GOVT Options History — July 2021

In July 2021, GOVT traded between $26.54 and $26.97. ATM implied volatility averaged 7.1%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 2.9% (HV 20d: 4.3%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 7.97.

Notable Days

  • 2021-07-28: Highest Volume — 202 contracts
  • 2021-07-12: Largest IV spike — 106.6% change
  • 2021-07-12: Highest IV Rank — 11.1%
  • 2021-07-01: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.78$26.54$26.97$26.54$26.89
Max Pain$26.86$26.00$27.00$26.00$27.00
ATM IV7.1%4.0%13.2%10.5%6.1%
Expected Move1.9%1.2%3.0%3.0%1.7%
HV 20d4.3%3.6%4.8%3.8%4.6%
HV 60d3.4%3.0%3.8%3.0%3.8%
IV Rank4.6%1.4%11.1%8.2%3.5%
IV Percentile32.4%0.8%50.8%45.2%27.8%
Term Structure-0.7%-6.7%1.3%-6.7%0.0%
VWIV6.9%6.2%8.1%6.8%6.2%
Skew 25d0.9%-2.1%13.5%7.3%-0.8%
Skew 10d0.5%-5.0%15.1%2.9%-2.1%
Call IV 25d7.9%5.9%16.2%16.2%8.8%
Put IV 25d8.8%4.6%23.5%23.5%8.0%
Bid-Ask Spread %94.4084.04112.00112.0094.79
Gamma HHI0.420.340.580.360.37
Net GEX94.4K52.7K151.6K52.7K64.4K
Net DEX-199.7K-303.9K25.7K-83.3K25.7K
Net VEX-2.9K-3.9K-2.4K-2.9K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.970.00100.0010.004.00
Total Volume24.524020205
Total OI2,388.3332,3292,6242,3432,624

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$26.54$26.0010.5%3.0%3.8%8.2%0.0%7.3%-6.7%52.7K-83.3K-2.9K0.00112.00001,600743
2021-07-02$26.60$26.009.8%2.8%3.6%7.5%0.0%-2.1%-5.0%67.6K-161.7K-3.2K0.00102.83001,600743
2021-07-06$26.70$27.006.1%1.8%3.8%3.6%0.0%-1.4%-0.5%89.0K-166.5K-2.5K10.0086.391101,599743
2021-07-07$26.77$27.006.1%1.7%3.8%3.5%0.0%-1.1%0.5%87.2K-229.1K-3.2K0.0086.761501,600753
2021-07-08$26.82$26.005.9%2.0%3.7%3.3%6.8%-0.9%-0.4%88.9K-259.0K-3.2K0.1484.041421,588757
2021-07-09$26.71$27.006.4%1.8%4.1%3.9%0.0%-1.2%-0.1%77.8K-172.8K-3.2K0.0486.955621,601768
2021-07-12$26.69$27.0013.2%1.9%4.1%11.1%0.0%-1.5%0.3%104.9K-210.3K-3.2K0.0086.72001,654770
2021-07-13$26.62$27.009.9%2.1%4.1%7.6%0.0%-1.9%-0.5%85.1K-135.0K-3.1K0.0094.581001,654770
2021-07-14$26.70$27.006.3%1.8%4.2%3.7%0.0%-0.5%-0.2%120.0K-233.3K-3.1K0.0087.95021,654770
2021-07-15$26.80$27.006.6%1.9%4.2%4.1%0.0%0.1%-1.6%151.6K-228.2K-2.7K0.00102.792501,654772
2021-07-16$26.79$27.006.7%1.9%4.1%4.2%0.0%-1.8%-0.7%129.6K-216.6K-2.7K0.5098.50211,629772
2021-07-19$26.97$27.006.5%1.9%4.5%4.0%0.0%8.0%-0.3%98.4K-303.9K-2.8K0.0095.680101,566763
2021-07-20$26.90$27.006.7%1.9%4.4%4.1%6.7%1.7%-0.2%88.6K-246.8K-2.8K0.0092.45501,566773
2021-07-21$26.80$27.006.4%1.8%4.7%3.9%0.0%1.2%-0.2%76.9K-178.0K-2.6K1.5094.37231,569773
2021-07-22$26.88$27.006.4%1.8%4.7%3.9%6.4%1.8%0.1%84.2K-235.3K-2.8K0.0891.201211,569776
2021-07-23$26.82$27.006.7%1.9%4.8%4.2%6.9%-0.2%-0.5%90.3K-216.1K-2.7K0.6795.9766441,578776
2021-07-26$26.81$27.007.0%2.0%4.7%4.5%7.0%-0.9%-0.6%90.5K-215.7K-2.6K1.0094.37331,578775
2021-07-27$26.88$27.006.1%1.8%4.7%3.6%8.1%-0.7%0.6%104.2K-267.9K-2.8K1.6787.59351,608817
2021-07-28$26.88$27.004.0%1.2%4.7%1.4%0.0%13.5%1.3%122.3K-236.1K-2.4K100.00106.2122001,612815
2021-07-29$26.85$27.006.2%1.8%4.7%3.6%6.2%1.2%-0.3%109.1K-223.0K-2.5K0.00100.180111,611812
2021-07-30$26.89$27.006.1%1.7%4.6%3.5%0.0%-0.8%0.0%64.4K25.7K-3.9K4.0094.79141,6121,012