GOVT Options History — March 2019 In March 2019, GOVT traded between $24.68 and $25.26. ATM implied volatility averaged 101.0%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 97.8% (HV 20d: 3.2%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2019-03-05 : Highest Volume — 16 contracts2019-03-12 : Largest IV drop — 35.3% change2019-03-08 : Highest IV Rank — 70.7%2019-03-08 : Largest Expected Move — 39.3%Monthly Statistics Metric Avg Min Max Open Close Price $24.96 $24.68 $25.26 $24.68 $25.21 Max Pain $22.75 $22.00 $24.00 $24.00 $22.00 ATM IV 101.0% 79.8% 137.0% 97.2% 107.7% Expected Move 21.9% 13.8% 39.3% 27.9% 19.7% HV 20d 3.2% 2.9% 3.5% 3.2% 2.9% HV 60d 3.3% 3.3% 3.5% 3.4% 3.4% IV Rank 50.8% 39.1% 70.7% 48.7% 54.5% IV Percentile 57.0% 22.2% 91.7% 56.3% 71.0% Term Structure -28.8% -38.2% 3.8% 3.8% -38.2% VWIV 76.4% 15.0% 190.2% 15.0% 190.2% Skew 25d 9.2% 4.5% 16.1% 5.7% 15.4% Skew 10d 9.2% 4.5% 16.1% 5.7% 15.4% Call IV 25d 102.0% 84.5% 152.7% 152.7% 121.3% Put IV 25d 111.1% 89.1% 158.5% 158.5% 136.7% Bid-Ask Spread % 196.34 168.72 200.00 198.49 199.23 Gamma HHI 0.54 0.40 0.90 0.40 0.41 Net GEX -375 -2.5K 522 155 167 Net DEX -3.6K -8.3K 9.3K -6.4K -6.9K Net VEX -33 -55 -23 -31 -27 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 3.048 0 16 0 0 Total OI 12.095 6 22 6 6
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 2019-03-01 $24.68 $0.00 97.2% 27.9% 3.2% 48.7% 0.0% 5.7% 3.8% 155 -6.4K -31 0.00 198.49 0 0 5 1 2019-03-04 $24.73 $0.00 109.5% 31.4% 3.0% 55.5% 0.0% 4.5% -26.1% 155 -6.4K -31 0.00 189.24 0 0 5 1 2019-03-05 $24.73 $0.00 114.9% 32.9% 3.0% 58.5% 15.0% 4.6% -26.7% 155 -6.4K -31 0.00 185.40 0 16 5 1 2019-03-06 $24.79 $24.00 121.0% 34.7% 3.1% 61.9% 24.0% 5.4% -27.0% -603 9.3K -55 0.00 200.00 0 16 5 17 2019-03-07 $24.86 $24.00 128.2% 36.8% 3.2% 65.8% 190.2% 6.4% -28.4% -512 9.1K -53 0.00 198.52 0 16 5 17 2019-03-08 $24.88 $24.00 137.0% 39.3% 3.1% 70.7% 0.0% 6.7% -29.0% -557 9.0K -52 0.00 200.00 0 16 5 17 2019-03-11 $24.86 $22.00 123.3% 13.8% 3.1% 63.2% 0.0% 6.6% -31.4% -2.5K 89 -40 0.00 196.84 0 0 5 17 2019-03-12 $24.91 $22.00 79.8% 13.9% 3.2% 39.1% 0.0% 7.4% -32.0% -2.4K -1.3K -38 0.00 196.84 0 0 5 17 2019-03-13 $24.90 $22.00 80.9% 13.9% 3.1% 39.7% 0.0% 7.4% -32.9% -2.3K -2.4K -35 0.00 196.27 0 0 5 17 2019-03-14 $24.87 $22.00 82.0% 14.0% 3.1% 40.4% 0.0% 7.0% -34.0% -1.8K -4.2K -32 0.00 168.72 0 0 5 17 2019-03-15 $24.91 $22.00 83.2% 14.1% 3.0% 41.0% 0.0% 7.7% -34.8% 156 -6.6K -29 0.00 193.49 0 0 5 17 2019-03-18 $24.90 $0.00 87.1% 18.0% 3.0% 43.2% 0.0% 7.8% -24.9% 157 -6.6K -29 0.00 200.00 0 0 5 1 2019-03-19 $24.89 $0.00 88.6% 18.1% 3.0% 44.0% 0.0% 7.8% -25.8% 159 -6.6K -29 0.00 200.00 0 0 5 1 2019-03-20 $24.99 $0.00 89.9% 18.2% 3.3% 44.7% 0.0% 9.5% -26.5% 158 -6.7K -29 0.00 200.00 0 0 5 1 2019-03-21 $25.01 $0.00 91.5% 18.4% 3.2% 45.6% 0.0% 10.0% -27.5% 158 -6.7K -28 0.00 200.00 0 0 5 1 2019-03-22 $25.14 $0.00 92.9% 18.5% 3.5% 46.3% 0.0% 12.3% -28.1% 166 -6.8K -28 0.00 200.00 0 0 5 1 2019-03-25 $25.19 $0.00 98.4% 19.0% 3.5% 49.4% 0.0% 13.9% -31.7% 165 -6.9K -28 0.00 200.00 0 0 5 1 2019-03-26 $25.20 $0.00 100.5% 19.2% 3.5% 50.5% 0.0% 14.3% -33.1% 332 -7.5K -26 0.00 200.00 0 0 5 1 2019-03-27 $25.26 $0.00 102.6% 19.3% 3.3% 51.7% 0.0% 15.7% -34.4% 522 -8.3K -23 0.00 200.00 0 0 5 1 2019-03-28 $25.26 $0.00 105.0% 19.5% 3.2% 53.0% 0.0% 16.1% -36.1% 169 -7.0K -27 0.00 200.00 0 0 5 1 2019-03-29 $25.21 $0.00 107.7% 19.7% 2.9% 54.5% 0.0% 15.4% -38.2% 167 -6.9K -27 0.00 199.23 0 0 5 1
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