GOVT Options History — October 2020

In October 2020, GOVT traded between $27.62 and $27.94. ATM implied volatility averaged 45.5%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 42.5% (HV 20d: 3.1%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-10-14: Highest Volume — 10 contracts
  • 2020-10-12: Largest IV spike — 311.9% change
  • 2020-10-12: Highest IV Rank — 47.7%
  • 2020-10-20: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.77$27.62$27.94$27.94$27.65
Max Pain$28.14$28.00$29.00$28.00$28.00
ATM IV45.5%17.7%85.7%33.7%52.6%
Expected Move12.2%3.8%19.8%9.7%15.1%
HV 20d3.1%2.7%3.6%2.8%3.6%
HV 60d3.1%2.8%3.2%2.9%3.2%
IV Rank24.5%8.4%47.7%17.7%28.6%
IV Percentile47.2%27.4%82.1%36.5%53.6%
Term Structure-10.9%-43.8%40.8%35.2%4.9%
VWIV44.3%29.3%59.4%59.4%29.3%
Skew 25d5.7%-58.3%34.1%34.1%5.6%
Skew 10d4.6%-58.3%36.5%36.5%5.6%
Call IV 25d48.9%16.8%103.0%32.2%103.0%
Put IV 25d54.6%17.9%108.6%66.3%108.6%
Bid-Ask Spread %195.22158.62200.00200.00196.43
Gamma HHI0.760.570.920.680.85
Net GEX26.8K9.0K50.9K18.5K32.0K
Net DEX-162.9K-212.6K-124.4K-151.8K-164.4K
Net VEX-1.2K-1.3K-1.1K-1.2K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.40901014
Total OI201.091194209194209

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$27.94$28.0033.7%9.7%2.8%17.7%0.0%34.1%35.2%18.5K-151.8K-1.2K0.00200.000116826
2020-10-02$27.89$28.0038.4%11.0%2.8%20.3%0.0%26.1%40.8%18.9K-169.4K-1.3K0.00200.000016826
2020-10-05$27.74$29.0060.3%17.0%2.7%33.0%0.0%5.1%-39.7%9.0K-185.6K-1.3K0.00200.000016826
2020-10-06$27.80$29.0059.1%14.7%2.7%32.3%0.0%5.2%-41.1%11.4K-154.9K-1.2K0.00200.001016826
2020-10-07$27.71$29.0068.1%17.2%2.9%37.5%59.4%4.7%-36.4%9.0K-192.0K-1.3K0.00199.681016925
2020-10-08$27.77$28.0027.1%16.6%3.0%13.8%0.0%5.0%-43.8%9.9K-172.0K-1.2K0.00200.001017025
2020-10-09$27.76$28.0020.8%4.0%2.9%10.2%0.0%1.1%-3.6%12.3K-159.1K-1.2K0.00188.350017125
2020-10-12$27.78$28.0085.7%3.8%2.9%47.7%0.0%1.9%-2.5%13.0K-160.6K-1.2K0.00200.000017125
2020-10-13$27.84$28.0063.0%18.1%3.1%34.6%0.0%6.7%-37.5%10.5K-190.4K-1.2K0.00200.000317125
2020-10-14$27.86$28.0028.2%8.1%3.1%14.4%29.3%3.0%-7.1%12.2K-181.0K-1.2K0.00200.0010017124
2020-10-15$27.84$28.0028.6%8.2%3.0%14.7%0.0%1.6%-17.6%11.2K-204.6K-1.3K0.00189.910018124
2020-10-16$27.82$28.0065.6%18.8%3.0%36.1%0.0%6.7%-14.4%10.1K-212.6K-1.3K0.00199.810018124
2020-10-19$27.80$28.0036.9%10.6%3.0%19.5%0.0%2.0%-3.8%47.4K-153.3K-1.2K0.00200.005017824
2020-10-20$27.71$28.0069.0%19.8%3.1%38.1%0.0%2.0%-16.6%41.4K-152.0K-1.2K0.00200.000018324
2020-10-21$27.70$28.0030.5%8.8%3.1%15.8%0.0%4.6%19.3%45.9K-144.2K-1.2K0.00199.720018324
2020-10-22$27.62$28.0044.8%12.9%3.2%24.1%0.0%-58.3%-5.5%39.0K-142.9K-1.2K0.00200.000018324
2020-10-23$27.65$28.0041.4%11.9%3.2%22.1%0.0%3.3%-38.8%50.9K-124.4K-1.1K0.00200.000018324
2020-10-26$27.72$28.0041.3%11.8%3.4%22.0%0.0%27.2%0.4%44.6K-141.2K-1.2K0.00187.590218324
2020-10-27$27.78$28.0041.1%11.8%3.5%21.9%0.0%27.8%-16.5%48.3K-148.0K-1.1K0.00192.350018323
2020-10-28$27.79$28.0048.0%13.8%3.4%25.9%0.0%7.5%-9.8%48.6K-153.9K-1.1K0.00182.473018322
2020-10-29$27.70$28.0017.7%5.1%3.6%8.4%0.0%2.2%-5.1%46.2K-125.6K-1.1K0.00158.620018722
2020-10-30$27.65$28.0052.6%15.1%3.6%28.6%0.0%5.6%4.9%32.0K-164.4K-1.2K0.00196.434018722