GOVT Options History — May 2020

In May 2020, GOVT traded between $27.88 and $28.11. ATM implied volatility averaged 10.1%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 5.3% (HV 20d: 4.8%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.16.

Notable Days

2020-05-15: Highest Volume — 58 contracts
2020-05-12: Largest IV spike — 126.3% change
2020-05-12: Highest IV Rank — 21.7%
2020-05-20: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.99	$27.88	$28.11	$28.07	$27.99
Max Pain	$27.05	$27.00	$28.00	$28.00	$27.00
ATM IV	10.1%	4.9%	40.7%	6.8%	6.5%
Expected Move	2.2%	1.4%	5.0%	2.0%	1.9%
HV 20d	4.8%	4.4%	5.5%	4.9%	4.6%
HV 60d	11.0%	10.8%	11.1%	10.9%	10.8%
IV Rank	3.9%	1.0%	21.7%	2.0%	1.9%
IV Percentile	5.5%	1.6%	21.0%	2.0%	2.8%
Term Structure	37.3%	-0.8%	103.9%	-0.6%	48.6%
VWIV	8.0%	5.3%	13.8%	5.3%	7.2%
Skew 25d	10.2%	-33.3%	68.7%	-33.3%	-0.0%
Skew 10d	21.5%	-6.3%	95.1%	0.6%	-1.0%
Call IV 25d	11.6%	7.3%	68.6%	68.6%	9.9%
Put IV 25d	21.7%	5.9%	81.1%	35.3%	9.9%
Bid-Ask Spread %	152.62	138.81	162.73	162.73	159.21
Gamma HHI	0.57	0.44	0.83	0.83	0.46
Net GEX	63.1K	37.6K	90.6K	42.0K	67.4K
Net DEX	-438.4K	-531.5K	-360.4K	-501.9K	-414.7K
Net VEX	-1.1K	-1.3K	-868	-1.1K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	1.75	1.75	0.00
Total Volume	10.5	0	58	11	0
Total OI	427.4	358	481	431	389

Daily Data (20 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
2020-05-01	$28.07	$28.00	6.8%	2.0%	4.9%	2.0%	5.3%	-33.3%	-0.6%	42.0K	-501.9K	-1.1K	1.75	162.73	4	7	313	118
2020-05-04	$28.05	$27.00	9.3%	2.3%	4.9%	3.4%	8.0%	37.3%	9.0%	37.6K	-494.1K	-1.1K	0.00	139.14	32	0	315	125
2020-05-05	$28.03	$27.00	6.7%	2.2%	4.8%	2.0%	7.8%	48.5%	42.7%	51.7K	-531.5K	-1.1K	0.00	151.63	0	10	346	125
2020-05-06	$27.91	$27.00	9.2%	2.4%	4.8%	3.3%	8.7%	-0.7%	42.1%	77.9K	-455.7K	-1.3K	0.50	155.69	2	1	346	135
2020-05-07	$28.05	$27.00	7.5%	2.1%	5.1%	2.4%	8.1%	48.9%	17.6%	50.5K	-521.1K	-1.1K	0.09	155.24	11	1	344	135
2020-05-08	$27.95	$27.00	8.9%	2.1%	5.3%	3.1%	0.0%	38.3%	0.2%	58.7K	-470.4K	-1.1K	0.00	154.95	8	0	342	136
2020-05-11	$27.88	$27.00	18.0%	2.6%	5.3%	8.2%	0.0%	-0.0%	-0.8%	62.6K	-372.3K	-1.3K	0.00	153.91	2	0	331	136
2020-05-12	$27.97	$27.00	40.7%	2.3%	5.5%	21.7%	8.0%	-0.3%	-0.1%	70.6K	-428.5K	-1.1K	0.00	156.28	14	0	329	136
2020-05-13	$28.04	$27.00	9.1%	2.6%	4.5%	3.4%	8.3%	1.0%	25.4%	54.8K	-449.0K	-1.3K	0.00	140.68	6	0	333	136
2020-05-14	$28.11	$27.00	8.3%	2.4%	4.5%	2.9%	8.8%	-1.4%	99.7%	82.1K	-481.1K	-1.1K	0.00	145.99	2	0	329	136
2020-05-15	$28.07	$27.00	5.3%	1.5%	4.4%	1.2%	5.8%	-2.0%	103.9%	90.6K	-466.0K	-1.2K	0.00	156.23	58	0	328	136
2020-05-18	$27.89	$27.00	6.8%	1.9%	4.9%	2.0%	5.5%	1.7%	49.0%	62.4K	-360.4K	-1.1K	0.00	153.82	3	0	269	91
2020-05-19	$27.94	$27.00	8.0%	2.3%	4.9%	2.7%	8.0%	0.9%	45.5%	60.0K	-380.4K	-1.1K	0.00	152.85	36	0	267	91
2020-05-20	$27.97	$27.00	17.4%	5.0%	4.9%	8.2%	13.8%	68.7%	39.9%	44.7K	-407.5K	-868	0.00	152.98	4	0	299	91
2020-05-21	$27.98	$27.00	7.9%	2.3%	4.8%	2.7%	0.0%	1.7%	29.0%	71.9K	-421.9K	-1.0K	0.00	138.81	0	0	297	91
2020-05-22	$28.03	$27.00	7.2%	2.1%	4.9%	2.3%	7.2%	-0.9%	47.1%	70.8K	-448.9K	-1.0K	0.00	152.40	8	0	297	91
2020-05-26	$27.95	$27.00	5.6%	1.6%	4.6%	1.4%	0.0%	-1.4%	48.6%	66.9K	-394.1K	-1.1K	0.00	156.47	0	0	297	91
2020-05-27	$27.95	$27.00	7.1%	2.0%	4.4%	2.2%	0.0%	-1.7%	49.0%	63.5K	-383.9K	-1.1K	0.00	157.45	1	0	297	91
2020-05-28	$27.90	$27.00	4.9%	1.4%	4.4%	1.0%	0.0%	-2.2%	50.2%	76.3K	-385.3K	-977	0.00	155.96	0	0	298	91
2020-05-29	$27.99	$27.00	6.5%	1.9%	4.6%	1.9%	0.0%	-0.0%	48.6%	67.4K	-414.7K	-1.0K	0.00	159.21	0	0	298	91