GOVT Options History — May 2018 In May 2018, GOVT traded between $24.27 and $24.72. ATM implied volatility averaged 85.5%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 82.5% (HV 20d: 3.0%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.
Notable Days 2018-05-01 : Highest Volume — 25 contracts2018-05-30 : Largest IV spike — 579.8% change2018-05-07 : Highest IV Rank — 100.0%2018-05-31 : Largest Expected Move — 36.0%Monthly Statistics Metric Avg Min Max Open Close Price $24.43 $24.27 $24.72 $24.40 $24.66 Max Pain $24.00 $24.00 $24.00 $24.00 $24.00 ATM IV 85.5% 17.9% 157.8% 121.2% 125.7% Expected Move 20.2% 5.1% 36.0% 34.7% 36.0% HV 20d 3.0% 2.7% 4.3% 2.9% 4.3% HV 60d 2.9% 2.8% 3.4% 3.2% 3.4% IV Rank 54.6% 9.5% 100.0% 82.2% 79.2% IV Percentile 80.5% 9.8% 100.0% 98.5% 97.4% Term Structure -39.0% -59.0% -5.8% -44.9% -59.0% VWIV 128.3% 126.4% 130.2% 126.4% 130.2% Skew 25d 3.8% -5.1% 93.8% -1.0% 4.9% Skew 10d 3.9% -5.1% 93.8% -1.0% 4.8% Call IV 25d 98.6% 19.0% 148.0% 142.4% 148.0% Put IV 25d 102.4% 19.3% 152.8% 141.4% 152.8% Bid-Ask Spread % 186.24 150.10 196.85 169.68 193.91 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -1.8K -9.5K -143 -910 -184 Net DEX 16.2K 4.8K 26.1K 26.0K 4.9K Net VEX -44 -71 -26 -71 -26 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 17.727 5 25 25 5 Total OI 17.727 5 25 25 5
Daily Data (22 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 2018-05-01 $24.40 $24.00 121.2% 34.7% 2.9% 82.2% 126.4% -1.0% -44.9% -910 26.0K -71 0.00 169.68 0 25 0 25 2018-05-02 $24.40 $24.00 124.9% 35.8% 2.9% 84.8% 130.2% -1.1% -47.7% -907 26.0K -70 0.00 195.04 0 25 0 25 2018-05-03 $24.45 $0.00 128.8% 21.8% 3.0% 87.6% 0.0% 0.4% -30.2% -909 25.9K -68 0.00 191.66 0 25 0 25 2018-05-04 $24.45 $0.00 133.3% 22.1% 2.7% 90.7% 0.0% 0.5% -31.1% -909 25.9K -67 0.00 190.21 0 25 0 25 2018-05-07 $24.45 $0.00 150.4% 12.2% 2.7% 100.0% 0.0% 0.4% -32.8% -917 26.0K -62 0.00 189.24 0 25 0 25 2018-05-08 $24.43 $0.00 157.8% 12.3% 2.7% 100.0% 0.0% 0.2% -34.0% -907 26.0K -60 0.00 186.90 0 25 0 25 2018-05-09 $24.37 $0.00 44.1% 12.6% 2.7% 26.4% 0.0% -0.8% -37.4% -910 26.1K -59 0.00 188.60 0 25 0 25 2018-05-10 $24.43 $0.00 43.7% 12.5% 2.7% 26.2% 0.0% 0.1% -35.7% -915 26.0K -57 0.00 190.32 0 25 0 25 2018-05-11 $24.44 $0.00 44.3% 12.7% 2.7% 26.6% 0.0% 0.2% -36.6% -911 26.0K -55 0.00 191.22 0 25 0 25 2018-05-14 $24.41 $0.00 88.3% 25.3% 2.7% 55.0% 0.0% -0.3% -40.5% -5.5K 19.6K -46 0.00 190.32 0 25 0 25 2018-05-15 $24.31 $0.00 44.5% 12.8% 3.0% 26.7% 0.0% -5.1% -40.6% -7.0K 19.9K -44 0.00 192.29 0 25 0 25 2018-05-16 $24.29 $0.00 47.3% 13.6% 2.8% 28.5% 0.0% -2.4% -43.8% -7.7K 19.6K -40 0.00 186.67 0 25 0 25 2018-05-17 $24.27 $0.00 48.1% 13.8% 2.8% 29.0% 0.0% -2.8% -45.5% -9.5K 17.6K -36 0.00 191.19 0 25 0 25 2018-05-18 $24.33 $0.00 48.3% 13.9% 2.8% 29.2% 0.0% -1.9% -46.2% -181 5.4K -28 0.00 184.34 0 25 0 25 2018-05-21 $24.34 $0.00 100.1% 28.7% 2.8% 62.6% 0.0% -1.8% -34.4% -182 5.5K -27 0.00 183.55 0 5 0 5 2018-05-22 $24.33 $0.00 69.7% 20.0% 2.8% 43.0% 0.0% -2.0% -35.9% -181 5.4K -27 0.00 183.62 0 5 0 5 2018-05-23 $24.40 $0.00 58.0% 16.6% 3.0% 35.4% 0.0% 93.8% -37.2% -185 5.5K -27 0.00 166.45 0 5 0 5 2018-05-24 $24.44 $0.00 57.0% 16.4% 3.0% 34.8% 0.0% -4.1% -38.6% -177 5.0K -27 0.00 190.63 0 5 0 5 2018-05-25 $24.52 $0.00 106.5% 30.5% 3.1% 66.8% 0.0% 1.6% -43.5% -174 5.0K -27 0.00 194.39 0 5 0 5 2018-05-29 $24.72 $0.00 17.9% 5.1% 4.2% 9.5% 0.0% 1.7% -5.8% -143 4.8K -27 0.00 150.10 0 5 0 5 2018-05-30 $24.63 $0.00 121.8% 34.9% 4.3% 76.7% 0.0% 4.3% -55.7% -182 4.9K -26 0.00 196.85 0 5 0 5 2018-05-31 $24.66 $0.00 125.7% 36.0% 4.3% 79.2% 0.0% 4.9% -59.0% -184 4.9K -26 0.00 193.91 0 5 0 5
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