GOVT Options History — August 2022

In August 2022, GOVT traded between $23.61 and $24.35. ATM implied volatility averaged 10.8%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.9% (HV 20d: 6.9%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2022-08-05: Highest Volume — 750 contracts
  • 2022-08-31: Largest IV spike — 19.0% change
  • 2022-08-31: Highest IV Rank — 31.9%
  • 2022-08-31: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.92$23.61$24.35$24.35$23.61
Max Pain$24.65$24.00$25.00$24.00$24.00
ATM IV10.8%8.8%13.0%10.9%13.0%
Expected Move3.0%2.5%3.7%3.1%3.7%
HV 20d6.9%5.8%7.6%6.4%5.8%
HV 60d7.7%7.5%7.9%7.6%7.5%
IV Rank24.0%16.8%31.9%24.4%31.9%
IV Percentile68.3%42.9%89.3%72.2%89.3%
Term Structure-0.1%-1.9%1.0%-0.9%-1.9%
VWIV11.0%6.3%14.4%11.5%14.4%
Skew 25d-1.5%-4.7%12.3%-2.4%12.3%
Skew 10d-2.8%-8.9%10.7%-0.8%10.7%
Call IV 25d12.6%9.2%17.6%13.8%13.9%
Put IV 25d11.1%7.1%26.2%11.4%26.2%
Bid-Ask Spread %106.2860.71147.37147.3798.50
Gamma HHI0.250.180.340.340.18
Net GEX-59.5K-93.7K-15.7K-81.5K-27.4K
Net DEX1.2M963.7K1.5M963.7K1.1M
Net VEX-5.0K-6.5K-3.9K-6.4K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.005.000.411.01
Total Volume166.3480750378519
Total OI3,051.132,7963,2372,7962,974

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$24.35$24.0010.9%3.1%6.4%24.4%11.5%-2.4%-0.9%-81.5K963.7K-6.4K0.41147.372691091,6701,126
2022-08-02$24.12$24.0011.7%3.4%7.3%27.2%12.7%-3.3%-0.8%-72.6K1.1M-6.3K0.42125.132831191,6711,127
2022-08-03$24.19$24.0011.2%3.2%6.8%25.4%11.2%0.1%-1.5%-75.9K1.1M-6.4K0.44136.272731191,6971,137
2022-08-04$24.24$25.0011.7%2.9%6.6%27.3%13.1%-3.3%0.9%-77.2K1.0M-6.5K0.4482.902691191,7011,137
2022-08-05$24.01$25.0011.3%3.0%7.4%25.6%11.3%-2.6%0.1%-72.8K1.2M-5.9K1.2491.973354151,7011,137
2022-08-08$24.10$25.0012.5%2.8%7.3%30.2%12.3%-2.5%0.7%-78.3K1.2M-5.8K1.34107.423094131,7211,438
2022-08-09$24.05$25.0010.9%2.9%7.3%24.4%0.0%-1.9%1.0%-83.7K1.2M-5.7K0.0094.01001,7231,448
2022-08-10$24.05$25.0010.2%2.9%7.3%21.5%0.0%-1.4%0.0%-82.5K1.2M-6.1K0.00114.25011,7231,448
2022-08-11$23.91$25.009.5%2.7%7.6%19.2%0.0%-3.7%0.8%-77.5K1.4M-4.7K5.0060.714201,7231,448
2022-08-12$23.96$25.008.8%2.5%7.6%16.8%8.8%-0.6%0.9%-67.5K1.3M-4.7K0.0098.82901,7261,468
2022-08-15$24.01$25.009.2%2.6%7.6%18.1%9.0%-3.8%0.9%-77.7K1.2M-4.8K0.00128.901601,7261,468
2022-08-16$23.99$25.009.3%2.7%7.5%18.5%0.0%-3.7%1.0%-82.0K1.3M-5.1K0.0069.64001,7421,468
2022-08-17$23.90$25.009.9%2.8%7.6%20.8%10.1%-3.6%0.3%-81.4K1.4M-4.6K0.27134.682261,7421,468
2022-08-18$23.94$25.009.7%2.8%7.0%19.8%0.0%-3.0%0.2%-93.7K1.4M-4.5K0.0097.85001,7641,473
2022-08-19$23.80$25.0010.5%3.0%6.7%22.8%11.3%-3.8%-0.3%-58.0K1.5M-4.5K4.33122.2812521,7641,473
2022-08-22$23.73$25.0011.3%3.2%6.7%25.7%11.3%-4.7%-0.2%-38.9K1.4M-4.3K0.09103.961111,7411,389
2022-08-23$23.72$25.0011.9%3.4%6.7%28.1%11.9%-2.3%-1.1%-30.3K1.2M-4.1K0.20132.32511,7501,286
2022-08-24$23.63$25.0011.7%3.4%6.7%27.3%6.3%-1.5%-0.7%-30.0K1.2M-4.5K0.0970.011111,7551,286
2022-08-25$23.73$24.0010.9%3.1%6.7%24.1%10.3%-0.3%-0.6%-20.6K1.0M-4.2K0.0091.206001,7651,223
2022-08-26$23.76$24.0011.4%3.3%6.7%26.0%12.2%2.1%-1.3%-23.4K991.6K-4.4K0.00124.31501,7641,223
2022-08-29$23.66$24.0010.6%3.0%6.6%23.2%9.4%0.7%0.0%-15.7K1.0M-4.0K0.00121.923801,7651,223
2022-08-30$23.69$24.0010.9%3.1%5.9%24.4%0.0%-1.1%-0.1%-20.5K1.0M-3.9K0.0090.01001,7511,223
2022-08-31$23.61$24.0013.0%3.7%5.8%31.9%14.4%12.3%-1.9%-27.4K1.1M-4.2K1.0198.502582611,7511,223