GOVT Options History — January 2021

In January 2021, GOVT traded between $27.03 and $27.38. ATM implied volatility averaged 16.6%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 13.3% (HV 20d: 3.2%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 2.21.

Notable Days

2021-01-28: Highest Volume — 106 contracts
2021-01-05: Largest IV spike — 143.0% change
2021-01-12: Highest IV Rank — 45.1%
2021-01-12: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.14	$27.03	$27.38	$27.38	$27.11
Max Pain	$27.00	$27.00	$27.00	$27.00	$27.00
ATM IV	16.6%	3.8%	49.7%	16.5%	3.8%
Expected Move	2.6%	1.1%	4.3%	2.5%	1.1%
HV 20d	3.2%	2.6%	3.5%	2.9%	3.4%
HV 60d	4.7%	4.5%	4.7%	4.5%	4.7%
IV Rank	9.3%	0.0%	45.1%	7.7%	0.0%
IV Percentile	23.1%	0.0%	67.9%	30.2%	0.0%
Term Structure	3.7%	-7.8%	40.6%	-4.7%	2.5%
VWIV	13.2%	6.6%	31.8%	13.7%	6.8%
Skew 25d	-0.0%	-17.1%	14.6%	1.6%	3.8%
Skew 10d	-3.7%	-49.4%	16.1%	1.2%	8.2%
Call IV 25d	18.7%	6.0%	69.1%	12.9%	6.2%
Put IV 25d	18.7%	6.1%	82.0%	14.5%	10.0%
Bid-Ask Spread %	160.90	93.69	200.00	170.64	174.20
Gamma HHI	0.68	0.38	0.93	0.93	0.38
Net GEX	26.9K	16.0K	40.7K	21.6K	39.8K
Net DEX	-69.4K	-199.5K	47.4K	-199.5K	-17.3K
Net VEX	-1.0K	-1.3K	-893	-1.1K	-940
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.21	0.00	10.50	0.00	0.00
Total Volume	17.158	0	106	0	46
Total OI	282.526	224	407	224	407

Daily Data (19 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
2021-01-04	$27.38	$0.00	16.5%	2.5%	2.9%	7.7%	0.0%	1.6%	-4.7%	21.6K	-199.5K	-1.1K	0.00	170.64	0	0	198	26
2021-01-05	$27.32	$0.00	40.2%	4.1%	2.6%	21.4%	0.0%	14.6%	-3.8%	34.0K	-159.6K	-991	0.00	163.95	0	1	198	26
2021-01-06	$27.15	$0.00	28.4%	2.4%	3.2%	14.6%	0.0%	-1.1%	33.5%	24.4K	-162.4K	-1.0K	0.00	161.35	2	0	198	27
2021-01-07	$27.10	$0.00	29.8%	3.5%	3.2%	15.4%	0.0%	-0.1%	-7.8%	36.4K	-105.0K	-893	0.00	170.99	0	0	200	27
2021-01-08	$27.05	$0.00	18.9%	3.5%	3.2%	9.1%	0.0%	1.0%	21.6%	26.5K	-143.9K	-1.0K	0.00	170.47	0	0	200	27
2021-01-11	$27.03	$0.00	41.9%	3.9%	3.0%	22.5%	13.7%	0.7%	-2.2%	28.0K	-130.2K	-936	2.18	200.00	11	24	200	27
2021-01-12	$27.03	$27.00	49.7%	4.3%	2.9%	45.1%	15.1%	-17.1%	-4.3%	17.7K	-153.2K	-1.2K	2.31	193.16	13	30	211	51
2021-01-13	$27.12	$27.00	10.9%	3.1%	3.2%	7.1%	0.0%	-9.0%	40.6%	16.0K	-122.6K	-1.3K	0.00	191.16	2	0	213	81
2021-01-14	$27.05	$27.00	8.8%	2.5%	3.3%	4.7%	8.6%	0.5%	-2.7%	31.8K	-28.3K	-970	3.57	153.13	7	25	216	81
2021-01-15	$27.10	$27.00	8.9%	2.6%	3.4%	4.9%	31.8%	-0.5%	-2.0%	28.5K	-4.0K	-1.1K	2.00	169.36	1	2	219	96
2021-01-19	$27.11	$27.00	9.1%	2.6%	3.4%	5.0%	15.7%	1.7%	-0.9%	16.5K	-75.5K	-1.3K	0.33	161.35	3	1	209	96
2021-01-20	$27.12	$27.00	14.1%	4.0%	3.4%	9.9%	0.0%	12.9%	-1.0%	25.9K	-29.4K	-1.2K	0.00	173.70	1	0	212	97
2021-01-21	$27.07	$27.00	9.0%	2.6%	3.3%	4.9%	8.6%	-9.1%	-4.6%	24.3K	47.4K	-959	0.00	137.67	1	0	211	97
2021-01-22	$27.11	$27.00	4.8%	1.4%	3.3%	0.8%	11.7%	-0.1%	1.2%	18.3K	40.3K	-917	0.00	93.69	4	0	212	97
2021-01-25	$27.19	$27.00	5.0%	1.4%	3.5%	1.0%	6.6%	1.3%	1.4%	23.1K	13.6K	-953	10.00	118.31	2	20	216	97
2021-01-26	$27.19	$27.00	5.6%	1.6%	3.4%	1.5%	0.0%	-3.5%	0.9%	31.0K	-33.2K	-908	0.00	161.10	0	1	218	77
2021-01-27	$27.20	$27.00	4.4%	1.3%	3.4%	0.4%	0.0%	0.2%	0.7%	40.7K	-31.4K	-952	10.50	132.95	2	21	218	78
2021-01-28	$27.15	$27.00	5.1%	1.5%	3.4%	1.1%	6.8%	2.0%	1.4%	26.0K	-24.1K	-904	0.00	159.84	106	0	220	84
2021-01-29	$27.11	$27.00	3.8%	1.1%	3.4%	0.0%	0.0%	3.8%	2.5%	39.8K	-17.3K	-940	0.00	174.20	46	0	323	84