GOVT Options History — November 2021

In November 2021, GOVT traded between $26.26 and $26.67. ATM implied volatility averaged 8.0%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.9% (HV 20d: 5.0%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.35.

Notable Days

  • 2021-11-04: Highest Volume — 699 contracts
  • 2021-11-05: Largest IV spike — 100.2% change
  • 2021-11-05: Highest IV Rank — 13.0%
  • 2021-11-29: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.46$26.26$26.67$26.41$26.65
Max Pain$26.86$26.00$27.00$26.00$27.00
ATM IV8.0%4.8%13.3%7.1%7.4%
Expected Move2.2%1.4%2.9%2.0%2.1%
HV 20d5.0%3.9%6.3%3.9%6.2%
HV 60d4.2%3.6%4.8%3.6%4.8%
IV Rank6.5%2.5%13.0%5.5%5.8%
IV Percentile60.4%6.3%80.6%60.3%68.3%
Term Structure-0.3%-1.9%1.7%1.4%-1.3%
VWIV7.1%5.0%9.1%5.6%8.9%
Skew 25d1.1%-2.8%6.1%1.4%-0.6%
Skew 10d7.0%-3.5%14.9%3.9%-1.3%
Call IV 25d7.4%5.1%9.8%7.3%7.8%
Put IV 25d8.5%4.7%12.3%8.6%7.1%
Bid-Ask Spread %81.1331.44101.9790.8497.49
Gamma HHI0.550.480.650.510.51
Net GEX-244.9K-295.4K-130.0K-130.0K-285.6K
Net DEX1.4M805.8K1.8M848.8K1.3M
Net VEX-5.8K-7.5K-2.0K-2.2K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.350.787.961.270.78
Total Volume309.238136699159330
Total OI1,372.7627911,5587921,412

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$26.41$26.007.1%2.0%3.9%5.5%5.6%1.4%1.4%-130.0K848.8K-2.2K1.2790.847089134658
2021-11-02$26.48$26.004.9%1.4%3.9%2.7%5.4%-2.2%1.1%-136.4K805.8K-2.1K1.2783.207089134658
2021-11-03$26.42$26.004.8%1.4%4.0%2.5%5.3%-2.8%1.3%-132.4K852.8K-2.0K2.0883.2678162133658
2021-11-04$26.52$27.006.6%2.1%4.1%4.8%5.9%-0.3%-1.9%-150.3K861.7K-2.7K7.9631.4478621143731
2021-11-05$26.65$27.0013.3%2.5%4.3%13.0%8.1%1.1%-1.6%-221.0K1.4M-7.5K5.17101.97784031431,400
2021-11-08$26.57$27.0013.2%2.5%4.4%13.0%8.6%1.2%-0.4%-241.6K1.4M-7.2K5.2194.99784061431,382
2021-11-09$26.67$27.007.5%2.1%4.4%5.9%6.9%-1.6%-0.8%-284.9K1.3M-6.8K5.4786.14764161431,382
2021-11-10$26.47$27.007.8%2.2%5.2%6.2%7.8%-0.5%-0.5%-276.7K1.5M-6.8K4.1385.44963961431,392
2021-11-11$26.42$27.007.1%2.0%5.2%5.4%7.1%-1.0%0.5%-279.9K1.6M-7.0K4.0437.58983961631,392
2021-11-12$26.43$27.006.9%2.0%5.1%5.1%7.7%-1.9%0.7%-279.5K1.5M-7.0K4.5084.67883961651,393
2021-11-15$26.33$27.009.3%2.7%5.3%8.1%7.7%6.1%-1.9%-264.3K1.6M-6.9K4.4883.28883941651,393
2021-11-16$26.33$27.008.5%2.4%5.1%7.1%7.3%5.1%-1.3%-268.9K1.7M-6.7K1.9482.7749951451,392
2021-11-17$26.39$27.006.2%1.8%5.2%4.3%5.8%1.7%1.7%-289.7K1.7M-6.5K1.9653.8849961441,403
2021-11-18$26.41$27.006.7%1.9%5.1%4.9%6.0%2.4%1.2%-290.4K1.6M-6.5K1.9685.8849961441,404
2021-11-19$26.48$27.006.8%1.9%5.2%5.0%5.0%2.6%1.1%-295.4K1.5M-6.5K2.5583.70491251431,404
2021-11-22$26.33$27.007.3%2.1%5.6%5.7%7.3%5.2%0.1%-269.3K1.7M-6.3K2.0990.1044921251,348
2021-11-23$26.26$27.008.0%2.3%5.6%6.5%7.6%4.7%-1.0%-263.2K1.8M-6.4K3.3086.53441451271,347
2021-11-24$26.33$27.008.8%2.5%5.4%7.5%8.2%2.3%-1.6%-250.7K1.6M-6.2K3.2285.84451451271,288
2021-11-26$26.56$27.009.2%2.6%6.3%8.0%9.1%0.8%-1.3%-258.6K1.4M-6.1K2.9683.44491451281,288
2021-11-29$26.55$27.0010.0%2.9%6.3%9.0%8.8%-0.9%-1.0%-272.9K1.3M-5.9K4.0391.38361451231,288
2021-11-30$26.65$27.007.4%2.1%6.2%5.8%8.9%-0.6%-1.3%-285.6K1.3M-5.6K0.7897.491851451241,288