GOVT Options History — January 2020

In January 2020, GOVT traded between $25.97 and $26.59. ATM implied volatility averaged 73.4%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 69.6% (HV 20d: 3.8%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.35.

Notable Days

2020-01-23: Highest Volume — 21 contracts
2020-01-15: Largest IV spike — 1048.8% change
2020-01-10: Highest IV Rank — 96.1%
2020-01-02: Largest Expected Move — 34.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.19	$25.97	$26.59	$25.98	$26.59
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	73.4%	3.2%	175.4%	120.1%	98.3%
Expected Move	13.0%	0.9%	34.4%	34.4%	28.2%
HV 20d	3.8%	3.2%	4.3%	3.8%	4.0%
HV 60d	4.3%	4.2%	4.5%	4.4%	4.2%
IV Rank	39.0%	0.0%	96.1%	64.6%	53.1%
IV Percentile	33.1%	0.0%	99.2%	80.6%	65.5%
Term Structure	39.0%	-117.8%	62.2%	-117.8%	-35.4%
VWIV	30.1%	4.9%	86.5%	6.0%	5.9%
Skew 25d	12.9%	3.2%	46.2%	11.3%	20.8%
Skew 10d	11.8%	6.9%	20.8%	11.3%	20.8%
Call IV 25d	94.1%	38.2%	140.9%	137.9%	109.8%
Put IV 25d	107.0%	83.1%	155.7%	149.2%	130.5%
Bid-Ask Spread %	195.52	186.15	200.00	200.00	186.15
Gamma HHI	0.59	0.45	0.76	0.64	0.49
Net GEX	-527	-689	-310	-433	-441
Net DEX	14.9K	9.5K	19.8K	12.9K	11.6K
Net VEX	-124	-154	-102	-104	-153
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.00	1.00	1.00	0.05
Total Volume	1.571	0	21	0	1
Total OI	23.238	16	33	16	33

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
2020-01-02	$25.98	$0.00	120.1%	34.4%	3.8%	64.6%	0.0%	11.3%	-117.8%	-433	12.9K	-104	0.00	200.00	0	0	4	12
2020-01-03	$26.12	$0.00	64.3%	18.4%	4.1%	32.8%	0.0%	14.8%	62.2%	-451	12.7K	-104	0.00	200.00	0	0	4	12
2020-01-06	$26.09	$0.00	139.9%	10.4%	4.1%	75.9%	0.0%	8.2%	50.1%	-452	12.8K	-103	0.00	200.00	0	0	4	12
2020-01-07	$26.05	$0.00	146.8%	10.3%	4.1%	79.8%	0.0%	7.8%	51.7%	-450	13.1K	-102	0.00	200.00	0	2	4	12
2020-01-08	$25.97	$0.00	79.8%	10.5%	4.2%	41.6%	0.0%	6.9%	52.0%	-516	16.4K	-110	0.00	200.00	0	0	4	14
2020-01-09	$26.02	$0.00	164.3%	1.2%	4.3%	89.8%	6.0%	3.4%	52.4%	-528	16.0K	-110	0.00	200.00	0	1	4	14
2020-01-10	$26.07	$26.00	175.4%	0.9%	4.2%	96.1%	0.0%	3.2%	52.9%	-663	17.1K	-113	0.00	200.00	0	0	4	15
2020-01-13	$26.05	$26.00	3.2%	0.9%	3.6%	0.0%	0.0%	46.2%	53.9%	-684	17.1K	-112	0.00	200.00	0	0	4	15
2020-01-14	$26.09	$26.00	3.6%	1.0%	3.4%	0.2%	4.9%	3.3%	51.3%	-674	17.1K	-112	1.00	191.11	1	1	4	15
2020-01-15	$26.14	$26.00	41.5%	11.9%	3.2%	21.4%	0.0%	9.7%	51.0%	-589	17.0K	-119	0.00	196.00	0	1	5	16
2020-01-16	$26.11	$26.00	59.0%	16.9%	3.3%	31.2%	0.0%	9.4%	17.5%	-603	18.2K	-122	0.00	200.00	0	0	5	17
2020-01-17	$26.06	$26.00	42.0%	12.0%	3.3%	21.6%	86.5%	8.8%	53.2%	-627	18.9K	-122	0.00	194.37	0	1	5	17
2020-01-21	$26.15	$26.00	45.3%	13.0%	3.4%	23.5%	47.2%	10.7%	53.3%	-689	19.8K	-122	0.00	200.00	2	0	5	18
2020-01-22	$26.18	$26.00	46.0%	13.2%	3.4%	23.9%	0.0%	11.3%	53.8%	-577	17.2K	-128	0.00	200.00	0	0	7	18
2020-01-23	$26.24	$26.00	47.1%	13.5%	3.5%	24.5%	5.9%	12.4%	53.5%	-595	16.9K	-127	0.05	193.33	20	1	7	18
2020-01-24	$26.30	$26.00	47.8%	13.7%	3.5%	24.9%	0.0%	13.6%	54.2%	-352	10.5K	-145	0.00	190.77	0	0	12	19
2020-01-27	$26.45	$26.00	52.6%	15.1%	3.9%	27.6%	0.0%	16.8%	51.4%	-310	9.5K	-144	0.00	187.27	0	1	12	19
2020-01-28	$26.38	$26.00	53.4%	15.3%	4.1%	28.0%	0.0%	15.9%	52.4%	-384	11.3K	-149	0.00	191.11	0	1	12	20
2020-01-29	$26.46	$26.00	54.8%	15.7%	4.2%	28.8%	0.0%	17.6%	52.2%	-526	13.0K	-153	0.00	188.57	0	0	12	21
2020-01-30	$26.49	$26.00	55.9%	16.0%	4.0%	29.4%	0.0%	18.6%	52.8%	-517	12.7K	-154	0.00	187.27	0	0	12	21
2020-01-31	$26.59	$26.00	98.3%	28.2%	4.0%	53.1%	0.0%	20.8%	-35.4%	-441	11.6K	-153	0.00	186.15	0	1	12	21