GOVT Options History — March 2021

In March 2021, GOVT traded between $26.12 and $26.52. ATM implied volatility averaged 7.5%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.0% (HV 20d: 5.5%). Max pain ranged from $26.00 to $27.76. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.69.

Notable Days

  • 2021-03-01: Highest Volume — 373 contracts
  • 2021-03-09: Largest IV spike — 97.2% change
  • 2021-03-22: Highest IV Rank — 11.3%
  • 2021-03-05: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.29$26.12$26.52$26.47$26.18
Max Pain$26.23$26.00$27.76$27.76$26.00
ATM IV7.5%4.7%13.7%7.0%5.5%
Expected Move2.3%1.3%4.0%2.0%1.6%
HV 20d5.5%3.8%6.2%5.5%3.8%
HV 60d4.2%4.0%4.4%4.2%4.4%
IV Rank5.0%2.0%11.3%4.4%2.9%
IV Percentile16.8%1.6%39.7%13.1%7.9%
Term Structure-1.1%-13.5%4.9%1.1%0.6%
VWIV11.0%4.3%39.9%8.6%8.6%
Skew 25d2.9%-3.6%17.0%-0.2%1.0%
Skew 10d5.6%-5.5%30.0%-2.5%9.1%
Call IV 25d7.2%4.2%13.0%7.7%7.6%
Put IV 25d10.1%4.5%26.8%7.5%8.7%
Bid-Ask Spread %97.7538.48173.1238.4860.36
Gamma HHI0.230.150.370.270.22
Net GEX-31.5K-73.2K21.0K8.7K5.4K
Net DEX449.5K-6.4K755.9K9.2K520.8K
Net VEX-5.5K-9.8K-3.6K-3.6K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.0018.6318.630.36
Total Volume122.9574373373114
Total OI1,997.7839132,6319132,631

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$26.47$27.767.0%2.0%5.5%4.4%8.6%-0.2%1.1%8.7K9.2K-3.6K18.6338.4819354597316
2021-03-02$26.52$27.764.7%1.3%5.6%2.0%4.3%1.8%2.1%-64.0K438.5K-5.0K1.0092.1144606585
2021-03-03$26.43$27.767.2%2.1%5.6%4.6%7.7%-0.4%-0.6%-64.0K526.9K-4.6K11.83111.1812142608589
2021-03-04$26.37$26.006.6%2.0%5.6%4.0%7.5%-0.4%-0.9%-51.4K559.7K-4.5K0.1975.62326620731
2021-03-05$26.36$26.008.1%4.0%5.6%5.5%13.6%5.5%-3.1%-23.2K417.4K-5.2K1.15148.77117135644735
2021-03-08$26.30$26.005.3%2.1%5.7%2.6%6.0%1.9%-0.8%-50.7K596.9K-5.2K0.0057.9940758865
2021-03-09$26.38$26.0010.4%3.1%5.8%8.0%19.4%5.1%-4.8%-29.2K309.6K-7.8K0.11146.27536760866
2021-03-10$26.39$26.005.7%1.6%5.8%3.1%0.0%0.3%-0.9%-46.4K471.3K-5.2K17.7171.457124813874
2021-03-11$26.38$26.005.9%1.7%5.8%3.3%7.4%-3.6%-1.2%-42.9K469.3K-5.2K0.12101.25789818982
2021-03-12$26.20$26.006.4%1.8%6.1%3.8%6.4%0.9%0.8%-57.3K624.9K-5.1K0.8489.236252898989
2021-03-15$26.24$26.006.9%2.0%6.2%4.3%6.9%3.2%0.4%-21.7K398.2K-5.6K0.1086.18586957990
2021-03-16$26.23$26.0013.3%3.8%6.0%11.0%11.2%17.0%-4.8%-26.4K406.2K-6.4K0.34164.86205691,010995
2021-03-17$26.20$26.009.1%2.6%5.9%6.6%0.0%8.5%4.9%-49.2K459.4K-5.9K0.00173.1220411,2131,062
2021-03-18$26.13$26.006.8%1.9%5.9%4.2%7.1%4.7%0.5%-73.2K755.9K-5.2K0.1884.89127231,4181,062
2021-03-19$26.12$26.0011.8%3.4%5.9%9.4%23.9%10.4%-1.3%-26.0K461.7K-6.9K0.06128.32200111,3411,030
2021-03-22$26.22$26.0013.7%3.9%6.1%11.3%39.9%4.3%-13.5%21.0K-6.4K-9.8K0.00165.9524501,293953
2021-03-23$26.30$26.007.0%2.0%6.2%4.4%0.0%0.6%-0.7%-49.5K544.5K-5.3K0.1585.592641,536953
2021-03-24$26.32$26.007.1%2.0%6.2%4.5%0.0%1.6%-1.0%-42.1K511.3K-5.2K3.4370.997241,560949
2021-03-25$26.30$26.006.6%1.9%5.2%4.0%6.4%1.4%0.0%-43.7K526.3K-5.3K0.1776.5386151,568949
2021-03-26$26.26$26.006.4%1.8%4.0%3.8%7.3%1.1%0.5%6.3K389.7K-5.4K4.0069.245201,649954
2021-03-29$26.19$26.005.2%1.5%4.0%2.5%5.3%1.0%0.5%-6.0K496.3K-5.0K1.1475.5514161,649960
2021-03-30$26.20$26.006.8%2.0%3.9%4.2%8.6%1.5%-2.2%520450.4K-4.9K0.4174.3791371,660953
2021-03-31$26.18$26.005.5%1.6%3.8%2.9%0.0%1.0%0.6%5.4K520.8K-4.9K0.3660.3684301,667964