GOVT Options History — November 2020

In November 2020, GOVT traded between $27.48 and $27.80. ATM implied volatility averaged 37.0%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 32.7% (HV 20d: 4.3%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.07.

Notable Days

2020-11-02: Highest Volume — 7 contracts
2020-11-23: Largest IV spike — 213.5% change
2020-11-04: Highest IV Rank — 30.5%
2020-11-04: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.66	$27.48	$27.80	$27.65	$27.73
Max Pain	$28.80	$27.00	$29.00	$28.00	$29.00
ATM IV	37.0%	11.2%	56.0%	38.4%	48.7%
Expected Move	9.8%	3.2%	16.1%	11.0%	14.0%
HV 20d	4.3%	3.0%	4.7%	3.1%	4.4%
HV 60d	3.6%	3.1%	3.7%	3.1%	3.6%
IV Rank	19.6%	4.6%	30.5%	20.4%	26.4%
IV Percentile	43.4%	20.2%	59.1%	41.7%	56.7%
Term Structure	-3.7%	-36.9%	31.4%	-6.6%	-14.8%
VWIV	19.4%	13.6%	25.1%	25.1%	13.6%
Skew 25d	3.4%	-32.5%	36.5%	5.3%	0.2%
Skew 10d	8.2%	-22.9%	46.1%	3.7%	-10.2%
Call IV 25d	54.7%	8.6%	101.1%	85.2%	31.6%
Put IV 25d	58.0%	17.6%	102.9%	90.4%	31.8%
Bid-Ask Spread %	160.52	127.45	200.00	200.00	145.27
Gamma HHI	0.89	0.84	0.94	0.87	0.88
Net GEX	50.7K	38.5K	71.4K	44.2K	42.9K
Net DEX	-145.2K	-175.8K	-94.9K	-145.2K	-160.8K
Net VEX	-1.1K	-1.2K	-957	-1.1K	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.75	0.00	0.00
Total Volume	1.6	0	7	7	0
Total OI	228.6	213	240	213	223

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
2020-11-02	$27.65	$28.00	38.4%	11.0%	3.1%	20.4%	0.0%	5.3%	-6.6%	44.2K	-145.2K	-1.1K	0.00	200.00	7	0	191	22
2020-11-03	$27.61	$28.00	29.0%	8.3%	3.0%	14.9%	25.1%	2.8%	7.7%	38.5K	-137.6K	-1.1K	0.00	180.41	0	1	191	22
2020-11-04	$27.79	$27.00	56.0%	16.1%	3.7%	30.5%	0.0%	-14.1%	18.4%	54.5K	-175.8K	-1.2K	0.00	191.99	0	0	198	23
2020-11-05	$27.80	$29.00	27.1%	3.5%	3.6%	13.8%	13.6%	9.0%	-7.0%	60.6K	-153.5K	-1.2K	0.75	127.45	4	3	198	23
2020-11-06	$27.70	$29.00	43.6%	11.4%	3.8%	23.3%	0.0%	5.8%	-36.9%	54.5K	-164.2K	-1.2K	0.00	157.40	2	0	202	26
2020-11-09	$27.51	$29.00	49.1%	7.5%	4.5%	26.6%	0.0%	28.1%	-24.4%	40.4K	-136.6K	-1.1K	0.00	141.42	0	0	204	26
2020-11-10	$27.48	$29.00	34.9%	6.2%	4.4%	18.4%	0.0%	36.5%	13.2%	49.0K	-105.9K	-1.0K	0.00	144.54	0	0	206	26
2020-11-11	$27.51	$29.00	14.2%	4.1%	4.4%	6.4%	0.0%	10.2%	-5.4%	51.4K	-94.9K	-974	0.00	133.07	6	0	206	26
2020-11-12	$27.63	$29.00	21.4%	6.1%	4.7%	10.6%	0.0%	-21.6%	-20.2%	60.2K	-140.2K	-1.1K	0.00	140.27	2	0	212	26
2020-11-13	$27.62	$29.00	28.3%	8.1%	4.7%	14.6%	0.0%	-32.5%	-9.8%	49.1K	-168.3K	-1.2K	0.00	169.39	0	0	213	26
2020-11-16	$27.62	$29.00	36.5%	10.5%	4.7%	19.3%	0.0%	5.9%	-9.2%	50.9K	-168.3K	-1.2K	0.00	173.76	1	0	213	26
2020-11-17	$27.66	$29.00	53.1%	15.2%	4.6%	29.0%	0.0%	6.0%	-30.6%	71.4K	-142.2K	-1.1K	0.00	172.81	1	0	214	26
2020-11-18	$27.66	$29.00	39.6%	11.4%	4.6%	21.1%	0.0%	4.0%	-28.8%	54.1K	-129.5K	-959	0.00	160.16	1	0	214	24
2020-11-19	$27.70	$29.00	53.7%	15.4%	4.6%	29.3%	0.0%	5.9%	19.0%	52.7K	-160.2K	-1.1K	0.00	174.19	0	0	215	24
2020-11-20	$27.77	$29.00	11.2%	3.2%	4.6%	4.6%	0.0%	3.3%	18.5%	53.1K	-144.2K	-1.0K	0.00	146.31	0	0	215	24
2020-11-23	$27.73	$29.00	35.2%	10.1%	4.6%	18.6%	0.0%	-2.9%	4.0%	52.0K	-142.9K	-997	0.00	167.34	0	0	201	20
2020-11-24	$27.68	$29.00	52.8%	15.1%	4.5%	28.8%	0.0%	2.2%	12.0%	50.1K	-137.4K	-957	0.00	173.18	2	0	201	20
2020-11-25	$27.66	$29.00	49.5%	14.2%	4.5%	26.8%	0.0%	1.8%	31.4%	40.4K	-156.0K	-1.0K	0.00	172.38	2	0	202	20
2020-11-27	$27.72	$29.00	18.1%	5.2%	4.5%	8.6%	0.0%	11.1%	-4.4%	44.8K	-140.5K	-1.0K	0.00	139.14	0	0	203	20
2020-11-30	$27.73	$29.00	48.7%	14.0%	4.4%	26.4%	0.0%	0.2%	-14.8%	42.9K	-160.8K	-1.0K	0.00	145.27	0	0	203	20