GOVT Options History — October 2021

In October 2021, GOVT traded between $26.28 and $26.56. ATM implied volatility averaged 8.4%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 4.6% (HV 20d: 3.9%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.29.

Notable Days

2021-10-28: Highest Volume — 161 contracts
2021-10-05: Largest IV spike — 340.9% change
2021-10-05: Highest IV Rank — 34.9%
2021-10-05: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.43	$26.28	$26.56	$26.56	$26.50
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	8.4%	5.7%	31.7%	5.7%	6.8%
Expected Move	1.9%	1.5%	4.8%	1.6%	1.9%
HV 20d	3.9%	3.3%	4.2%	4.1%	3.8%
HV 60d	3.6%	3.5%	3.9%	3.9%	3.6%
IV Rank	7.0%	3.5%	34.9%	3.5%	5.0%
IV Percentile	48.6%	24.6%	86.5%	25.0%	52.8%
Term Structure	-0.5%	-21.2%	2.5%	2.0%	1.3%
VWIV	5.9%	4.4%	8.1%	4.9%	5.1%
Skew 25d	0.5%	-1.5%	2.6%	2.6%	1.8%
Skew 10d	5.6%	1.7%	9.9%	3.7%	2.0%
Call IV 25d	6.8%	4.8%	8.4%	6.4%	6.4%
Put IV 25d	7.3%	5.9%	9.0%	9.0%	8.2%
Bid-Ask Spread %	81.73	36.89	153.63	90.22	90.90
Gamma HHI	0.51	0.45	0.59	0.55	0.53
Net GEX	-122.3K	-136.2K	-106.2K	-110.4K	-136.2K
Net DEX	816.1K	709.5K	909.2K	709.5K	805.3K
Net VEX	-2.4K	-2.8K	-1.9K	-2.7K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.02	6.50	1.00	1.29
Total Volume	64.905	0	161	0	160
Total OI	770.952	739	810	739	792

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-10-01	$26.56	$26.00	5.7%	1.6%	4.1%	3.5%	0.0%	2.6%	2.0%	-110.4K	709.5K	-2.7K	0.00	90.22	0	0	140	599
2021-10-04	$26.55	$26.00	7.2%	2.0%	4.0%	5.4%	4.9%	-1.0%	-0.8%	-117.8K	716.0K	-2.7K	1.00	84.66	3	3	140	611
2021-10-05	$26.47	$26.00	31.7%	4.8%	4.0%	34.9%	8.1%	1.6%	-21.2%	-106.2K	754.7K	-2.8K	0.00	153.63	0	5	140	611
2021-10-06	$26.49	$26.00	8.6%	2.0%	3.9%	7.0%	0.0%	0.4%	-1.3%	-119.5K	756.6K	-2.6K	0.00	37.42	0	0	143	610
2021-10-07	$26.41	$26.00	8.9%	1.6%	3.9%	7.5%	0.0%	0.7%	1.4%	-120.2K	809.2K	-2.5K	0.67	38.52	3	2	143	615
2021-10-08	$26.37	$26.00	8.9%	1.5%	3.8%	7.4%	0.0%	-0.4%	1.7%	-118.0K	845.1K	-2.4K	0.60	92.67	10	6	143	615
2021-10-11	$26.32	$26.00	11.0%	1.8%	3.8%	10.0%	0.0%	2.3%	-0.3%	-119.5K	870.3K	-2.3K	0.00	84.96	0	0	143	613
2021-10-12	$26.43	$26.00	14.2%	1.5%	4.0%	13.9%	4.4%	1.1%	1.5%	-130.9K	837.3K	-2.3K	0.02	84.34	43	1	139	627
2021-10-13	$26.47	$26.00	5.9%	1.7%	4.1%	3.9%	4.6%	-0.2%	1.6%	-128.2K	805.9K	-2.3K	0.78	91.45	40	31	139	627
2021-10-14	$26.52	$26.00	5.7%	1.6%	4.1%	3.7%	0.0%	0.5%	-1.2%	-121.5K	713.5K	-2.4K	0.00	74.94	0	22	179	628
2021-10-15	$26.44	$26.00	6.1%	1.8%	4.2%	4.2%	0.0%	2.2%	0.5%	-129.7K	843.2K	-2.4K	0.00	84.27	0	21	151	659
2021-10-18	$26.45	$26.00	5.9%	1.7%	3.9%	3.9%	0.0%	1.0%	2.5%	-133.3K	869.8K	-2.5K	6.50	92.30	2	13	134	671
2021-10-19	$26.36	$26.00	5.7%	1.6%	4.0%	3.6%	0.0%	-0.8%	1.5%	-125.2K	882.5K	-2.3K	0.00	38.29	0	1	134	652
2021-10-20	$26.33	$26.00	7.1%	2.0%	4.0%	5.4%	7.0%	2.0%	-0.6%	-119.6K	868.9K	-2.3K	0.94	36.89	70	66	134	639
2021-10-21	$26.28	$26.00	6.0%	1.7%	3.5%	4.1%	6.0%	-0.2%	0.2%	-117.6K	909.2K	-2.1K	1.00	82.64	70	70	134	640
2021-10-22	$26.32	$26.00	6.7%	1.9%	3.5%	4.9%	6.7%	-1.5%	0.0%	-118.1K	857.3K	-2.2K	1.01	91.01	70	71	134	636
2021-10-25	$26.35	$26.00	6.9%	2.0%	3.6%	5.2%	6.8%	-0.9%	-0.4%	-120.0K	881.4K	-2.1K	0.99	91.56	70	69	134	633
2021-10-26	$26.38	$26.00	5.9%	1.7%	3.3%	3.9%	5.0%	-1.5%	1.5%	-124.8K	881.5K	-1.9K	0.97	91.15	70	68	134	634
2021-10-27	$26.51	$26.00	5.7%	1.6%	3.8%	3.6%	6.6%	0.2%	0.6%	-128.5K	749.8K	-2.3K	1.03	92.50	70	72	134	634
2021-10-28	$26.47	$26.00	6.8%	2.0%	3.8%	5.1%	5.6%	1.5%	-0.9%	-124.0K	770.4K	-2.3K	1.30	91.99	70	91	134	638
2021-10-29	$26.50	$26.00	6.8%	1.9%	3.8%	5.0%	5.1%	1.8%	1.3%	-136.2K	805.3K	-2.3K	1.29	90.90	70	90	134	658