GOVT Options History — March 2022

In March 2022, GOVT traded between $24.74 and $25.92. ATM implied volatility averaged 12.9%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 5.0% (HV 20d: 7.9%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.50.

Notable Days

  • 2022-03-07: Highest Volume — 583 contracts
  • 2022-03-09: Largest IV spike — 171.8% change
  • 2022-03-09: Highest IV Rank — 98.2%
  • 2022-03-07: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.24$24.74$25.92$25.92$24.95
Max Pain$25.74$24.00$27.00$26.00$25.00
ATM IV12.9%8.5%31.2%13.3%9.4%
Expected Move3.6%2.4%8.7%3.8%2.6%
HV 20d7.9%6.5%9.0%6.5%7.4%
HV 60d6.1%5.3%6.6%5.3%6.6%
IV Rank32.2%16.0%98.2%33.5%19.6%
IV Percentile88.4%73.0%99.6%96.4%81.3%
Term Structure0.1%-3.0%5.6%-3.0%-0.3%
VWIV16.5%10.3%45.1%14.0%12.3%
Skew 25d-0.7%-17.4%12.8%2.5%12.8%
Skew 10d-0.2%-20.1%19.0%4.6%19.0%
Call IV 25d17.5%9.2%61.1%11.1%9.2%
Put IV 25d16.8%8.5%67.6%13.6%22.0%
Bid-Ask Spread %103.6640.38138.87111.52102.36
Gamma HHI0.470.290.830.510.32
Net GEX-47.9K-115.4K546-34.1K-31.0K
Net DEX605.9K131.8K1.1M199.6K513.2K
Net VEX-2.2K-3.6K-1.3K-3.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.503.251.381.80
Total Volume165.7395758332470
Total OI917.2616001,1731,034678

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$25.92$26.0013.3%3.8%6.5%33.5%14.0%2.5%-3.0%-34.1K199.6K-3.4K1.38111.52136188474560
2022-03-02$25.62$26.0012.5%3.6%7.7%30.7%14.4%-17.4%0.8%-72.5K435.7K-3.5K1.38118.37136188512657
2022-03-03$25.67$26.0014.3%4.1%7.7%37.0%12.9%-1.4%0.2%-40.0K475.6K-3.4K1.38126.78136188513657
2022-03-04$25.84$26.0013.7%3.9%8.1%35.1%16.2%-2.4%-0.4%-52.6K290.1K-3.5K1.37112.22137188513657
2022-03-07$25.73$26.0030.3%8.7%7.9%95.1%40.5%6.5%5.6%-56.8K131.8K-3.6K0.50135.40389194516657
2022-03-08$25.64$26.0011.5%5.2%8.0%26.9%45.1%-1.9%-0.0%-53.3K581.6K-3.0K0.50128.0513366434647
2022-03-09$25.53$26.0031.2%5.0%8.1%98.2%26.2%0.9%-1.4%-115.4K544.8K-2.9K0.81137.157359403651
2022-03-10$25.41$26.009.7%2.7%8.2%20.4%10.3%-3.7%1.7%-72.0K810.9K-2.5K0.80131.317459407651
2022-03-11$25.40$26.0022.2%3.5%7.7%65.6%12.3%-0.5%-0.8%-74.6K713.7K-2.5K0.85119.767362407651
2022-03-14$25.19$27.009.4%2.8%7.9%19.5%11.4%-2.3%0.8%-64.8K1.0M-1.9K0.8662.587363407653
2022-03-15$25.18$27.009.3%2.8%7.8%18.9%11.2%-4.3%0.9%-67.6K1.1M-1.8K0.5377.337640407656
2022-03-16$25.14$27.009.1%2.8%7.7%18.3%12.1%-0.9%0.8%-78.0K1.1M-1.7K0.58110.396940410655
2022-03-17$25.10$0.008.5%2.4%7.6%16.0%0.0%-2.6%0.1%-112.2K1.1M-1.6K0.7090.256646411655
2022-03-18$25.20$0.008.7%2.5%7.8%17.0%0.0%-2.0%0.5%-69.7K1.1M-1.7K0.75111.667153412661
2022-03-21$24.96$0.009.2%2.6%8.2%18.6%0.0%-2.2%-0.0%-8.3K462.6K-1.3K2.1798.551839318283
2022-03-22$24.82$0.0010.7%2.9%8.3%24.1%11.3%-4.6%-0.5%-5.2K463.8K-1.3K3.2540.382065317283
2022-03-23$24.96$24.0010.2%2.9%8.7%22.2%11.4%-0.2%-0.2%-8.9K462.2K-1.4K2.92104.792573319309
2022-03-24$24.94$25.0010.7%6.6%8.7%24.0%21.9%-0.7%1.6%546409.5K-1.8K2.50138.872870328323
2022-03-25$24.74$25.0011.4%3.2%9.0%26.5%12.0%3.7%-0.3%-16.8K513.9K-1.4K2.4594.202971331323
2022-03-28$24.76$25.0011.9%3.0%8.3%28.5%11.6%0.6%-1.5%-17.2K507.2K-1.4K3.0584.262267334322
2022-03-29$24.81$25.0010.8%3.0%7.9%24.6%12.5%2.8%-0.6%-20.2K505.6K-1.4K2.1481.352247336325
2022-03-30$24.91$25.009.7%2.6%7.4%20.4%10.5%0.6%-0.7%-30.1K505.6K-1.4K1.8066.612545336338
2022-03-31$24.95$25.009.4%2.6%7.4%19.6%12.3%12.8%-0.3%-31.0K513.2K-1.4K1.80102.362545339339