GOVT Options History — November 2018 In November 2018, GOVT traded between $24.06 and $24.37. ATM implied volatility averaged 114.8%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded above realized volatility by 112.0% (HV 20d: 2.9%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days.
Notable Days 2018-11-20 : Highest Volume — 3 contracts2018-11-12 : Largest IV drop — 57.7% change2018-11-09 : Highest IV Rank — 100.0%2018-11-02 : Largest Expected Move — 38.6%Monthly Statistics Metric Avg Min Max Open Close Price $24.22 $24.06 $24.37 $24.17 $24.37 Max Pain $24.00 $24.00 $24.00 $24.00 $24.00 ATM IV 114.8% 80.5% 190.0% 129.7% 109.1% Expected Move 26.5% 21.3% 38.6% 37.2% 31.3% HV 20d 2.9% 2.4% 3.1% 2.7% 2.4% HV 60d 2.9% 2.8% 3.0% 2.9% 2.8% IV Rank 60.1% 40.8% 100.0% 69.6% 56.3% IV Percentile 74.8% 48.0% 100.0% 92.9% 80.2% Term Structure -35.9% -63.2% -23.2% -57.8% -36.4% VWIV 91.1% 75.5% 113.6% 75.5% 113.6% Skew 25d -1.9% -22.3% 18.0% 18.0% -1.4% Skew 10d -1.9% -22.3% 18.0% 18.0% -1.4% Call IV 25d 109.1% 88.8% 153.1% 146.5% 128.4% Put IV 25d 107.2% 84.6% 169.3% 164.5% 127.1% Bid-Ask Spread % 189.39 170.57 198.42 179.01 184.02 Gamma HHI 0.84 0.51 1.00 1.00 0.51 Net GEX -52 -90 -37 -90 -66 Net DEX 1.4K 1.0K 2.1K 2.1K 1.7K Net VEX -5 -9 -3 -7 -9 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 2.381 2 3 2 3 Total OI 1.429 1 2 2 2
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 2018-11-01 $24.17 $0.00 129.7% 37.2% 2.7% 69.6% 0.0% 18.0% -57.8% -90 2.1K -7 0.00 179.01 0 2 0 2 2018-11-02 $24.07 $0.00 134.6% 38.6% 3.0% 72.4% 0.0% 16.2% -62.4% -75 2.1K -7 0.00 198.42 0 2 0 2 2018-11-05 $24.10 $24.00 151.8% 21.3% 3.0% 81.9% 75.5% -4.2% -30.1% -37 1.1K -3 0.00 191.21 0 2 0 1 2018-11-06 $24.09 $24.00 159.2% 21.5% 3.0% 86.1% 76.3% -4.4% -30.8% -37 1.1K -3 0.00 190.95 0 2 0 1 2018-11-07 $24.08 $24.00 167.8% 21.8% 3.0% 90.9% 77.1% -4.6% -31.5% -38 1.1K -3 0.00 193.52 0 2 0 1 2018-11-08 $24.06 $24.00 178.1% 22.0% 2.7% 96.6% 77.9% -4.9% -32.3% -38 1.1K -3 0.00 192.38 0 2 0 1 2018-11-09 $24.12 $24.00 190.0% 22.3% 2.9% 100.0% 79.1% -4.1% -32.8% -38 1.1K -3 0.00 182.54 0 2 0 1 2018-11-12 $24.19 $24.00 80.5% 23.1% 3.1% 40.8% 82.5% -3.3% -34.8% -37 1.0K -3 0.00 192.43 0 2 0 1 2018-11-13 $24.19 $24.00 81.5% 23.4% 3.1% 41.4% 83.6% -3.3% -35.7% -37 1.0K -3 0.00 190.79 0 2 0 1 2018-11-14 $24.21 $24.00 82.6% 23.7% 3.0% 41.9% 84.8% -3.0% -63.2% -38 1.0K -3 0.00 184.90 0 2 0 1 2018-11-15 $24.24 $24.00 83.7% 24.0% 3.0% 42.5% 86.1% -2.7% -37.3% -37 1.0K -3 0.00 192.15 0 2 0 1 2018-11-16 $24.28 $24.00 84.8% 24.3% 3.1% 43.1% 87.6% -2.1% -38.0% -38 1.0K -3 0.00 185.97 0 2 0 1 2018-11-19 $24.32 $24.00 88.5% 25.4% 3.1% 45.2% 91.8% -1.7% -23.2% -37 1.0K -3 0.00 193.77 0 2 0 1 2018-11-20 $24.31 $24.00 90.0% 25.8% 3.1% 45.9% 93.2% -1.9% -24.1% -38 1.0K -3 0.00 195.74 0 3 0 1 2018-11-21 $24.31 $24.00 91.5% 26.2% 2.9% 46.7% 94.8% -1.9% -25.0% -66 1.8K -9 0.00 194.26 0 3 0 2 2018-11-23 $24.31 $24.00 94.6% 27.1% 2.9% 48.4% 98.0% -2.0% -26.9% -67 1.8K -9 0.00 195.74 0 3 0 2 2018-11-26 $24.31 $24.00 100.2% 28.7% 2.6% 51.4% 103.7% -2.2% -30.5% -68 1.7K -9 0.00 170.57 0 3 0 2 2018-11-27 $24.31 $24.00 102.2% 29.3% 2.6% 52.6% 105.8% -2.3% -31.9% -68 1.7K -9 0.00 180.60 0 3 0 2 2018-11-28 $24.31 $24.00 104.5% 29.9% 2.5% 53.8% 108.1% -2.4% -33.4% -67 1.8K -9 0.00 194.61 0 3 0 2 2018-11-29 $24.33 $24.00 106.7% 30.6% 2.4% 55.0% 110.7% -22.3% -34.9% -67 1.8K -9 0.00 193.56 0 3 0 2 2018-11-30 $24.37 $24.00 109.1% 31.3% 2.4% 56.3% 113.6% -1.4% -36.4% -66 1.7K -9 0.00 184.02 0 3 0 2
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