GOVT Options History — June 2020

In June 2020, GOVT traded between $27.55 and $28.03. ATM implied volatility averaged 42.5%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 37.8% (HV 20d: 4.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.22.

Notable Days

2020-06-04: Highest Volume — 111 contracts
2020-06-10: Largest IV spike — 477.4% change
2020-06-19: Highest IV Rank — 55.5%
2020-06-19: Largest Expected Move — 28.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.85	$27.55	$28.03	$27.91	$27.98
Max Pain	$27.86	$27.00	$28.00	$27.00	$28.00
ATM IV	42.5%	5.8%	99.2%	7.5%	6.2%
Expected Move	14.4%	1.8%	28.4%	2.2%	1.8%
HV 20d	4.7%	4.3%	5.1%	4.7%	4.4%
HV 60d	6.9%	4.6%	10.7%	10.7%	4.6%
IV Rank	22.7%	1.5%	55.5%	2.5%	1.7%
IV Percentile	31.2%	2.8%	81.3%	6.0%	3.6%
Term Structure	30.3%	-35.5%	99.9%	17.8%	54.7%
VWIV	28.0%	3.6%	87.1%	11.7%	5.7%
Skew 25d	17.0%	-14.5%	89.3%	-2.4%	2.6%
Skew 10d	18.8%	-2.9%	58.9%	4.0%	7.1%
Call IV 25d	81.2%	9.9%	137.5%	10.6%	111.3%
Put IV 25d	98.2%	8.0%	162.8%	8.2%	113.9%
Bid-Ask Spread %	188.54	139.48	200.00	161.66	195.02
Gamma HHI	0.63	0.36	0.98	0.54	0.69
Net GEX	56.2K	-3.4K	197.8K	59.8K	29.4K
Net DEX	-219.3K	-381.5K	17.3K	-281.2K	-210.5K
Net VEX	-776	-1.1K	-460	-931	-983
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	2.00	0.00	0.01
Total Volume	21.818	0	111	0	102
Total OI	310.273	100	409	347	265

Daily Data (22 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
2020-06-01	$27.91	$27.00	7.5%	2.2%	4.7%	2.5%	0.0%	-2.4%	17.8%	59.8K	-281.2K	-931	0.00	161.66	0	0	256	91
2020-06-02	$27.88	$27.00	6.2%	1.8%	4.7%	1.7%	11.7%	-1.9%	48.8%	69.4K	-275.3K	-834	0.00	139.48	22	0	256	91
2020-06-03	$27.76	$27.00	8.9%	2.5%	4.9%	3.3%	9.3%	-1.1%	18.8%	60.8K	-276.3K	-897	0.04	158.97	45	2	274	91
2020-06-04	$27.65	$28.00	5.8%	11.3%	4.9%	1.5%	41.7%	-14.5%	-3.1%	63.8K	-247.3K	-894	0.32	173.55	84	27	287	93
2020-06-05	$27.55	$28.00	11.7%	15.3%	4.5%	4.9%	0.0%	6.2%	8.5%	60.8K	-237.2K	-920	0.00	195.68	5	0	287	93
2020-06-08	$27.57	$28.00	10.8%	20.1%	4.5%	4.4%	0.0%	14.0%	-13.4%	61.3K	-232.2K	-868	0.00	200.00	3	0	286	93
2020-06-09	$27.69	$28.00	9.6%	13.3%	4.7%	3.7%	59.3%	14.3%	26.5%	63.6K	-264.6K	-855	0.09	192.94	11	1	283	93
2020-06-10	$27.81	$28.00	55.4%	15.9%	4.9%	30.2%	0.0%	13.6%	-35.5%	82.2K	-279.9K	-747	0.00	200.00	4	0	290	93
2020-06-11	$27.95	$28.00	57.4%	16.5%	5.1%	31.4%	0.0%	14.8%	-2.7%	88.8K	-381.5K	-801	0.00	195.54	20	0	290	93
2020-06-12	$27.89	$28.00	68.2%	19.5%	5.1%	37.6%	0.0%	17.7%	-17.6%	71.1K	-339.2K	-733	0.04	200.00	26	1	295	93
2020-06-15	$27.89	$28.00	63.6%	18.2%	5.1%	34.9%	0.0%	14.9%	44.6%	40.1K	-335.8K	-820	0.00	195.15	5	0	317	92
2020-06-16	$27.81	$28.00	59.3%	17.0%	4.6%	32.4%	0.0%	20.6%	55.8%	49.4K	-238.4K	-736	2.00	200.00	5	10	274	92
2020-06-17	$27.82	$28.00	42.4%	12.2%	4.6%	22.7%	0.0%	8.3%	25.2%	31.0K	-264.1K	-731	0.00	200.00	2	0	275	82
2020-06-18	$27.88	$28.00	99.2%	28.4%	4.6%	55.5%	0.0%	21.8%	11.9%	39.3K	-284.1K	-603	0.00	200.00	4	0	273	82
2020-06-19	$27.88	$28.00	99.2%	28.4%	4.6%	55.5%	0.0%	21.1%	15.1%	132.7K	-88.6K	-492	0.08	186.10	12	1	270	82
2020-06-22	$27.88	$28.00	42.5%	12.2%	4.6%	22.7%	0.0%	1.0%	-2.6%	-1.8K	17.3K	-470	0.00	189.18	0	0	51	49
2020-06-23	$27.87	$28.00	66.6%	19.1%	4.5%	36.7%	87.1%	25.8%	97.7%	48	-31.4K	-465	1.14	187.19	21	24	51	49
2020-06-24	$27.93	$28.00	58.2%	16.7%	4.6%	31.8%	0.0%	22.0%	59.4%	-3.4K	7.0K	-460	0.35	200.00	23	8	52	49
2020-06-25	$27.95	$28.00	63.7%	18.3%	4.5%	35.0%	5.8%	89.3%	98.7%	29.9K	-71.6K	-772	0.33	194.11	3	1	113	50
2020-06-26	$28.03	$28.00	62.3%	17.9%	4.5%	34.2%	3.6%	76.0%	99.9%	197.8K	-265.4K	-1.1K	0.00	192.77	3	0	214	51
2020-06-29	$28.03	$28.00	30.8%	8.8%	4.3%	15.9%	0.0%	9.7%	58.5%	11.2K	-243.7K	-993	0.00	190.56	5	0	214	51
2020-06-30	$27.98	$28.00	6.2%	1.8%	4.4%	1.7%	5.7%	2.6%	54.7%	29.4K	-210.5K	-983	0.01	195.02	101	1	214	51