GOVT Options History — July 2020

In July 2020, GOVT traded between $27.92 and $28.28. ATM implied volatility averaged 39.7%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 36.7% (HV 20d: 3.0%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.35.

Notable Days

2020-07-06: Highest Volume — 181 contracts
2020-07-15: Largest IV spike — 188.5% change
2020-07-29: Highest IV Rank — 43.1%
2020-07-08: Largest Expected Move — 37.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.10	$27.92	$28.28	$27.93	$28.28
Max Pain	$27.86	$27.00	$28.00	$28.00	$28.00
ATM IV	39.7%	6.6%	77.7%	6.9%	55.8%
Expected Move	18.1%	1.9%	37.5%	2.0%	16.0%
HV 20d	3.0%	2.6%	4.1%	4.1%	2.6%
HV 60d	4.2%	3.9%	4.6%	4.6%	3.9%
IV Rank	21.1%	2.0%	43.1%	2.1%	30.4%
IV Percentile	32.6%	4.4%	63.9%	5.6%	42.5%
Term Structure	-14.5%	-59.8%	55.5%	55.0%	-18.3%
VWIV	36.8%	6.0%	100.7%	100.7%	6.5%
Skew 25d	11.7%	-16.2%	91.8%	3.7%	-0.3%
Skew 10d	7.1%	-36.4%	17.6%	8.1%	-36.4%
Call IV 25d	85.2%	7.3%	143.7%	117.2%	73.1%
Put IV 25d	96.9%	59.0%	161.1%	120.9%	72.8%
Bid-Ask Spread %	193.62	176.75	200.00	186.06	191.98
Gamma HHI	0.68	0.37	0.98	0.69	0.41
Net GEX	63.9K	-2.7K	369.6K	28.2K	2.6K
Net DEX	-161.1K	-346.8K	-13.7K	-211.3K	-37.4K
Net VEX	-760	-975	-554	-975	-692
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.00	5.00	0.13	0.00
Total Volume	19.364	0	181	0	3
Total OI	207.636	123	273	265	146

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
2020-07-01	$27.93	$28.00	6.9%	2.0%	4.1%	2.1%	0.0%	3.7%	55.0%	28.2K	-211.3K	-975	0.00	186.06	0	0	215	50
2020-07-02	$27.95	$28.00	6.6%	1.9%	3.8%	2.0%	0.0%	91.8%	55.5%	43.9K	-206.4K	-973	0.00	190.74	0	0	215	50
2020-07-06	$27.92	$28.00	8.8%	28.8%	3.5%	3.2%	100.7%	12.2%	-10.3%	91.9K	-196.6K	-886	0.13	185.18	160	21	214	50
2020-07-07	$28.01	$28.00	8.0%	37.1%	3.6%	2.8%	0.0%	17.6%	-37.8%	123.9K	-271.7K	-923	0.00	200.00	1	0	214	50
2020-07-08	$27.98	$28.00	7.8%	37.5%	3.4%	2.7%	0.0%	17.4%	-30.7%	67.7K	-248.2K	-897	0.00	200.00	0	0	214	50
2020-07-09	$28.10	$28.00	9.0%	18.8%	3.4%	3.3%	0.0%	10.0%	-43.6%	65.3K	-265.9K	-877	0.00	200.00	0	0	214	50
2020-07-10	$28.05	$28.00	8.8%	19.1%	3.1%	3.2%	0.0%	9.3%	-10.9%	83.4K	-254.4K	-855	0.00	199.74	0	0	214	50
2020-07-13	$28.06	$28.00	11.7%	19.6%	3.0%	4.9%	0.0%	9.8%	-26.9%	126.9K	-266.5K	-799	0.00	200.00	5	0	214	50
2020-07-14	$28.09	$28.00	19.6%	7.9%	3.0%	9.5%	0.0%	2.1%	-22.2%	86.7K	-270.8K	-766	0.00	200.00	1	0	219	50
2020-07-15	$28.06	$28.00	56.5%	16.2%	2.8%	30.8%	57.1%	6.2%	-14.8%	142.6K	-265.1K	-730	0.14	177.23	149	21	220	50
2020-07-16	$28.09	$28.00	68.8%	19.7%	2.8%	38.0%	0.0%	-14.7%	-31.6%	156.8K	-321.3K	-704	0.00	199.73	0	4	223	50
2020-07-17	$28.07	$28.00	69.8%	20.0%	2.7%	38.5%	0.0%	8.8%	-12.0%	369.6K	-346.8K	-614	0.00	199.73	6	0	223	50
2020-07-20	$28.09	$28.00	72.7%	20.8%	2.7%	40.2%	6.0%	11.0%	-14.6%	-2.7K	-13.7K	-554	0.00	198.48	20	0	75	48
2020-07-21	$28.12	$28.00	72.6%	20.8%	2.7%	40.1%	10.8%	35.1%	-12.8%	5.9K	-66.1K	-718	0.00	188.79	1	0	95	48
2020-07-22	$28.12	$28.00	38.3%	11.0%	2.7%	20.3%	66.2%	7.3%	-17.2%	3.0K	-73.2K	-720	0.00	199.62	12	0	96	48
2020-07-23	$28.19	$27.00	43.3%	12.4%	2.8%	23.2%	0.0%	8.4%	-44.0%	1.9K	-44.8K	-658	0.00	199.10	4	0	78	48
2020-07-24	$28.19	$27.00	55.0%	15.8%	2.8%	30.0%	0.0%	8.1%	17.7%	1.1K	-34.4K	-633	0.00	191.61	0	0	82	48
2020-07-27	$28.15	$27.00	54.8%	15.7%	2.7%	29.8%	71.4%	-16.2%	-3.5%	2.4K	-39.8K	-665	5.00	192.01	2	10	82	48
2020-07-28	$28.21	$28.00	55.9%	16.0%	2.8%	30.4%	0.0%	8.4%	-59.8%	1.8K	-32.2K	-697	0.00	192.35	1	0	84	58
2020-07-29	$28.21	$28.00	77.7%	22.3%	2.6%	43.1%	6.5%	11.2%	-21.4%	1.5K	-38.1K	-697	0.00	176.75	2	0	84	58
2020-07-30	$28.28	$28.00	65.5%	18.8%	2.6%	36.0%	6.3%	9.9%	-15.0%	1.7K	-40.1K	-697	0.00	190.56	3	0	85	58
2020-07-31	$28.28	$28.00	55.8%	16.0%	2.6%	30.4%	6.5%	-0.3%	-18.3%	2.6K	-37.4K	-692	0.00	191.98	3	0	88	58