GOVT Options History — January 2022

In January 2022, GOVT traded between $25.87 and $26.25. ATM implied volatility averaged 8.1%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 3.8% (HV 20d: 4.3%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.07.

Notable Days

2022-01-04: Highest Volume — 669 contracts
2022-01-10: Largest IV spike — 44.1% change
2022-01-25: Highest IV Rank — 19.8%
2022-01-05: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.04	$25.87	$26.25	$26.25	$25.96
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	8.1%	6.6%	11.5%	8.6%	8.1%
Expected Move	2.2%	1.9%	3.3%	2.5%	2.3%
HV 20d	4.3%	3.5%	4.9%	4.3%	4.9%
HV 60d	5.0%	4.9%	5.2%	5.0%	5.1%
IV Rank	15.6%	9.5%	19.8%	12.4%	18.5%
IV Percentile	73.7%	52.0%	89.7%	77.4%	76.6%
Term Structure	0.7%	-3.9%	15.8%	-0.6%	1.7%
VWIV	14.0%	9.2%	25.3%	19.6%	14.5%
Skew 25d	5.2%	0.1%	16.6%	2.0%	13.0%
Skew 10d	9.5%	1.1%	40.4%	5.7%	20.4%
Call IV 25d	8.4%	6.2%	25.8%	7.8%	7.7%
Put IV 25d	13.6%	8.1%	25.8%	9.8%	20.8%
Bid-Ask Spread %	139.95	109.54	164.86	159.41	156.70
Gamma HHI	0.87	0.61	0.93	0.80	0.91
Net GEX	-167.0K	-232.2K	-31.4K	-109.9K	-214.8K
Net DEX	935.8K	656.1K	1.2M	656.1K	1.0M
Net VEX	-4.5K	-4.8K	-4.3K	-4.5K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.49	2.64	2.63	1.13
Total Volume	320.85	159	669	667	166
Total OI	1,062.5	984	1,164	991	1,006

Daily Data (20 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
2022-01-03	$26.25	$26.00	8.6%	2.5%	4.3%	12.4%	19.6%	2.0%	-0.6%	-109.9K	656.1K	-4.5K	2.63	159.41	184	483	265	726
2022-01-04	$26.19	$26.00	8.8%	2.5%	4.1%	12.9%	9.5%	6.6%	-1.1%	-125.8K	712.7K	-4.4K	2.64	128.84	184	485	269	727
2022-01-05	$26.13	$26.00	11.5%	3.3%	4.1%	18.7%	15.5%	16.6%	-3.9%	-93.1K	715.8K	-4.5K	2.62	133.57	185	484	270	729
2022-01-06	$26.11	$26.00	9.0%	2.4%	3.9%	13.4%	9.2%	0.1%	15.8%	-31.4K	734.8K	-4.8K	1.27	143.12	185	235	272	729
2022-01-07	$26.06	$26.00	7.2%	2.0%	3.9%	9.5%	13.2%	1.5%	0.6%	-166.0K	947.1K	-4.7K	0.73	142.53	186	135	272	831
2022-01-10	$26.04	$26.00	10.4%	1.9%	3.9%	16.2%	11.5%	6.2%	0.7%	-184.4K	949.1K	-4.6K	0.71	131.97	188	133	274	830
2022-01-11	$26.07	$26.00	9.3%	1.9%	3.5%	13.9%	11.7%	1.8%	0.4%	-180.8K	905.1K	-4.6K	0.73	130.07	195	143	278	832
2022-01-12	$26.08	$26.00	7.1%	2.0%	3.6%	15.1%	15.6%	2.0%	-0.0%	-179.7K	902.3K	-4.6K	0.53	139.83	197	104	274	844
2022-01-13	$26.15	$26.00	6.7%	1.9%	3.8%	13.5%	11.6%	4.4%	0.1%	-187.0K	847.6K	-4.5K	0.54	121.82	191	104	274	845
2022-01-14	$26.00	$26.00	6.6%	1.9%	4.2%	13.2%	11.4%	1.9%	0.4%	-158.9K	943.1K	-4.6K	0.54	136.19	191	104	287	845
2022-01-18	$25.87	$26.00	7.2%	2.1%	4.2%	15.3%	13.0%	0.8%	0.9%	-162.9K	1.1M	-4.4K	0.49	109.54	185	90	287	850
2022-01-19	$25.93	$26.00	7.9%	2.3%	4.4%	17.9%	17.8%	6.8%	0.2%	-174.9K	1.0M	-4.5K	0.53	131.48	189	101	293	857
2022-01-20	$25.95	$26.00	7.5%	2.1%	4.4%	16.4%	13.4%	7.6%	0.3%	-143.6K	1.1M	-4.5K	0.53	140.54	190	101	297	866
2022-01-21	$26.06	$26.00	7.7%	2.2%	4.7%	17.2%	16.6%	7.2%	-0.1%	-98.2K	873.4K	-4.5K	0.50	145.66	195	98	298	866
2022-01-24	$26.05	$26.00	7.8%	2.2%	4.7%	17.4%	12.8%	8.5%	-0.2%	-220.4K	985.4K	-4.4K	1.01	142.38	81	82	134	850
2022-01-25	$26.00	$26.00	8.5%	2.4%	4.7%	19.8%	15.1%	2.4%	-0.5%	-221.8K	1.0M	-4.4K	1.02	141.41	80	82	139	849
2022-01-26	$25.88	$26.00	7.9%	2.3%	4.8%	17.9%	25.3%	2.6%	-0.4%	-222.6K	1.2M	-4.3K	1.06	164.86	77	82	144	850
2022-01-27	$25.95	$26.00	7.3%	2.1%	4.9%	15.8%	10.4%	3.0%	0.1%	-232.0K	1.1M	-4.3K	1.06	150.42	78	83	144	850
2022-01-28	$26.01	$26.00	7.5%	2.1%	4.9%	16.3%	11.6%	9.5%	0.3%	-232.2K	1.0M	-4.3K	1.06	148.67	78	83	146	851
2022-01-31	$25.96	$26.00	8.1%	2.3%	4.9%	18.5%	14.5%	13.0%	1.7%	-214.8K	1.0M	-4.3K	1.13	156.70	78	88	149	857