GOVT Options History — September 2019 In September 2019, GOVT traded between $25.94 and $26.62. ATM implied volatility averaged 86.0%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded above realized volatility by 80.4% (HV 20d: 5.6%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-09-20 : Highest Volume — 7 contracts2019-09-26 : Largest IV spike — 89.7% change2019-09-04 : Highest IV Rank — 57.7%2019-09-04 : Largest Expected Move — 32.3%Monthly Statistics Metric Avg Min Max Open Close Price $26.26 $25.94 $26.62 $26.61 $26.31 Max Pain $26.55 $26.00 $27.00 $26.00 $27.00 ATM IV 86.0% 51.9% 112.5% 109.2% 108.8% Expected Move 24.6% 14.9% 32.3% 31.3% 31.2% HV 20d 5.6% 4.9% 5.9% 4.9% 5.7% HV 60d 4.9% 4.2% 5.2% 4.3% 5.0% IV Rank 43.2% 24.7% 57.7% 55.9% 55.7% IV Percentile 39.2% 7.9% 72.2% 70.2% 70.2% Term Structure -37.7% -101.1% -24.5% -77.8% -39.6% Skew 25d 16.5% 7.3% 64.8% 29.8% 17.0% Skew 10d 17.1% 4.1% 64.9% 37.5% 17.0% Call IV 25d 91.6% 17.1% 125.3% 121.7% 121.9% Put IV 25d 108.1% 26.6% 155.5% 151.5% 138.9% Bid-Ask Spread % 198.23 172.04 200.00 172.04 200.00 Gamma HHI 0.56 0.42 0.76 0.42 0.71 Net GEX 753 337 2.4K 337 405 Net DEX -14.8K -23.6K -10.4K -12.1K -11.2K Net VEX -47 -61 -35 -44 -35 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.7 0 7 2 0 Total OI 15.1 10 19 13 10
Daily Data (20 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 2019-09-03 $26.61 $26.00 109.2% 31.3% 4.9% 55.9% 0.0% 29.8% -77.8% 337 -12.1K -44 0.00 172.04 2 0 10 3 2019-09-04 $26.62 $26.00 112.5% 32.3% 4.9% 57.7% 0.0% 30.1% -101.1% 446 -14.8K -51 0.00 193.95 3 0 12 3 2019-09-05 $26.45 $26.00 65.9% 20.1% 5.5% 32.3% 0.0% 13.2% -24.5% 574 -18.6K -61 0.00 200.00 0 0 15 3 2019-09-06 $26.49 $26.00 67.9% 20.3% 5.5% 33.4% 0.0% 13.9% -25.0% 577 -18.7K -60 0.00 200.00 0 0 15 3 2019-09-09 $26.36 $26.00 77.4% 21.2% 5.9% 38.6% 0.0% 12.6% -27.3% 574 -18.2K -57 0.00 200.00 0 1 15 3 2019-09-10 $26.20 $26.00 83.3% 21.5% 5.9% 41.7% 0.0% 10.6% -28.6% 563 -16.6K -60 0.00 200.00 0 0 15 4 2019-09-11 $26.18 $26.00 76.2% 21.8% 5.9% 37.9% 0.0% 10.4% -29.5% 460 -15.3K -58 0.00 200.00 0 0 14 4 2019-09-12 $26.11 $26.00 77.3% 22.2% 5.5% 38.5% 0.0% 64.8% -30.5% 496 -14.9K -57 0.00 200.00 0 0 14 4 2019-09-13 $25.94 $26.00 78.7% 22.6% 5.5% 39.3% 0.0% 7.3% -32.0% 548 -13.9K -55 0.00 200.00 0 0 14 4 2019-09-16 $26.03 $27.00 82.2% 23.6% 5.8% 41.2% 0.0% 8.9% -34.6% 1.2K -13.6K -48 0.00 200.00 0 0 13 4 2019-09-17 $26.07 $27.00 83.4% 23.9% 5.6% 41.8% 0.0% 9.6% -35.4% 1.2K -14.3K -47 0.00 200.00 0 0 13 4 2019-09-18 $26.11 $27.00 84.7% 24.3% 5.5% 42.5% 0.0% 10.4% -36.4% 2.4K -16.6K -45 0.00 200.00 1 0 13 4 2019-09-19 $26.12 $27.00 86.1% 24.7% 5.5% 43.3% 0.0% 10.7% -37.5% 1.8K -18.2K -43 0.00 200.00 0 0 14 4 2019-09-20 $26.22 $27.00 87.5% 25.1% 5.6% 44.0% 0.0% 12.4% -38.3% 1.4K -23.6K -40 0.00 200.00 7 0 14 4 2019-09-23 $26.24 $27.00 92.5% 26.5% 5.1% 46.8% 0.0% 13.4% -28.4% 360 -11.3K -38 0.00 200.00 0 0 9 1 2019-09-24 $26.37 $27.00 94.1% 27.0% 5.5% 47.7% 0.0% 15.9% -29.2% 405 -11.3K -38 0.00 200.00 0 0 9 1 2019-09-25 $26.21 $27.00 51.9% 14.9% 5.6% 24.7% 0.0% 9.5% -31.2% 522 -10.4K -37 0.00 198.52 0 0 9 1 2019-09-26 $26.27 $27.00 98.5% 28.2% 5.7% 50.1% 0.0% 14.8% -32.4% 392 -11.2K -37 0.00 200.00 0 0 9 1 2019-09-27 $26.30 $27.00 100.8% 28.9% 5.7% 51.3% 0.0% 15.6% -33.9% 393 -11.2K -37 0.00 200.00 0 0 9 1 2019-09-30 $26.31 $27.00 108.8% 31.2% 5.7% 55.7% 0.0% 17.0% -39.6% 405 -11.2K -35 0.00 200.00 0 0 9 1
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