GOVT Options History — March 2020

In March 2020, GOVT traded between $26.94 and $28.23. ATM implied volatility averaged 49.0%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 36.0% (HV 20d: 12.9%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.20.

Notable Days

  • 2020-03-04: Highest Volume — 463 contracts
  • 2020-03-03: Largest IV spike — 565.1% change
  • 2020-03-18: Highest IV Rank — 52.8%
  • 2020-03-18: Largest Expected Move — 28.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.64$26.94$28.23$27.18$28.04
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV49.0%9.2%97.7%9.2%28.6%
Expected Move15.7%2.6%28.0%2.6%8.2%
HV 20d12.9%5.5%18.0%5.9%17.7%
HV 60d8.3%4.7%10.9%4.7%10.8%
IV Rank25.5%3.3%52.8%3.3%14.2%
IV Percentile23.4%2.8%68.7%2.8%7.9%
Term Structure5.1%-26.3%66.2%55.1%-14.9%
VWIV23.3%13.1%42.8%22.4%21.6%
Skew 25d29.2%-27.6%142.5%-6.2%-9.2%
Skew 10d8.8%-134.0%110.4%19.2%27.5%
Call IV 25d68.2%14.3%181.0%111.4%20.6%
Put IV 25d97.4%11.1%189.5%105.3%11.3%
Bid-Ask Spread %160.97138.37182.29182.29141.53
Gamma HHI0.590.480.740.530.65
Net GEX116.8K3.1K231.2K3.1K231.2K
Net DEX-814.8K-1.4M-3.4K-3.4K-929.0K
Net VEX-2.6K-3.7K-382-382-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.003.330.033.33
Total Volume123.13684633526
Total OI734.7737296372742

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$27.18$27.009.2%2.6%5.9%3.3%22.4%-6.2%55.1%3.1K-3.4K-3820.03182.293413834
2020-03-03$27.34$27.0061.3%17.6%5.9%32.4%13.1%100.2%52.8%7.1K-48.3K-5220.00154.5523006734
2020-03-04$27.30$27.0069.0%19.8%5.5%36.8%23.6%99.0%-2.9%41.5K-390.1K-1.7K0.00150.73463030934
2020-03-05$27.52$27.0014.5%11.3%5.7%6.3%14.8%68.7%-0.4%152.3K-850.2K-2.8K0.01151.99321365834
2020-03-06$27.85$27.0014.6%11.8%6.6%6.4%19.0%-12.9%-7.5%139.7K-1.3M-3.7K0.00150.85306087137
2020-03-09$28.23$27.0029.0%24.5%7.7%14.4%42.8%-13.5%-24.1%96.9K-1.4M-3.5K0.01155.06418485137
2020-03-10$27.79$27.0029.9%14.4%10.2%14.9%39.7%-23.7%-26.3%137.0K-1.3M-3.5K0.06151.3598692439
2020-03-11$27.49$27.0092.5%26.5%11.2%49.8%18.3%12.3%-19.9%96.6K-1.2M-3.5K0.09152.6654589745
2020-03-12$27.49$27.0022.1%6.3%11.1%10.5%18.8%47.0%-10.7%123.7K-1.0M-3.4K0.00156.17132088349
2020-03-13$27.34$27.0017.0%4.9%11.4%7.7%19.0%72.1%-9.0%148.6K-736.2K-2.9K0.00157.3744082849
2020-03-16$27.89$27.0090.4%25.9%13.1%48.7%28.6%6.4%-14.7%162.2K-1.1M-2.9K0.01173.76140183049
2020-03-17$27.38$27.0092.8%26.6%15.1%50.1%19.7%67.5%-8.7%118.5K-940.8K-2.9K0.02174.9245184150
2020-03-18$26.94$27.0097.7%28.0%16.4%52.8%30.9%142.5%-18.4%102.5K-423.9K-2.2K0.14174.657184650
2020-03-19$27.12$27.0019.0%5.5%16.5%8.8%19.0%136.4%-1.5%131.5K-640.5K-2.6K0.25172.8028784850
2020-03-20$27.53$27.0087.1%25.0%17.2%46.9%15.0%3.3%-1.5%107.9K-631.4K-2.3K0.14177.1114283859
2020-03-23$27.96$27.0069.5%19.9%17.8%37.0%28.7%-1.1%49.5%81.6K-754.0K-2.5K0.08175.891191057452
2020-03-24$27.84$27.0067.1%19.2%18.0%35.7%19.4%2.5%60.9%139.3K-761.8K-2.5K0.08178.2575662962
2020-03-25$27.78$27.0066.1%19.0%18.0%35.1%14.1%6.2%66.2%54.9K-918.9K-2.8K0.13174.568166168
2020-03-26$27.88$27.0037.5%10.7%18.0%19.1%33.7%-22.1%-0.2%134.8K-866.0K-2.7K0.00155.3534066269
2020-03-27$28.10$27.0029.9%8.6%17.8%14.9%23.1%-27.6%8.3%141.1K-908.5K-2.6K0.03141.2238166169
2020-03-30$28.07$27.0031.9%9.1%17.8%16.0%27.5%-5.0%-19.1%217.7K-902.2K-2.4K0.04138.3725166770
2020-03-31$28.04$27.0028.6%8.2%17.7%14.2%21.6%-9.2%-14.9%231.2K-929.0K-2.1K3.33141.5362067270