GOVT Options History — April 2020

In April 2020, GOVT traded between $27.89 and $28.21. ATM implied volatility averaged 17.1%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 6.6% (HV 20d: 10.5%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.40.

Notable Days

2020-04-16: Highest Volume — 224 contracts
2020-04-17: Largest IV spike — 137.0% change
2020-04-07: Highest IV Rank — 25.3%
2020-04-01: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.09	$27.89	$28.21	$28.13	$28.10
Max Pain	$27.86	$26.00	$28.00	$27.00	$28.00
ATM IV	17.1%	4.7%	48.6%	41.0%	9.3%
Expected Move	3.7%	1.4%	11.8%	11.8%	2.7%
HV 20d	10.5%	4.8%	17.7%	17.7%	4.9%
HV 60d	10.9%	10.8%	11.0%	10.8%	11.0%
IV Rank	7.7%	0.8%	25.3%	21.1%	3.4%
IV Percentile	6.1%	1.2%	16.7%	11.1%	5.6%
Term Structure	-2.8%	-15.5%	4.8%	-5.4%	-2.6%
VWIV	16.5%	6.4%	50.4%	13.8%	25.6%
Skew 25d	5.8%	-39.2%	102.6%	102.6%	11.5%
Skew 10d	10.4%	-48.8%	132.4%	132.4%	-45.6%
Call IV 25d	27.9%	6.7%	59.3%	17.6%	15.1%
Put IV 25d	33.8%	7.6%	120.2%	120.2%	26.6%
Bid-Ask Spread %	159.33	141.29	174.06	154.93	150.54
Gamma HHI	0.61	0.44	0.92	0.76	0.83
Net GEX	122.0K	45.1K	317.0K	216.6K	47.3K
Net DEX	-739.5K	-1.0M	-474.7K	-1.0M	-506.6K
Net VEX	-1.8K	-2.6K	-1.1K	-2.5K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	2.67	0.00	0.20
Total Volume	27.81	0	224	4	0
Total OI	614.143	411	785	760	431

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
2020-04-01	$28.13	$27.00	41.0%	11.8%	17.7%	21.1%	13.8%	102.6%	-5.4%	216.6K	-1.0M	-2.5K	0.00	154.93	4	0	670	90
2020-04-02	$28.12	$26.00	28.3%	6.6%	17.5%	14.0%	20.5%	-5.3%	-15.5%	161.4K	-986.6K	-2.4K	2.60	159.74	10	26	670	90
2020-04-03	$28.16	$28.00	29.5%	2.5%	17.1%	14.7%	0.0%	11.5%	2.6%	160.8K	-1.0M	-2.6K	0.00	155.63	14	0	663	116
2020-04-06	$28.09	$28.00	32.2%	2.9%	16.4%	16.2%	9.9%	-19.9%	-1.1%	126.7K	-910.5K	-2.5K	0.00	156.19	34	0	652	116
2020-04-07	$27.97	$28.00	48.6%	2.7%	15.4%	25.3%	0.0%	10.3%	-0.9%	317.0K	-856.7K	-2.2K	0.09	170.87	23	2	656	116
2020-04-08	$27.93	$28.00	16.2%	4.6%	14.9%	7.2%	18.5%	-6.7%	-8.4%	289.7K	-769.8K	-2.2K	2.67	171.97	3	8	648	117
2020-04-09	$27.91	$28.00	16.5%	4.7%	14.9%	7.4%	15.2%	-12.1%	-7.1%	113.5K	-847.9K	-2.3K	0.18	174.06	11	2	646	122
2020-04-13	$27.90	$28.00	21.4%	6.1%	14.7%	10.1%	19.4%	-26.7%	-12.6%	110.4K	-846.7K	-2.2K	0.21	169.53	28	6	648	123
2020-04-14	$27.89	$28.00	11.8%	3.4%	12.9%	4.8%	0.0%	0.5%	-2.2%	112.9K	-856.6K	-2.1K	1.00	171.75	1	1	656	129
2020-04-15	$28.14	$28.00	10.7%	3.1%	11.2%	4.1%	0.0%	-35.0%	-1.4%	81.0K	-1.0M	-1.5K	0.25	172.76	8	2	655	130
2020-04-16	$28.19	$28.00	7.6%	2.2%	9.1%	2.4%	6.4%	32.3%	2.9%	128.3K	-1.0M	-1.6K	0.00	155.49	224	0	649	132
2020-04-17	$28.10	$28.00	17.9%	5.1%	9.2%	8.2%	19.5%	-30.9%	-8.0%	261.8K	-737.5K	-1.6K	0.00	156.64	106	0	459	132
2020-04-20	$28.15	$28.00	4.7%	1.4%	7.7%	0.8%	0.0%	23.5%	4.8%	48.4K	-488.6K	-1.4K	0.00	148.95	2	0	295	116
2020-04-21	$28.21	$28.00	9.6%	2.8%	5.6%	3.6%	6.9%	7.4%	-2.6%	52.2K	-513.3K	-1.4K	0.00	144.37	16	0	295	116
2020-04-22	$28.15	$28.00	10.6%	3.0%	5.4%	4.1%	0.0%	18.1%	-1.1%	54.0K	-494.5K	-1.5K	0.00	164.58	0	0	306	116
2020-04-23	$28.18	$28.00	7.4%	2.1%	5.3%	2.3%	7.2%	17.6%	1.5%	45.1K	-546.5K	-1.1K	0.00	164.92	16	0	306	116
2020-04-24	$28.20	$28.00	8.9%	2.6%	5.2%	3.2%	9.6%	-39.2%	1.2%	63.0K	-531.0K	-1.3K	0.00	171.66	9	0	311	116
2020-04-27	$28.05	$28.00	8.2%	2.3%	4.8%	2.8%	8.0%	35.8%	-1.2%	48.4K	-483.7K	-1.1K	0.06	147.99	16	1	307	116
2020-04-28	$28.15	$28.00	9.2%	2.6%	5.0%	3.3%	50.4%	17.6%	-1.3%	58.5K	-524.5K	-1.1K	0.25	142.00	4	1	315	117
2020-04-29	$28.12	$28.00	9.6%	2.7%	5.0%	3.5%	25.6%	9.3%	-1.0%	64.4K	-474.7K	-1.4K	0.20	141.29	5	1	315	118
2020-04-30	$28.10	$28.00	9.3%	2.7%	4.9%	3.4%	0.0%	11.5%	-2.6%	47.3K	-506.6K	-1.1K	0.00	150.54	0	0	313	118