GOVT Options History — December 2019

Name: GOVT Options Analytics - December 2019
Creator: Options Analysis Suite

In December 2019, GOVT traded between $25.89 and $26.21. ATM implied volatility averaged 86.9%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 82.4% (HV 20d: 4.5%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days.

Notable Days

2019-12-13: Highest Volume — 11 contracts
2019-12-05: Largest IV spike — 103.1% change
2019-12-10: Highest IV Rank — 79.8%
2019-12-02: Largest Expected Move — 31.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.00	$25.89	$26.21	$26.04	$25.90
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	86.9%	48.9%	146.8%	109.5%	58.1%
Expected Move	21.6%	14.0%	31.4%	31.4%	16.7%
HV 20d	4.5%	4.0%	4.8%	4.2%	4.3%
HV 60d	4.7%	4.4%	5.0%	4.9%	4.4%
IV Rank	45.7%	24.0%	79.8%	58.6%	29.3%
IV Percentile	42.3%	7.5%	93.3%	72.2%	13.9%
Term Structure	-21.5%	-45.5%	61.5%	-40.9%	60.7%
Skew 25d	-2.7%	-80.1%	64.4%	25.3%	9.0%
Skew 10d	-2.7%	-80.1%	64.4%	25.3%	9.0%
Call IV 25d	101.0%	71.7%	131.8%	125.2%	130.6%
Put IV 25d	98.3%	9.0%	160.2%	150.5%	139.6%
Bid-Ask Spread %	199.36	196.02	200.00	197.22	196.94
Gamma HHI	0.78	0.50	1.00	0.98	0.64
Net GEX	145	-462	795	553	-419
Net DEX	-2.2K	-19.7K	15.3K	-19.5K	12.9K
Net VEX	-81	-114	-44	-56	-104
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0.571	0	11	0	0
Total OI	20.333	16	30	18	16

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	Spread %	Put Vol	Call OI	Put OI
2019-12-02	$26.04	$26.00	109.5%	31.4%	4.2%	58.6%	0.0%	25.3%	-40.9%	553	-19.5K	-56	197.22	0	16	2
2019-12-03	$26.21	$26.00	57.0%	16.3%	4.7%	28.6%	0.0%	29.2%	-42.4%	689	-19.3K	-55	196.02	0	16	2
2019-12-04	$26.12	$26.00	59.0%	16.9%	4.5%	29.8%	0.0%	28.5%	-45.5%	694	-18.9K	-54	196.48	0	16	2
2019-12-05	$26.10	$0.00	119.8%	20.3%	4.5%	64.4%	0.0%	8.6%	-25.6%	561	-19.7K	-53	200.00	0	16	2
2019-12-06	$26.04	$0.00	124.2%	20.6%	4.0%	66.9%	0.0%	7.9%	-26.4%	560	-19.5K	-52	200.00	0	16	2
2019-12-09	$26.05	$0.00	141.1%	21.3%	4.0%	76.5%	0.0%	-72.7%	-28.4%	580	-19.3K	-48	200.00	0	16	2
2019-12-10	$26.05	$0.00	146.8%	21.6%	4.0%	79.8%	0.0%	8.4%	-29.1%	642	-18.9K	-47	200.00	0	16	2
2019-12-11	$26.12	$0.00	76.3%	21.9%	4.1%	39.6%	0.0%	-77.1%	-29.7%	560	-19.7K	-46	200.00	0	16	2
2019-12-12	$25.96	$0.00	77.6%	22.2%	4.6%	40.4%	0.0%	-80.1%	-31.1%	795	-17.6K	-44	200.00	1	16	2
2019-12-13	$26.06	$0.00	78.5%	22.5%	4.7%	40.9%	0.0%	-80.0%	-31.5%	554	-17.7K	-50	200.00	11	16	3
2019-12-16	$25.98	$0.00	82.3%	23.6%	4.8%	43.0%	0.0%	8.0%	-34.7%	526	12.0K	-114	200.00	0	16	14
2019-12-17	$25.98	$0.00	83.6%	24.0%	4.8%	43.8%	0.0%	8.1%	-35.8%	85	12.6K	-112	200.00	0	16	14
2019-12-18	$25.94	$0.00	85.0%	24.4%	4.8%	44.6%	0.0%	7.6%	-37.1%	-279	13.2K	-111	200.00	0	16	14
2019-12-19	$25.91	$0.00	86.5%	24.8%	4.6%	45.5%	0.0%	7.3%	-38.4%	-431	13.6K	-110	200.00	0	16	14
2019-12-20	$25.91	$0.00	88.0%	25.2%	4.6%	46.3%	0.0%	7.4%	-39.7%	-433	15.3K	-108	200.00	0	16	14
2019-12-23	$25.89	$0.00	48.9%	14.0%	4.5%	24.0%	0.0%	7.4%	55.1%	-433	13.1K	-107	200.00	0	4	12
2019-12-24	$25.91	$0.00	94.8%	27.2%	4.6%	50.2%	0.0%	7.9%	-34.7%	-434	13.1K	-107	200.00	0	4	12
2019-12-26	$25.95	$0.00	99.2%	28.5%	4.5%	52.7%	0.0%	8.9%	-37.9%	-438	13.0K	-106	200.00	0	4	12
2019-12-27	$25.98	$0.00	52.3%	15.0%	4.6%	25.9%	0.0%	9.7%	-39.5%	-435	12.8K	-106	200.00	0	4	12
2019-12-30	$25.96	$0.00	55.9%	16.0%	4.6%	28.0%	0.0%	64.4%	61.5%	-462	13.1K	-105	200.00	0	4	12
2019-12-31	$25.90	$0.00	58.1%	16.7%	4.3%	29.3%	0.0%	9.0%	60.7%	-419	12.9K	-104	196.94	0	4	12