GOVT Options History — December 2020

In December 2020, GOVT traded between $27.24 and $27.43. ATM implied volatility averaged 28.0%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 22.1% (HV 20d: 5.9%). Max pain ranged from $27.76 to $28.76. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-12-21: Highest Volume — 15 contracts
  • 2020-12-29: Largest IV spike — 300.3% change
  • 2020-12-04: Highest IV Rank — 46.5%
  • 2020-12-01: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.35$27.24$27.43$27.34$27.38
Max Pain$27.82$27.76$28.76$28.76$27.76
ATM IV28.0%11.2%83.3%68.6%20.4%
Expected Move7.3%3.2%19.7%19.7%5.9%
HV 20d5.9%3.1%6.7%6.7%3.1%
HV 60d4.6%4.5%4.7%4.5%4.6%
IV Rank14.4%4.6%46.5%38.0%10.0%
IV Percentile37.9%19.8%87.3%75.4%34.1%
Term Structure-7.9%-76.5%37.6%13.7%-0.4%
VWIV15.6%8.2%23.0%8.2%23.0%
Skew 25d0.6%-21.3%20.0%2.2%-21.3%
Skew 10d4.5%-21.4%24.4%10.9%3.9%
Call IV 25d31.0%12.2%120.9%120.9%55.5%
Put IV 25d31.6%14.5%123.1%123.1%34.2%
Bid-Ask Spread %174.20148.32195.86154.44193.50
Gamma HHI0.850.680.980.720.91
Net GEX21.2K038.2K019.1K
Net DEX-169.7K-218.5K00-194.5K
Net VEX-998-1.1K00-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.409015010
Total OI211.77302380214

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$27.34$0.0068.6%19.7%6.7%38.0%0.0%2.2%13.7%0000.00154.440000
2020-12-02$27.29$28.7629.7%8.5%6.7%15.4%0.0%19.8%-9.7%16.0K-179.6K-1.1K0.00150.620020320
2020-12-03$27.36$0.0030.8%6.7%6.3%16.0%0.0%-4.2%-7.5%14.9K-186.4K-1.1K0.00191.163020320
2020-12-04$27.24$0.0083.3%15.4%6.4%46.5%0.0%-2.2%-19.7%12.6K-208.9K-1.1K0.00190.353020620
2020-12-07$27.32$0.0026.4%4.5%6.5%13.4%0.0%-2.7%-12.8%18.4K-167.6K-1.0K0.00181.531020920
2020-12-08$27.36$0.0022.0%4.0%6.1%10.9%0.0%-0.0%-8.2%18.8K-168.3K-1.0K0.00161.450021020
2020-12-09$27.31$0.0012.0%3.4%6.1%5.1%8.2%-17.5%-9.6%17.7K-190.6K-1.1K0.00193.540521020
2020-12-10$27.38$27.7627.6%7.9%6.2%14.1%0.0%0.1%-9.8%15.7K-193.3K-1.1K0.00185.440021025
2020-12-11$27.43$27.7625.3%7.3%6.0%12.8%0.0%-1.6%-4.5%13.7K-203.6K-1.1K0.00193.540021025
2020-12-14$27.41$27.7630.5%8.7%6.0%15.8%0.0%19.1%-29.0%19.2K-180.3K-1.0K0.00185.440021025
2020-12-15$27.38$27.7638.9%11.1%6.0%20.7%0.0%20.0%-29.7%14.5K-154.1K-9820.00187.250021025
2020-12-16$27.38$27.7621.8%6.2%6.0%10.8%0.0%-2.0%-10.9%18.7K-174.8K-9860.00165.120021025
2020-12-17$27.32$27.7615.5%4.4%6.0%7.1%0.0%0.7%37.6%37.9K-147.4K-9770.00158.445021025
2020-12-18$27.30$27.7623.2%6.7%6.0%11.6%0.0%-3.7%3.4%26.9K-156.6K-1.0K0.00195.860321523
2020-12-21$27.34$27.7625.4%7.3%5.9%12.9%0.0%12.2%-25.7%19.8K-218.5K-1.0K0.00186.120151856
2020-12-22$27.38$27.7611.2%3.2%5.9%4.6%0.0%-1.5%0.5%16.5K-201.5K-1.1K0.00154.190018521
2020-12-23$27.31$27.7613.5%3.9%6.0%5.9%0.0%-3.1%28.2%28.2K-163.1K-1.1K0.00148.320018521
2020-12-24$27.36$27.7612.1%3.5%6.0%5.1%0.0%2.4%4.4%33.1K-160.3K-1.1K0.00160.183018521
2020-12-28$27.36$27.7612.9%3.7%5.9%5.6%0.0%3.3%-1.8%38.0K-153.5K-1.0K0.00157.650018821
2020-12-29$27.35$27.7651.6%14.8%5.9%28.1%0.0%-0.9%-76.5%38.2K-152.4K-1.0K0.00151.250018821
2020-12-30$27.36$27.7613.7%3.9%3.1%6.1%0.0%-5.3%-6.1%27.8K-177.2K-1.1K0.00187.040518821
2020-12-31$27.38$27.7620.4%5.9%3.1%10.0%23.0%-21.3%-0.4%19.1K-194.5K-1.1K0.00193.5010018826