GOVT Options History — September 2021

In September 2021, GOVT traded between $26.47 and $26.89. ATM implied volatility averaged 6.0%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 2.7% (HV 20d: 3.4%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2021-09-09: Highest Volume — 306 contracts
  • 2021-09-24: Largest IV drop — 45.1% change
  • 2021-09-07: Highest IV Rank — 7.0%
  • 2021-09-23: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.75$26.47$26.89$26.81$26.51
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV6.0%4.2%8.5%6.1%6.4%
Expected Move1.7%1.2%2.2%1.7%1.8%
HV 20d3.4%2.9%4.0%3.2%4.0%
HV 60d3.8%3.7%4.0%3.8%3.9%
IV Rank4.0%1.8%7.0%4.0%4.4%
IV Percentile29.9%1.6%57.5%29.4%41.7%
Term Structure0.1%-1.2%2.8%0.0%2.0%
VWIV6.5%5.3%8.7%6.4%8.7%
Skew 25d1.9%-0.5%11.9%-0.1%2.3%
Skew 10d2.0%-0.8%15.7%-0.6%2.6%
Call IV 25d6.7%5.3%8.6%7.5%6.3%
Put IV 25d8.5%5.8%17.5%7.4%8.6%
Bid-Ask Spread %83.7813.14101.3875.6167.03
Gamma HHI0.560.440.690.490.56
Net GEX-35.1K-136.8K85.7K25.5K-103.1K
Net DEX517.2K255.6K757.8K396.7K722.2K
Net VEX-3.2K-3.9K-2.6K-3.9K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.006.000.006.00
Total Volume38.6670306214
Total OI1,966.7627013,0032,807712

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$26.81$27.006.1%1.7%3.2%4.0%6.4%-0.1%0.0%25.5K396.7K-3.9K0.0075.61201,5901,217
2021-09-02$26.84$27.005.8%1.8%3.1%3.6%0.0%0.0%-0.3%15.5K405.1K-3.8K0.0098.02001,5851,222
2021-09-03$26.79$27.006.4%1.7%2.9%4.4%0.0%-0.1%-0.5%8.2K451.8K-3.7K0.0086.49011,5881,222
2021-09-07$26.71$27.008.5%1.8%3.0%7.0%0.0%0.7%-0.4%-18.2K522.5K-3.7K3.4193.31632151,5881,222
2021-09-08$26.77$27.006.4%1.8%3.0%4.4%0.0%0.9%-0.7%-13.4K481.7K-3.6K0.0483.425221,5881,223
2021-09-09$26.84$27.005.6%1.6%3.2%3.5%0.0%1.2%0.1%19.2K407.8K-3.7K3.4391.49692371,6511,258
2021-09-10$26.78$27.005.9%1.7%3.3%3.8%0.0%1.1%-0.0%8.3K481.5K-3.7K0.6992.7116111,7031,256
2021-09-13$26.81$27.005.8%1.7%2.9%3.7%0.0%1.2%-0.2%55.3K273.7K-3.3K0.0094.73101,7691,221
2021-09-14$26.89$27.005.0%1.4%3.0%2.7%0.0%1.4%0.8%38.3K255.6K-3.3K0.0093.59601,7851,210
2021-09-15$26.87$27.005.8%1.7%3.0%3.7%0.0%0.6%-0.2%63.3K324.7K-3.2K0.0061.63051,7851,210
2021-09-16$26.81$27.005.2%1.5%3.1%3.0%5.3%0.4%-0.0%85.7K398.1K-3.1K0.2582.90821,7881,210
2021-09-17$26.77$27.006.9%2.0%3.1%5.0%0.0%1.1%-1.2%19.0K582.4K-3.0K0.3794.141971,7881,215
2021-09-20$26.87$27.006.4%1.8%3.4%4.4%6.4%2.0%-0.3%-117.5K534.0K-3.0K0.3587.41238121580
2021-09-21$26.86$27.005.2%1.5%3.4%3.0%0.0%6.2%0.2%-135.5K553.6K-2.8K0.0013.1420121580
2021-09-22$26.86$27.005.5%1.6%3.3%3.3%5.7%1.8%-0.5%-136.8K543.6K-2.7K0.00101.3870129581
2021-09-23$26.70$27.007.7%2.2%3.8%6.0%0.0%1.1%-1.1%-114.7K618.4K-3.0K0.0092.8710131581
2021-09-24$26.62$27.004.2%1.2%3.9%1.8%0.0%11.9%2.8%-113.6K688.7K-2.8K0.0090.9530138581
2021-09-27$26.59$27.005.1%1.4%3.9%2.8%0.0%3.2%1.3%-114.9K715.1K-2.7K0.0089.30011139581
2021-09-28$26.48$27.005.8%1.7%4.0%3.7%0.0%-0.5%0.9%-104.8K757.8K-2.6K0.0079.1200140581
2021-09-29$26.47$27.007.4%2.1%3.9%5.6%8.7%2.7%0.4%-102.1K745.7K-2.6K0.0090.17027140572
2021-09-30$26.51$27.006.4%1.8%4.0%4.4%0.0%2.3%2.0%-103.1K722.2K-2.7K6.0067.03212140572