GOVT Options History — September 2020 In September 2020, GOVT traded between $27.89 and $28.05. ATM implied volatility averaged 40.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 36.7% (HV 20d: 3.3%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2020-09-04 : Highest Volume — 250 contracts2020-09-09 : Largest IV spike — 179.5% change2020-09-18 : Highest IV Rank — 39.6%2020-09-18 : Largest Expected Move — 20.5%Monthly Statistics Metric Avg Min Max Open Close Price $27.97 $27.89 $28.05 $27.95 $27.95 Max Pain $28.55 $28.00 $29.00 $28.00 $28.00 ATM IV 40.0% 7.2% 71.7% 7.2% 13.9% Expected Move 13.2% 2.1% 20.5% 2.1% 4.0% HV 20d 3.3% 2.9% 3.8% 3.1% 2.9% HV 60d 3.1% 3.0% 3.3% 3.3% 3.0% IV Rank 21.3% 2.3% 39.6% 2.3% 6.2% IV Percentile 39.4% 7.1% 62.3% 7.1% 22.6% Term Structure 2.8% -60.5% 52.6% 52.6% 2.0% VWIV 12.1% 4.7% 25.0% 25.0% 6.7% Skew 25d 14.6% -0.4% 85.7% 85.7% 3.6% Skew 10d 11.6% -42.3% 70.7% 10.0% 2.8% Call IV 25d 61.4% 7.1% 99.8% 7.1% 22.1% Put IV 25d 76.1% 25.7% 111.8% 92.7% 25.7% Bid-Ask Spread % 192.43 151.19 200.00 155.46 160.67 Gamma HHI 0.65 0.31 0.94 0.35 0.60 Net GEX 40.6K 5.7K 131.2K 18.3K 13.7K Net DEX -203.6K -444.0K -89.8K -95.2K -158.3K Net VEX -1.3K -2.3K -605 -666 -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 24.476 0 250 1 0 Total OI 281.238 190 457 216 194
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 2020-09-01 $27.95 $28.00 7.2% 2.1% 3.1% 2.3% 0.0% 85.7% 52.6% 18.3K -95.2K -666 0.00 155.46 1 0 167 49 2020-09-02 $28.02 $28.00 11.2% 3.2% 3.2% 4.6% 0.0% 13.2% 44.8% 17.7K -89.8K -621 0.00 151.19 0 0 168 49 2020-09-03 $28.05 $0.00 11.0% 18.8% 3.2% 4.5% 25.0% 12.2% -32.1% 17.7K -91.1K -605 0.00 200.00 4 0 168 49 2020-09-04 $27.89 $29.00 14.3% 11.4% 3.7% 6.4% 0.0% 4.8% -14.8% 15.0K -108.0K -684 0.00 199.65 250 0 171 49 2020-09-08 $27.95 $29.00 15.2% 18.2% 3.8% 6.9% 0.0% 40.1% -20.0% 41.2K -444.0K -2.3K 0.00 200.00 0 0 408 49 2020-09-09 $27.91 $29.00 42.4% 12.1% 3.6% 22.6% 0.0% 11.4% -32.7% 49.9K -393.0K -2.2K 0.00 199.65 0 0 408 49 2020-09-10 $27.95 $29.00 61.7% 17.7% 3.5% 33.9% 0.0% 8.2% -31.5% 73.6K -383.1K -2.1K 0.00 200.00 0 0 408 49 2020-09-11 $27.98 $29.00 64.8% 18.6% 3.4% 35.6% 0.0% 8.6% -21.3% 131.2K -362.3K -2.1K 0.00 200.00 243 0 408 49 2020-09-14 $27.97 $29.00 45.5% 13.0% 3.4% 24.5% 0.0% 8.8% -35.4% 72.7K -254.9K -1.4K 0.00 200.00 0 0 285 49 2020-09-15 $27.97 $29.00 68.8% 19.7% 3.4% 38.0% 0.0% 1.1% -48.6% 79.9K -210.1K -1.4K 0.00 195.45 0 0 285 49 2020-09-16 $27.93 $29.00 70.0% 20.1% 3.4% 38.7% 0.0% 6.4% -60.5% 69.1K -143.5K -927 0.00 200.00 0 0 285 49 2020-09-17 $27.96 $29.00 63.9% 18.3% 3.4% 35.1% 0.0% 11.4% -13.3% 87.5K -184.5K -1.3K 0.00 200.00 0 0 285 49 2020-09-18 $27.93 $29.00 71.7% 20.5% 3.3% 39.6% 0.0% 8.5% -20.2% 96.4K -140.7K -1.3K 0.00 199.71 0 10 285 49 2020-09-21 $27.97 $29.00 40.0% 11.5% 3.3% 21.3% 4.7% 43.0% 46.9% 11.5K -168.8K -1.3K 0.00 200.00 1 0 164 26 2020-09-22 $27.96 $28.00 20.5% 5.9% 3.3% 10.0% 0.0% 13.4% 16.1% 11.9K -164.0K -1.3K 0.00 192.43 0 0 165 26 2020-09-23 $27.97 $28.00 39.0% 11.2% 3.2% 20.7% 6.7% 8.1% 45.8% 5.7K -142.1K -1.1K 0.00 200.00 3 0 165 26 2020-09-24 $27.99 $28.00 43.6% 12.5% 3.2% 23.3% 0.0% 9.8% 46.1% 10.1K -188.4K -1.3K 0.00 199.80 0 1 167 26 2020-09-25 $28.01 $28.00 43.6% 12.5% 2.9% 23.4% 0.0% 7.6% 46.5% 9.5K -169.9K -1.2K 0.00 193.03 0 0 167 26 2020-09-28 $27.98 $28.00 43.5% 12.5% 2.9% 23.3% 0.0% 2.2% 41.2% 11.2K -185.2K -1.3K 0.00 194.09 0 0 167 26 2020-09-29 $28.01 $28.00 48.5% 13.9% 2.9% 26.2% 0.0% -0.4% 47.8% 8.8K -197.7K -1.3K 0.00 199.80 1 0 167 26 2020-09-30 $27.95 $28.00 13.9% 4.0% 2.9% 6.2% 0.0% 3.6% 2.0% 13.7K -158.3K -1.2K 0.00 160.67 0 0 168 26
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