GOVT Options History — December 2021

In December 2021, GOVT traded between $26.36 and $26.75. ATM implied volatility averaged 9.3%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 3.9% (HV 20d: 5.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.78.

Notable Days

  • 2021-12-30: Highest Volume — 694 contracts
  • 2021-12-22: Largest IV drop — 44.5% change
  • 2021-12-20: Highest IV Rank — 26.1%
  • 2021-12-20: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.52$26.36$26.75$26.64$26.44
Max Pain$25.86$25.00$27.00$27.00$26.00
ATM IV9.3%5.1%15.5%9.3%8.3%
Expected Move2.5%1.5%4.4%2.7%2.4%
HV 20d5.4%4.1%6.3%6.2%4.2%
HV 60d4.9%4.8%5.0%4.8%4.8%
IV Rank12.3%4.8%26.1%8.1%11.7%
IV Percentile70.0%13.9%94.8%77.8%74.6%
Term Structure0.4%-8.8%16.1%-0.9%-1.1%
VWIV10.0%5.0%33.1%6.5%7.2%
Skew 25d1.7%-5.1%16.0%-0.5%-0.7%
Skew 10d6.0%-6.1%32.6%-0.6%1.7%
Call IV 25d9.2%5.7%15.1%9.3%9.1%
Put IV 25d10.9%4.4%23.2%8.8%8.3%
Bid-Ask Spread %105.7741.10164.9773.12130.78
Gamma HHI0.680.450.890.490.81
Net GEX-185.1K-262.4K-123.0K-244.3K-123.0K
Net DEX881.0K512.9K1.2M926.3K512.9K
Net VEX-5.1K-6.0K-4.2K-5.8K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.494.060.782.65
Total Volume307.455181694330672
Total OI1,374.8189591,6631,546987

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$26.64$27.009.3%2.7%6.2%8.1%6.5%-0.5%-0.9%-244.3K926.3K-5.8K0.7873.121851452581,288
2021-12-02$26.61$27.0011.6%3.3%6.1%11.0%5.8%-1.7%-4.5%-236.6K905.8K-6.0K0.7893.691851452591,288
2021-12-03$26.75$27.0010.3%2.9%6.3%9.3%5.7%0.5%-2.2%-262.4K760.6K-5.6K0.7785.601881452601,288
2021-12-06$26.62$25.0011.2%2.4%6.3%10.5%8.9%1.4%-0.9%-251.1K949.3K-5.6K4.0386.59361452621,308
2021-12-07$26.54$25.006.3%2.4%6.3%7.2%8.3%0.8%-0.3%-223.4K1.1M-5.2K4.0683.22361462621,308
2021-12-08$26.44$25.007.3%2.3%6.3%9.3%8.6%-0.4%0.3%-193.3K1.2M-5.2K4.0696.44361462621,309
2021-12-09$26.48$25.008.4%2.3%5.7%11.6%7.6%0.5%-0.2%-213.0K1.2M-5.1K4.0687.32361462621,310
2021-12-10$26.48$25.009.1%2.4%5.7%13.0%8.2%0.2%-0.2%-213.2K1.1M-5.1K4.0684.24361462621,310
2021-12-13$26.58$25.009.0%2.2%5.8%12.9%7.7%0.9%-2.1%-250.9K987.8K-5.2K3.6550.37401462621,310
2021-12-14$26.56$25.0011.7%1.6%5.6%18.3%5.0%2.1%-0.1%-216.9K1.1M-4.9K1.6741.10881472681,310
2021-12-15$26.52$27.0012.7%3.6%5.7%20.3%22.6%16.0%0.4%-158.5K1.1M-5.3K0.91164.511621473131,312
2021-12-16$26.52$26.0014.4%4.1%5.6%23.9%33.1%15.8%11.6%-143.1K1.2M-5.4K0.91164.151621473511,312
2021-12-17$26.58$26.0011.4%3.3%5.7%17.7%13.8%8.1%16.1%-137.5K1.0M-5.0K0.91164.971621473511,312
2021-12-20$26.56$26.0015.5%4.4%5.6%26.1%13.7%5.5%-8.8%-130.3K671.1K-5.0K0.53127.83191102111848
2021-12-21$26.48$26.009.1%2.6%5.3%13.1%8.8%2.8%-1.4%-150.2K683.7K-5.0K0.51113.35201102221858
2021-12-22$26.52$26.005.1%1.5%5.2%4.8%5.7%-1.0%2.3%-141.8K622.2K-4.8K0.5191.20201102233858
2021-12-23$26.45$26.006.3%1.8%5.3%7.2%8.3%-2.8%-0.3%-145.6K684.0K-5.0K0.50128.24205102233858
2021-12-27$26.46$26.005.4%1.6%4.2%5.5%8.4%-5.1%1.2%-148.8K652.9K-4.9K0.5073.81206102237858
2021-12-28$26.45$26.007.2%2.1%4.2%9.2%10.1%-3.5%0.5%-159.1K635.3K-4.8K0.4994.06207102239858
2021-12-29$26.36$26.006.6%1.9%4.1%7.9%7.2%-0.4%0.2%-159.0K676.6K-4.9K0.58141.45206119261858
2021-12-30$26.42$26.008.1%2.3%4.2%11.4%8.7%-1.1%-1.0%-171.1K675.5K-4.8K2.37150.92206488261870
2021-12-31$26.44$26.008.3%2.4%4.2%11.7%7.2%-0.7%-1.1%-123.0K512.9K-4.2K2.65130.78184488261726