GOVT Options History — March 2018

In March 2018, GOVT traded between $24.48 and $24.71. ATM implied volatility averaged 83.1%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 80.1% (HV 20d: 2.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 7.00.

Notable Days

2018-03-21: Highest Volume — 25 contracts
2018-03-14: Largest IV spike — 383.2% change
2018-03-08: Highest IV Rank — 75.7%
2018-03-29: Largest Expected Move — 29.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.57	$24.48	$24.71	$24.58	$24.71
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	83.1%	16.6%	111.8%	74.0%	103.7%
Expected Move	22.2%	2.1%	29.7%	21.2%	29.7%
HV 20d	2.9%	2.5%	4.1%	4.1%	2.8%
HV 60d	3.1%	3.0%	3.2%	3.1%	3.2%
IV Rank	55.6%	9.3%	75.7%	49.3%	70.1%
IV Percentile	88.6%	5.8%	99.4%	94.5%	97.8%
Term Structure	-27.8%	-74.9%	61.1%	-59.6%	-36.1%
VWIV	62.5%	55.0%	70.1%	55.0%	70.1%
Skew 25d	6.2%	-142.3%	25.3%	-39.4%	25.3%
Skew 10d	14.5%	-21.7%	25.3%	-21.7%	25.3%
Call IV 25d	84.7%	4.0%	174.5%	56.2%	114.5%
Put IV 25d	90.9%	7.6%	139.8%	16.8%	139.8%
Bid-Ask Spread %	177.87	62.13	195.34	143.54	186.21
Gamma HHI	0.74	0.36	1.00	0.36	1.00
Net GEX	-623	-1.4K	-177	-252	-984
Net DEX	12.1K	4.3K	25.4K	6.7K	24.6K
Net VEX	-56	-109	-32	-41	-103
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.00	7.00	7.00	7.00	7.00
Total Volume	13.381	5	25	8	25
Total OI	12.429	5	25	8	25

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
2018-03-01	$24.58	$25.00	74.0%	21.2%	4.1%	49.3%	55.0%	-39.4%	-59.6%	-252	6.7K	-41	7.00	143.54	1	7	1	7
2018-03-02	$24.51	$25.00	84.5%	24.2%	3.9%	56.7%	70.1%	-142.3%	-63.9%	-230	6.2K	-41	7.00	161.98	1	7	1	7
2018-03-05	$24.49	$0.00	95.4%	21.1%	3.8%	64.2%	0.0%	14.9%	-23.1%	-233	6.3K	-40	7.00	192.05	1	7	1	7
2018-03-06	$24.51	$0.00	100.0%	20.9%	3.1%	67.5%	0.0%	15.3%	-25.6%	-233	6.3K	-40	7.00	195.34	1	7	1	7
2018-03-07	$24.50	$0.00	105.4%	21.6%	2.9%	71.2%	0.0%	15.3%	-24.2%	-246	6.9K	-39	7.00	193.83	1	7	1	7
2018-03-08	$24.53	$0.00	111.8%	21.3%	2.8%	75.7%	0.0%	15.9%	-74.9%	-638	5.3K	-37	7.00	194.31	1	7	1	7
2018-03-09	$24.48	$0.00	110.2%	22.1%	2.8%	74.6%	0.0%	15.4%	-25.5%	-265	7.2K	-38	7.00	192.55	1	7	1	7
2018-03-12	$24.52	$0.00	35.5%	22.4%	2.9%	22.5%	0.0%	16.5%	-29.7%	-785	9.3K	-36	7.00	191.69	1	7	1	7
2018-03-13	$24.55	$0.00	16.6%	2.1%	2.9%	9.3%	0.0%	3.6%	-0.6%	-1.1K	8.6K	-34	7.00	62.13	1	7	1	7
2018-03-14	$24.61	$0.00	80.2%	23.0%	3.0%	53.6%	0.0%	18.3%	-31.0%	-936	9.0K	-35	7.00	194.95	1	7	1	7
2018-03-15	$24.60	$0.00	41.0%	11.8%	2.6%	26.3%	0.0%	2.0%	-0.6%	-957	9.1K	-33	7.00	108.72	1	7	1	7
2018-03-16	$24.58	$0.00	82.5%	23.6%	2.7%	55.2%	0.0%	18.3%	-32.8%	-177	9.8K	-34	7.00	194.20	1	7	1	7
2018-03-19	$24.56	$0.00	43.5%	12.5%	2.6%	28.0%	0.0%	3.4%	61.1%	-465	4.3K	-32	0.00	190.93	0	5	0	5
2018-03-20	$24.52	$0.00	87.7%	25.1%	2.6%	58.9%	0.0%	18.4%	-25.4%	-185	5.5K	-33	0.00	194.97	0	5	0	5
2018-03-21	$24.53	$0.00	89.1%	25.6%	2.5%	59.9%	0.0%	18.9%	-38.1%	-219	5.5K	-33	0.00	184.43	0	25	0	5
2018-03-22	$24.61	$0.00	90.5%	26.0%	2.7%	60.8%	0.0%	20.4%	-27.1%	-898	24.9K	-109	0.00	184.90	0	25	0	25
2018-03-23	$24.63	$0.00	92.1%	26.4%	2.6%	61.9%	0.0%	21.2%	-28.1%	-1.0K	25.4K	-108	0.00	192.05	0	25	0	25
2018-03-26	$24.59	$0.00	99.5%	28.5%	2.6%	67.1%	0.0%	21.6%	-31.9%	-976	25.0K	-106	0.00	186.07	0	25	0	25
2018-03-27	$24.67	$0.00	99.4%	28.5%	2.8%	67.0%	0.0%	23.6%	-33.0%	-1.4K	24.5K	-104	0.00	194.99	0	25	0	25
2018-03-28	$24.65	$0.00	101.6%	29.1%	2.7%	68.5%	0.0%	23.7%	-34.7%	-914	24.8K	-104	0.00	195.32	0	25	0	25
2018-03-29	$24.71	$0.00	103.7%	29.7%	2.8%	70.1%	0.0%	25.3%	-36.1%	-984	24.6K	-103	0.00	186.21	0	25	0	25