GOVT Options History — August 2021

In August 2021, GOVT traded between $26.68 and $26.97. ATM implied volatility averaged 6.6%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 2.9% (HV 20d: 3.8%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 7.27.

Notable Days

  • 2021-08-16: Highest Volume — 119 contracts
  • 2021-08-06: Largest IV drop — 40.5% change
  • 2021-08-31: Highest IV Rank — 7.0%
  • 2021-08-31: Largest Expected Move — 2.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.83$26.68$26.97$26.95$26.82
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV6.6%4.3%8.5%5.7%8.5%
Expected Move1.9%1.6%2.4%1.6%2.4%
HV 20d3.8%3.0%4.6%4.6%3.2%
HV 60d3.8%3.7%3.9%3.8%3.8%
IV Rank4.5%1.6%7.0%3.1%7.0%
IV Percentile36.2%1.6%53.2%21.4%53.2%
Term Structure-0.4%-2.2%1.1%-0.2%-2.2%
VWIV7.2%4.4%16.4%5.7%8.3%
Skew 25d-2.0%-5.8%8.6%0.4%0.1%
Skew 10d-4.7%-10.5%13.0%0.3%-0.4%
Call IV 25d9.6%6.7%12.6%9.2%7.2%
Put IV 25d7.5%4.7%18.7%9.6%7.2%
Bid-Ask Spread %88.3667.55167.0797.4479.65
Gamma HHI0.390.320.560.400.42
Net GEX30.6K-16.4K81.6K77.7K-16.4K
Net DEX265.6K-122.2K401.7K-33.3K387.2K
Net VEX-3.9K-4.4K-3.7K-3.8K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.270.00101.00101.002.50
Total Volume20.63601191027
Total OI2,737.4092,6222,8162,6222,816

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$26.95$27.005.7%1.6%4.6%3.1%5.7%0.4%-0.2%77.7K-33.3K-3.8K101.0097.4411011,6111,011
2021-08-03$26.96$27.007.0%2.0%4.4%4.4%6.9%8.6%-0.2%81.6K-122.2K-3.9K0.00167.071101,6121,015
2021-08-04$26.97$27.007.2%2.1%4.4%4.7%0.0%0.4%-1.4%44.5K121.9K-4.3K1.00100.88221,6121,116
2021-08-05$26.90$27.007.2%1.7%4.4%4.7%0.0%-4.3%0.5%52.3K126.0K-4.4K0.0085.63401,6201,116
2021-08-06$26.79$27.004.3%1.8%4.4%1.6%4.4%-3.7%1.1%39.1K295.6K-4.2K0.8081.54541,6201,117
2021-08-09$26.74$27.005.3%1.9%4.5%2.7%0.0%-4.3%0.3%14.3K304.8K-4.2K1.3367.559121,6171,117
2021-08-10$26.70$27.006.8%1.8%4.4%4.3%0.0%-3.0%0.3%7.9K400.6K-3.9K0.0085.94001,6171,113
2021-08-11$26.70$27.008.2%2.3%4.3%5.7%0.0%4.8%-2.1%11.4K341.0K-4.2K5.0082.30151,6181,124
2021-08-12$26.68$27.007.0%2.0%4.1%5.1%0.0%-4.1%-0.4%8.8K394.5K-3.8K0.0088.74011,6181,124
2021-08-13$26.80$27.007.1%2.1%4.4%5.3%0.0%1.0%-1.4%26.8K252.5K-4.1K0.0084.62001,6191,129
2021-08-16$26.84$27.006.0%1.7%3.7%3.9%5.6%-4.6%0.4%62.8K253.0K-3.8K8.1591.61131061,6191,129
2021-08-17$26.84$27.005.7%1.6%3.6%3.5%5.7%-3.1%-0.1%49.6K265.9K-3.7K0.0086.371201,6191,129
2021-08-18$26.84$27.005.8%1.7%3.3%3.7%0.0%-4.3%0.2%61.3K290.0K-3.7K0.0089.690301,6181,135
2021-08-19$26.88$27.007.2%2.1%3.2%5.4%7.1%-3.6%-1.3%54.1K191.0K-3.9K0.0082.311301,6221,135
2021-08-20$26.88$27.006.5%1.9%3.0%4.6%5.9%-4.7%-0.0%70.4K255.5K-3.9K0.1490.58711,6221,165
2021-08-23$26.88$27.006.5%1.9%3.0%4.5%16.4%-4.0%0.1%-4.4K314.9K-3.8K2.0081.3615301,5721,138
2021-08-24$26.82$27.006.7%1.9%3.0%4.8%6.0%-0.2%0.2%17.2K307.6K-3.7K4.0083.54141,5721,138
2021-08-25$26.74$27.006.8%1.9%3.2%4.8%7.7%-0.2%-1.4%-6.4K400.5K-3.9K0.6778.28321,5861,168
2021-08-26$26.77$27.007.4%2.1%3.2%5.6%0.0%-5.1%-0.7%-5.6K401.7K-3.9K3.0082.116181,5861,172
2021-08-27$26.82$27.006.8%1.9%3.2%4.9%6.5%-5.2%-0.6%8.4K375.1K-3.8K0.0082.541401,5861,174
2021-08-30$26.87$27.006.4%1.8%3.2%4.5%0.0%-5.8%-0.1%17.3K319.0K-3.8K1.3374.21681,5911,185
2021-08-31$26.82$27.008.5%2.4%3.2%7.0%8.3%0.1%-2.2%-16.4K387.2K-4.0K2.5079.65251,5911,225