GOVT Options History — February 2021 In February 2021, GOVT traded between $26.30 and $27.12. ATM implied volatility averaged 7.1%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 4.0% (HV 20d: 3.1%). Max pain ranged from $27.00 to $27.76. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 4.04.
Notable Days 2021-02-05 : Highest Volume — 153 contracts2021-02-05 : Largest IV spike — 321.9% change2021-02-05 : Highest IV Rank — 18.3%2021-02-05 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $26.81 $26.30 $27.12 $27.12 $26.54 Max Pain $27.64 $27.00 $27.76 $27.00 $27.76 ATM IV 7.1% 2.7% 21.2% 5.9% 7.4% Expected Move 2.0% 1.3% 5.2% 1.7% 2.1% HV 20d 3.1% 2.5% 5.5% 3.4% 5.5% HV 60d 4.3% 4.1% 5.0% 4.7% 5.0% IV Rank 4.2% 0.0% 18.3% 2.1% 4.8% IV Percentile 10.3% 0.0% 40.9% 4.8% 14.3% Term Structure -0.8% -9.6% 2.9% -0.8% -2.9% VWIV 7.3% 5.1% 13.2% 8.0% 7.3% Skew 25d -0.2% -29.0% 10.0% -1.6% -0.9% Skew 10d 1.3% -38.7% 12.6% 0.4% -2.5% Call IV 25d 9.2% 5.7% 36.4% 7.9% 8.2% Put IV 25d 9.1% 5.1% 19.4% 6.3% 7.3% Bid-Ask Spread % 128.20 73.27 182.28 168.74 111.80 Gamma HHI 0.35 0.22 0.53 0.49 0.24 Net GEX 28.8K 6.6K 48.8K 48.8K 6.6K Net DEX -54.8K -167.8K 118.9K -91.3K 5.2K Net VEX -2.3K -3.8K -1.2K -1.4K -3.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.04 0.00 27.00 0.00 27.00 Total Volume 40 3 153 11 28 Total OI 693.737 453 925 453 925
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 2021-02-01 $27.12 $27.00 5.9% 1.7% 3.4% 2.1% 8.0% -1.6% -0.8% 48.8K -91.3K -1.4K 0.00 168.74 11 0 369 84 2021-02-02 $27.05 $27.00 5.0% 1.4% 3.5% 1.2% 0.0% -0.4% 0.1% 34.8K -53.8K -1.2K 0.03 182.28 30 1 379 84 2021-02-03 $26.99 $27.00 6.5% 1.9% 3.5% 2.8% 6.5% -29.0% -1.0% 29.1K -18.6K -1.2K 0.50 147.15 2 1 409 93 2021-02-04 $26.98 $27.76 5.0% 1.7% 2.8% 1.3% 7.1% -0.3% 0.7% 23.3K 3.6K -1.2K 1.00 130.52 5 5 409 94 2021-02-05 $26.94 $27.76 21.2% 5.2% 2.8% 18.3% 13.2% -3.4% -9.6% 22.4K -25.7K -1.3K 0.00 152.57 153 0 414 96 2021-02-08 $26.95 $27.76 5.6% 1.5% 2.7% 1.9% 5.2% 0.3% 0.8% 41.7K -145.9K -2.2K 0.00 134.04 78 0 562 96 2021-02-09 $26.95 $27.76 2.7% 1.4% 2.7% 0.0% 0.0% -0.6% 0.8% 34.8K -148.8K -2.3K 0.50 103.29 4 2 612 97 2021-02-10 $26.99 $27.76 4.7% 1.4% 2.8% 2.0% 0.0% 0.3% 1.2% 39.5K -167.8K -2.3K 0.06 105.50 18 1 614 99 2021-02-11 $26.97 $27.76 4.6% 1.3% 2.5% 1.9% 6.4% 0.4% 1.4% 19.2K -138.0K -2.3K 0.00 73.27 3 0 624 119 2021-02-12 $26.88 $27.76 5.1% 1.5% 2.6% 2.4% 5.1% 1.4% 0.9% 28.1K -97.5K -2.3K 1.00 124.17 3 3 623 119 2021-02-16 $26.74 $27.76 12.3% 3.5% 3.0% 9.9% 9.0% 3.1% -8.7% 40.0K -57.5K -2.3K 2.00 145.00 1 2 626 121 2021-02-17 $26.78 $27.76 5.5% 1.6% 3.1% 2.9% 5.5% 3.9% 0.8% 46.1K -135.4K -2.2K 0.06 109.04 16 1 626 122 2021-02-18 $26.77 $27.76 5.3% 1.5% 3.0% 2.7% 5.3% 4.0% -0.0% 31.4K -40.5K -2.1K 2.26 132.16 27 61 642 121 2021-02-19 $26.68 $27.76 5.7% 1.6% 3.2% 3.1% 5.7% 4.7% -2.2% 30.0K 29.2K -2.3K 25.67 134.30 3 77 662 182 2021-02-22 $26.62 $27.76 12.6% 3.6% 3.1% 10.2% 10.5% 10.0% 2.9% 30.8K -136.9K -3.5K 4.13 160.61 16 66 523 195 2021-02-23 $26.61 $27.76 5.2% 1.5% 2.7% 2.6% 6.4% 7.0% -0.2% 17.0K 17.0K -2.8K 9.67 117.88 3 29 534 261 2021-02-24 $26.55 $27.76 4.8% 1.4% 2.7% 2.2% 5.1% 0.3% -0.4% 17.5K 41.8K -3.1K 2.33 115.03 3 7 533 285 2021-02-25 $26.30 $27.76 10.3% 2.9% 4.0% 7.8% 10.9% -2.2% 0.2% 6.8K 118.9K -3.3K 0.61 88.45 62 38 535 292 2021-02-26 $26.54 $27.76 7.4% 2.1% 5.5% 4.8% 7.3% -0.9% -2.9% 6.6K 5.2K -3.8K 27.00 111.80 1 27 596 329
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