GOVT Options History — May 2021

In May 2021, GOVT traded between $26.21 and $26.43. ATM implied volatility averaged 6.2%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 3.7% (HV 20d: 2.5%). Max pain ranged from $26.00 to $26.76. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2021-05-13: Highest Volume — 26 contracts
  • 2021-05-04: Largest IV spike — 150.0% change
  • 2021-05-04: Highest IV Rank — 10.3%
  • 2021-05-04: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.33$26.21$26.43$26.35$26.38
Max Pain$26.65$26.00$26.76$26.00$26.76
ATM IV6.2%4.2%12.7%5.1%6.8%
Expected Move1.6%1.2%3.6%1.4%1.9%
HV 20d2.5%2.2%2.7%2.7%2.6%
HV 60d4.0%3.1%4.3%4.3%3.1%
IV Rank3.6%1.5%10.3%2.4%4.2%
IV Percentile15.3%0.8%43.7%6.7%26.6%
Term Structure-0.6%-14.2%3.2%0.7%-1.3%
VWIV11.7%4.3%22.5%22.5%4.3%
Skew 25d1.8%-0.4%10.9%1.8%1.6%
Skew 10d1.8%-1.2%11.8%2.1%-1.2%
Call IV 25d5.8%4.6%7.7%5.3%7.7%
Put IV 25d7.6%4.6%16.4%7.2%9.3%
Bid-Ask Spread %93.9013.05172.82170.47101.47
Gamma HHI0.240.210.270.240.25
Net GEX-55.5K-74.9K-28.8K-48.9K-68.7K
Net DEX662.4K394.8K883.8K532.4K578.8K
Net VEX-4.0K-4.7K-3.1K-4.3K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.0015.000.0915.00
Total Volume8.75026122
Total OI2,6732,6172,7142,6172,709

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$26.35$26.005.1%1.4%2.7%2.4%22.5%1.8%0.7%-48.9K532.4K-4.3K0.09170.471111,683934
2021-05-04$26.38$26.0012.7%3.6%2.6%10.3%19.9%3.2%-14.2%-28.8K424.3K-4.4K0.06172.821811,694934
2021-05-05$26.40$26.005.7%1.6%2.5%3.1%0.0%0.5%0.3%-56.3K485.7K-4.3K0.1057.481011,712934
2021-05-06$26.41$26.765.8%1.9%2.4%3.2%0.0%-0.4%-1.2%-43.9K394.8K-4.7K0.00103.18001,722935
2021-05-07$26.39$26.769.6%1.3%2.4%7.1%0.0%0.5%-0.6%-45.7K556.2K-4.3K0.00106.55501,720935
2021-05-10$26.34$26.767.3%1.5%2.4%4.8%0.0%0.3%-0.4%-47.3K604.2K-4.1K1.7564.38471,725935
2021-05-11$26.31$26.768.6%1.6%2.3%6.1%7.0%0.1%-0.8%-50.6K643.7K-3.8K1.00107.99111,724938
2021-05-12$26.21$26.768.5%2.4%2.7%6.0%0.0%1.3%-2.1%-47.8K678.7K-4.1K0.00102.54011,725939
2021-05-13$26.24$26.765.8%1.7%2.2%3.2%0.0%-0.2%0.8%-55.4K743.7K-3.7K0.00106.560261,725939
2021-05-14$26.30$26.765.7%1.6%2.4%3.1%0.0%0.1%-1.0%-74.8K749.7K-3.1K1.25106.568101,725965
2021-05-17$26.28$26.765.0%1.4%2.3%2.3%0.0%1.4%0.4%-55.0K768.9K-4.1K0.00100.13201,733975
2021-05-18$26.28$26.764.6%1.3%2.2%1.9%0.0%0.1%1.0%-58.7K870.1K-3.7K0.0013.05001,733975
2021-05-19$26.23$26.765.0%1.4%2.3%2.3%0.0%-0.4%0.4%-49.3K883.8K-3.6K0.2993.33721,733975
2021-05-20$26.30$26.764.8%1.4%2.5%2.2%0.0%0.2%1.7%-53.9K805.3K-3.8K0.0093.80001,738976
2021-05-21$26.32$26.764.5%1.3%2.5%1.8%4.6%0.2%1.3%-47.4K708.0K-4.1K0.6793.82321,738976
2021-05-24$26.35$26.764.9%1.4%2.5%2.2%0.0%3.0%1.3%-74.9K750.2K-3.9K0.0094.65031,675970
2021-05-25$26.43$26.764.3%1.2%2.7%1.6%4.3%10.9%0.3%-72.9K613.1K-4.1K0.00101.972201,675972
2021-05-26$26.40$26.764.2%1.2%2.7%1.5%0.0%9.3%3.2%-67.7K718.5K-4.0K0.0036.451101,695972
2021-05-27$26.38$26.764.8%1.4%2.7%2.2%0.0%3.3%-1.4%-62.8K737.8K-3.7K15.0050.881151,725972
2021-05-28$26.38$26.766.8%1.9%2.6%4.2%0.0%1.6%-1.3%-68.7K578.8K-4.3K0.00101.47021,726983