GOVT Options History — June 2021

In June 2021, GOVT traded between $26.32 and $26.60. ATM implied volatility averaged 6.3%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 3.1% (HV 20d: 3.2%). Max pain ranged from $26.00 to $26.76. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.77.

Notable Days

  • 2021-06-29: Highest Volume — 256 contracts
  • 2021-06-23: Largest IV spike — 66.4% change
  • 2021-06-23: Highest IV Rank — 7.4%
  • 2021-06-23: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.48$26.32$26.60$26.35$26.59
Max Pain$26.07$26.00$26.76$26.76$26.00
ATM IV6.3%5.0%9.8%5.4%6.1%
Expected Move1.8%1.2%2.8%1.6%1.7%
HV 20d3.2%2.7%3.8%2.7%3.8%
HV 60d3.0%2.8%3.2%3.1%3.0%
IV Rank3.7%2.4%7.4%2.8%3.5%
IV Percentile24.6%8.7%42.5%15.1%26.6%
Term Structure-0.9%-7.0%1.1%1.0%1.1%
VWIV7.5%5.3%10.0%5.6%9.5%
Skew 25d0.6%-1.8%4.3%3.8%3.9%
Skew 10d2.3%-1.3%6.7%2.0%2.1%
Call IV 25d7.1%5.7%9.3%5.8%5.9%
Put IV 25d7.7%4.4%10.0%9.5%9.8%
Bid-Ask Spread %100.6250.01110.4894.00100.30
Gamma HHI0.400.320.670.340.41
Net GEX187.6K36.7K692.1K141.3K58.4K
Net DEX167.8K-428.8K564.7K564.7K-111.0K
Net VEX-3.6K-4.8K-2.7K-4.4K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.0012.000.000.00
Total Volume31025645
Total OI2,8682,2603,2573,2112,345

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$26.35$26.765.4%1.6%2.7%2.8%0.0%3.8%1.0%141.3K564.7K-4.4K0.0094.00402,226985
2021-06-02$26.37$26.765.7%1.6%2.7%3.1%0.0%4.3%-0.9%156.8K508.0K-4.3K0.00100.842002,228985
2021-06-03$26.32$26.006.3%2.1%2.7%3.7%0.0%2.3%-1.6%141.8K546.7K-4.3K0.00103.27002,248985
2021-06-04$26.43$26.005.0%1.2%3.1%2.4%0.0%-1.8%0.8%200.2K455.8K-4.5K0.0099.87202,248985
2021-06-07$26.40$26.005.4%1.5%3.1%2.8%0.0%-0.8%-1.4%184.6K486.9K-4.4K0.0071.71042,246980
2021-06-08$26.46$26.005.3%1.6%3.2%2.7%0.0%-0.4%-0.3%216.0K483.5K-4.2K0.00107.772502,246984
2021-06-09$26.53$26.005.5%1.6%3.2%2.8%0.0%0.0%0.4%248.0K52.6K-4.8K0.00107.92012,266984
2021-06-10$26.56$26.005.2%1.5%2.8%2.6%5.6%0.0%-0.4%340.1K322.9K-4.3K2.50107.28252,266983
2021-06-11$26.55$26.005.2%1.5%2.8%2.6%0.0%0.0%-0.0%298.0K81.0K-4.6K0.00106.62012,268978
2021-06-14$26.48$26.006.1%1.8%3.0%3.5%0.0%-0.3%0.1%246.5K423.7K-3.7K2.00107.09122,268979
2021-06-15$26.47$26.006.3%1.8%3.0%3.6%5.3%-0.4%-1.6%235.4K453.0K-3.6K2.00107.33482,269981
2021-06-16$26.41$26.006.1%1.7%3.1%3.5%0.0%-0.7%-0.2%192.9K466.5K-3.4K0.00110.48002,271986
2021-06-17$26.51$26.006.1%1.7%3.2%3.5%0.0%-0.1%-0.1%463.3K-228.3K-3.3K0.00106.95502,271694
2021-06-18$26.60$26.006.1%1.7%3.3%3.5%0.0%0.4%-0.2%692.1K-428.8K-3.1K0.00108.920112,266694
2021-06-21$26.51$26.006.6%1.9%3.6%3.9%8.3%-0.1%-0.5%40.0K-41.6K-3.1K0.3350.01621,577683
2021-06-22$26.55$26.005.9%1.7%3.6%3.3%6.2%2.2%1.1%44.5K-60.7K-3.1K1.20100.0410121,581685
2021-06-23$26.50$26.009.8%2.8%3.5%7.4%10.0%-0.0%-7.0%47.1K-52.0K-3.0K4.6194.11331521,582683
2021-06-24$26.52$26.007.0%2.0%3.5%4.5%0.0%0.0%-1.4%42.3K-45.7K-2.9K0.00106.612501,584686
2021-06-25$26.45$26.007.1%2.0%3.6%4.6%0.0%-0.5%-1.2%36.7K-23.5K-2.7K0.00107.632101,604686
2021-06-28$26.53$26.008.5%2.4%3.8%6.1%0.0%0.4%-3.9%49.7K-77.6K-2.7K12.00108.385601,602684
2021-06-29$26.53$26.008.1%2.3%3.8%5.6%9.5%0.2%-4.1%51.1K-84.5K-2.8K3.65106.61552011,601743
2021-06-30$26.59$26.006.1%1.7%3.8%3.5%0.0%3.9%1.1%58.4K-111.0K-2.7K0.00100.30501,602743