.2%	9.8%	3.9%	21.5%	36.8%	9.5%	-14.4%	-411	6.5K	-44	7.00	140.92	1	7	1	7
2018-02-20	$24.50	$25.00	37.4%	10.7%	3.9%	23.8%	40.2%	10.5%	-11.6%	-625	5.4K	-39	7.00	141.55	1	7	1	7
2018-02-21	$24.44	$25.00	36.1%	10.4%	3.8%	22.9%	38.0%	9.2%	-13.0%	-635	5.5K	-39	7.00	141.11	1	7	1	7
2018-02-22	$24.46	$25.00	67.5%	19.3%	3.9%	44.8%	55.8%	-12.2%	-47.1%	-242	6.8K	-43	7.00	166.69	1	7	1	7
2018-02-23	$24.52	$25.00	7.9%	2.3%	3.9%	3.2%	10.1%	15.6%	-2.4%	-1.0K	8.6K	-38	7.00	11.30	1	7	1	7
2018-02-26	$24.53	$25.00	42.5%	12.2%	4.0%	27.4%	60.7%	-14.5%	12.1%	-278	7.0K	-42	7.00	160.34	1	7	1	7
2018-02-27	$24.49	$25.00	41.4%	11.9%	4.0%	26.6%	39.8%	0.4%	11.5%	-258	7.2K	-42	7.00	151.53	1	7	1	7
2018-02-28	$24.54	$25.00	79.0%	22.7%	4.0%	52.8%	65.7%	-14.7%	-56.4%	-241	6.8K	-41	7.00	160.21	1	7	1	7