GOVT Options History — September 2018

In September 2018, GOVT traded between $24.29 and $24.55. ATM implied volatility averaged 67.9%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 65.1% (HV 20d: 2.7%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days.

Notable Days

  • 2018-09-04: Highest Volume — 5 contracts
  • 2018-09-05: Largest IV spike — 618.4% change
  • 2018-09-11: Highest IV Rank — 85.4%
  • 2018-09-05: Largest Expected Move — 35.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.39$24.29$24.55$24.51$24.35
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV67.9%9.0%157.9%17.0%109.2%
Expected Move15.4%2.6%35.0%4.9%31.3%
HV 20d2.7%2.5%3.1%3.0%2.5%
HV 60d2.7%2.7%2.8%2.7%2.7%
IV Rank35.4%2.6%85.4%7.1%58.3%
IV Percentile54.2%2.0%98.8%4.4%86.5%
Term Structure-25.0%-51.0%55.0%-4.5%-36.5%
VWIV73.2%15.1%131.4%15.1%131.4%
Skew 25d-10.0%-86.9%1.9%0.9%-1.7%
Skew 10d-10.0%-86.9%1.9%1.0%-1.7%
Call IV 25d93.8%11.1%145.1%15.1%128.7%
Put IV 25d83.8%8.5%146.8%16.0%126.9%
Bid-Ask Spread %181.94145.87193.99147.86193.22
Gamma HHI1.001.001.001.001.00
Net GEX-539-2.1K0-1.1K0
Net DEX3.0K05.1K3.4K0
Net VEX-5-100-90
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume3.6840550
Total OI3.6840550

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$24.51$24.0017.0%4.9%3.0%7.1%15.1%0.9%-4.5%-1.1K3.4K-90.00147.860505
2018-09-05$24.52$24.00122.0%35.0%2.9%65.4%131.4%1.6%-51.0%-1895.1K-100.00182.160505
2018-09-06$24.55$0.00125.9%21.3%2.9%67.6%0.0%1.9%-28.5%-1895.1K-100.00191.090505
2018-09-07$24.47$0.0066.1%22.1%3.1%34.4%0.0%0.9%-27.2%-2235.1K-90.00179.210505
2018-09-10$24.48$0.00150.3%11.6%2.8%81.2%0.0%0.9%-29.3%-1895.1K-80.00187.780505
2018-09-11$24.42$0.00157.9%11.8%2.9%85.4%0.0%-86.0%-30.3%-1685.1K-80.00177.330505
2018-09-12$24.44$0.0041.8%12.0%2.9%20.9%0.0%-86.9%-31.0%-1865.1K-80.00190.040505
2018-09-13$24.44$0.0042.3%12.1%2.8%21.2%0.0%0.3%-31.8%-1875.1K-70.00176.300505
2018-09-14$24.41$0.009.9%2.8%2.8%3.1%0.0%-4.3%33.5%-9664.2K-60.00187.150505
2018-09-17$24.40$0.0045.0%12.9%2.8%22.7%0.0%-0.3%-35.8%-1.3K3.6K-40.00179.440505
2018-09-18$24.33$0.0045.9%13.2%2.6%23.2%0.0%-1.5%-37.3%-1.6K3.6K-40.00187.220505
2018-09-19$24.29$0.0091.5%26.2%2.6%48.5%0.0%-2.3%-38.6%-1.9K3.5K-30.00186.540505
2018-09-20$24.32$0.0047.5%13.6%2.6%24.0%0.0%-1.9%-39.8%-2.1K2.7K-20.00186.000505
2018-09-21$24.32$0.0048.3%13.9%2.6%24.5%0.0%-1.9%-41.0%0000.00181.410505
2018-09-24$24.30$0.009.0%2.6%2.5%2.6%0.0%-2.2%55.0%0000.00145.870000
2018-09-25$24.29$0.0052.3%15.0%2.5%26.7%0.0%-2.8%-32.0%0000.00190.190000
2018-09-26$24.33$0.0053.3%15.3%2.6%27.3%0.0%-2.0%-33.3%0000.00193.990000
2018-09-27$24.33$0.0054.5%15.6%2.6%27.9%0.0%-2.1%-34.8%0000.00193.990000
2018-09-28$24.35$0.00109.2%31.3%2.5%58.3%0.0%-1.7%-36.5%0000.00193.220000