GOVT Options History — February 2020

In February 2020, GOVT traded between $26.31 and $27.26. ATM implied volatility averaged 70.3%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 65.9% (HV 20d: 4.5%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.02.

Notable Days

2020-02-12: Highest Volume — 22 contracts
2020-02-06: Largest IV spike — 1654.9% change
2020-02-03: Highest IV Rank — 57.6%
2020-02-03: Largest Expected Move — 30.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.59	$26.31	$27.26	$26.52	$27.26
Max Pain	$27.47	$26.00	$28.00	$26.00	$27.00
ATM IV	70.3%	4.0%	106.3%	106.3%	97.2%
Expected Move	19.4%	1.1%	30.5%	30.5%	27.9%
HV 20d	4.5%	3.9%	5.7%	3.9%	5.7%
HV 60d	4.3%	4.1%	4.8%	4.2%	4.8%
IV Rank	37.5%	0.4%	57.6%	57.6%	52.5%
IV Percentile	32.3%	0.8%	73.0%	73.0%	65.1%
Term Structure	-16.0%	-42.4%	64.3%	-41.8%	-32.8%
VWIV	54.0%	12.7%	77.2%	12.7%	77.2%
Skew 25d	11.7%	-20.9%	29.6%	-12.0%	29.6%
Skew 10d	16.3%	-22.5%	33.1%	21.0%	33.1%
Call IV 25d	93.9%	78.4%	124.0%	119.4%	102.2%
Put IV 25d	105.6%	57.5%	131.9%	107.4%	131.9%
Bid-Ask Spread %	187.96	180.68	200.00	200.00	185.46
Gamma HHI	0.52	0.38	0.86	0.44	0.52
Net GEX	912	-1.5K	10.0K	-287	-1.1K
Net DEX	20.0K	5.1K	44.2K	15.4K	6.1K
Net VEX	-252	-361	-148	-153	-361
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.25	0.00	0.00
Total Volume	4.053	0	22	3	4
Total OI	52.211	33	69	33	63

Daily Data (19 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
2020-02-03	$26.52	$26.00	106.3%	30.5%	3.9%	57.6%	12.7%	-12.0%	-41.8%	-287	15.4K	-153	0.00	200.00	3	0	11	22
2020-02-04	$26.39	$26.00	10.3%	3.0%	4.4%	3.9%	0.0%	-7.2%	50.7%	-241	16.9K	-148	0.00	200.00	0	1	11	22
2020-02-05	$26.31	$26.00	4.0%	1.1%	4.5%	0.4%	0.0%	-8.9%	64.3%	108	18.8K	-154	0.00	200.00	0	1	11	23
2020-02-06	$26.36	$28.00	70.0%	10.3%	4.3%	37.3%	0.0%	-20.9%	-29.6%	-827	21.4K	-162	0.00	180.68	0	0	11	24
2020-02-07	$26.44	$28.00	72.2%	20.4%	4.4%	38.5%	0.0%	13.1%	-30.0%	-700	19.4K	-162	0.00	194.29	0	11	11	24
2020-02-10	$26.48	$28.00	81.4%	21.1%	4.3%	43.6%	0.0%	14.1%	-31.9%	-1.2K	35.2K	-250	0.00	182.50	0	0	11	35
2020-02-11	$26.45	$28.00	85.4%	21.4%	4.4%	45.9%	0.0%	13.8%	-32.8%	-1.3K	35.3K	-245	0.00	182.77	0	0	11	35
2020-02-12	$26.38	$28.00	75.8%	21.7%	4.5%	40.6%	0.0%	13.1%	-33.9%	-1.2K	35.8K	-243	0.00	182.35	22	0	11	35
2020-02-13	$26.40	$28.00	76.9%	22.0%	4.5%	41.1%	0.0%	13.5%	-34.7%	69	8.6K	-326	0.00	182.69	3	0	32	35
2020-02-14	$26.45	$28.00	77.8%	22.3%	4.5%	41.7%	0.0%	14.4%	-35.4%	179	5.1K	-327	0.00	184.44	0	0	33	35
2020-02-18	$26.51	$28.00	81.1%	23.2%	4.4%	43.5%	0.0%	16.1%	-42.4%	4.4K	10.3K	-307	0.00	182.86	0	0	33	35
2020-02-19	$26.49	$28.00	84.0%	24.1%	4.3%	45.1%	62.7%	16.0%	-40.3%	4.3K	11.7K	-300	0.00	188.57	1	0	33	35
2020-02-20	$26.56	$28.00	31.0%	8.9%	4.4%	15.5%	0.0%	14.6%	-10.8%	3.8K	9.7K	-297	0.00	182.67	1	0	34	35
2020-02-21	$26.66	$28.00	67.9%	19.5%	4.5%	36.1%	0.0%	19.3%	-11.1%	-897	10.7K	-292	0.00	182.39	6	0	33	35
2020-02-24	$26.81	$28.00	71.7%	20.6%	4.8%	38.2%	63.4%	22.0%	7.5%	4.3K	44.2K	-206	0.25	197.86	4	1	15	33
2020-02-25	$26.89	$27.00	73.1%	21.0%	4.5%	39.0%	0.0%	20.8%	7.2%	-1.5K	25.4K	-295	0.00	181.53	6	0	18	34
2020-02-26	$26.87	$27.00	74.7%	21.4%	4.4%	39.9%	77.2%	24.6%	6.6%	10.0K	36.3K	-236	0.00	183.31	3	0	22	34
2020-02-27	$26.95	$27.00	95.6%	27.4%	4.4%	51.6%	0.0%	26.9%	-32.4%	-629	14.5K	-328	0.00	196.84	10	0	23	34
2020-02-28	$27.26	$27.00	97.2%	27.9%	5.7%	52.5%	0.0%	29.6%	-32.8%	-1.1K	6.1K	-361	0.00	185.46	4	0	29	34