GOVT Options History — July 2022

In July 2022, GOVT traded between $23.74 and $24.27. ATM implied volatility averaged 12.7%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.8% (HV 20d: 7.9%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 4.58.

Notable Days

  • 2022-07-05: Highest Volume — 1,596 contracts
  • 2022-07-13: Largest IV drop — 40.3% change
  • 2022-07-12: Highest IV Rank — 57.4%
  • 2022-07-06: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.99$23.74$24.27$24.06$24.27
Max Pain$23.58$23.00$24.00$24.00$24.00
ATM IV12.7%9.3%19.9%13.3%11.5%
Expected Move3.3%2.7%3.9%3.8%3.3%
HV 20d7.9%6.6%9.8%9.3%6.6%
HV 60d7.7%7.5%7.8%7.6%7.6%
IV Rank31.2%19.0%57.4%33.4%26.4%
IV Percentile80.2%53.6%98.0%93.3%79.4%
Term Structure1.8%-1.1%18.2%-0.2%-1.1%
VWIV12.9%9.4%16.4%15.8%12.4%
Skew 25d-2.2%-4.7%0.1%-4.7%-2.2%
Skew 10d-2.8%-9.7%0.9%-7.1%-2.0%
Call IV 25d14.9%12.3%17.2%17.2%15.4%
Put IV 25d12.7%8.7%15.4%12.6%13.3%
Bid-Ask Spread %109.2974.68134.1193.34119.59
Gamma HHI0.270.210.320.290.32
Net GEX-44.5K-80.7K-21.9K-44.0K-80.7K
Net DEX968.1K749.0K1.1M851.8K1.1M
Net VEX-6.5K-7.8K-5.7K-7.2K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.580.0914.152.410.41
Total Volume917.93131,5961,463379
Total OI2,355.551,9922,7851,9922,784

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$24.06$24.0013.3%3.8%9.3%33.4%15.8%-4.7%-0.2%-44.0K851.8K-7.2K2.4193.344291,0341,021971
2022-07-05$24.12$0.0015.4%3.9%9.3%41.1%14.6%-1.8%-0.4%-37.8K800.9K-7.3K1.8387.135631,0331,026976
2022-07-06$23.94$23.0014.9%3.9%9.5%39.2%15.4%-1.2%-0.9%-36.8K921.3K-7.0K2.48107.844171,0331,157976
2022-07-07$23.85$23.0015.4%3.7%9.6%41.1%16.4%-1.5%-0.5%-39.4K994.6K-6.7K14.15100.94731,0331,157977
2022-07-08$23.74$23.0016.4%3.5%9.7%44.8%14.1%-1.5%-0.4%-33.5K985.2K-7.0K12.1997.51851,0361,167977
2022-07-11$23.84$23.0017.7%3.5%9.8%49.3%14.1%-1.1%-0.4%-39.9K985.3K-6.4K12.1299.26851,0301,169977
2022-07-12$23.93$23.0019.9%3.6%9.6%57.4%13.7%-2.2%-0.2%-38.8K937.6K-6.7K11.8674.68861,0201,168981
2022-07-13$23.96$23.0011.9%3.4%7.8%28.4%14.1%0.1%-0.4%-43.3K958.6K-6.3K7.88101.671291,0171,170983
2022-07-14$23.93$23.0012.0%3.4%7.5%28.9%14.3%-1.8%10.9%-21.9K749.0K-7.8K10.38122.00981,0171,146984
2022-07-15$23.95$23.0011.0%3.1%7.1%25.1%13.3%-0.1%-0.3%-31.3K1.0M-5.7K10.58114.72971,0261,147984
2022-07-18$23.89$24.0010.5%3.0%7.0%23.4%11.2%-0.1%11.8%-47.9K989.1K-6.2K2.54120.914011,0171,118976
2022-07-19$23.82$24.0010.5%3.0%7.1%23.5%10.8%-2.9%-0.2%-48.7K1.1M-5.7K0.38131.345762201,430976
2022-07-20$23.80$24.0010.1%2.9%6.9%22.1%11.0%-4.6%0.1%-25.5K992.8K-6.7K0.39112.005662201,630978
2022-07-21$24.00$24.0010.2%2.9%6.7%22.3%10.9%-3.9%-0.0%-43.4K1.0M-6.1K0.38121.175732201,640978
2022-07-22$24.18$24.0010.5%3.0%7.1%23.3%10.7%-1.2%-0.3%-45.1K875.8K-6.2K0.09102.58401361,650978
2022-07-25$24.10$24.0011.3%3.2%7.1%26.3%12.1%-4.1%18.2%-46.3K870.6K-6.2K0.49120.252391161,648979
2022-07-26$24.12$24.0011.0%3.2%7.0%25.3%13.2%-4.3%-0.2%-54.9K1.1M-6.4K0.2597.78250631,6491,064
2022-07-27$24.14$24.009.3%2.7%7.0%19.0%9.4%-2.3%1.1%-54.4K1.1M-6.3K0.44127.022581131,6601,074
2022-07-28$24.25$24.0010.8%3.1%6.8%24.4%10.9%-2.1%-1.0%-76.6K1.0M-6.6K0.42134.112591101,6601,125
2022-07-29$24.27$24.0011.5%3.3%6.6%26.4%12.4%-2.2%-1.1%-80.7K1.1M-6.1K0.41119.592691101,6581,126