GOVT Options History — September 2022

In September 2022, GOVT traded between $22.60 and $23.55. ATM implied volatility averaged 12.1%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 5.8% (HV 20d: 6.3%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2022-09-16: Highest Volume — 598 contracts
  • 2022-09-13: Largest IV spike — 61.9% change
  • 2022-09-07: Highest IV Rank — 37.6%
  • 2022-09-08: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.14$22.60$23.55$23.45$22.76
Max Pain$23.14$23.00$24.00$24.00$23.00
ATM IV12.1%8.6%14.6%9.9%14.0%
Expected Move3.5%2.8%4.7%2.8%4.0%
HV 20d6.3%5.5%8.4%6.0%8.2%
HV 60d7.0%6.5%7.8%7.6%7.1%
IV Rank28.4%16.0%37.6%20.6%34.4%
IV Percentile75.2%34.1%94.0%49.6%91.3%
Term Structure0.1%-3.0%1.2%-0.0%0.0%
VWIV12.5%9.0%14.9%9.0%12.1%
Skew 25d0.0%-4.8%10.3%-0.4%2.9%
Skew 10d0.8%-5.0%9.4%0.1%9.4%
Call IV 25d13.5%9.4%23.0%9.4%12.9%
Put IV 25d13.6%9.0%26.9%9.0%15.8%
Bid-Ask Spread %109.939.69141.49136.23102.30
Gamma HHI0.210.160.260.190.26
Net GEX-27.9K-51.7K5.5K-25.3K4.7K
Net DEX1.1M824.6K1.4M1.2M890.0K
Net VEX-3.5K-4.6K-3.0K-3.8K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.0018.5018.502.13
Total Volume239.905159839467
Total OI2,715.812,2363,1172,9892,477

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$23.45$24.009.9%2.8%6.0%20.6%9.0%-0.4%-0.0%-25.3K1.2M-3.8K18.50136.232371,7551,234
2022-09-02$23.55$24.0012.7%3.6%5.6%30.6%0.0%-2.3%-2.6%-31.3K1.1M-4.6K0.0097.86101,7561,263
2022-09-06$23.35$23.0010.3%3.2%5.9%22.0%11.7%-0.7%-0.3%-37.9K1.2M-3.8K1.20123.882452931,7571,240
2022-09-07$23.46$23.0014.6%3.4%6.3%37.6%12.4%-0.0%0.0%-36.7K1.2M-3.6K1.04112.442832931,7621,240
2022-09-08$23.41$23.0014.2%4.7%6.3%36.2%0.0%-1.5%1.2%-29.2K1.2M-4.0K0.07132.654031,8031,248
2022-09-09$23.38$23.008.6%4.0%6.0%16.0%0.0%10.3%-3.0%-38.8K1.2M-3.1K0.00128.72501,8071,242
2022-09-12$23.34$23.008.9%3.1%5.9%16.9%0.0%-1.5%0.9%-35.8K1.1M-3.5K0.00123.35301,8121,242
2022-09-13$23.25$23.0014.4%3.1%5.8%37.0%11.9%-2.1%0.7%-37.5K1.2M-3.5K1.35129.102243021,8141,242
2022-09-14$23.25$23.0010.7%3.1%5.9%23.4%0.0%-1.4%0.9%-43.5K1.3M-3.2K1.40115.1210141,8141,283
2022-09-15$23.21$23.0011.1%3.2%5.8%25.1%0.0%-1.7%0.6%-44.3K1.3M-3.5K4.00119.61141,8221,295
2022-09-16$23.20$23.0010.7%3.1%5.7%23.4%12.3%-1.9%1.2%-51.7K1.4M-3.0K1.48141.492413571,8221,294
2022-09-19$23.18$23.0011.5%3.3%5.5%26.5%0.0%-1.5%0.5%-32.5K971.4K-3.0K1.67121.56351,2301,006
2022-09-20$23.07$23.0012.0%3.4%5.6%28.1%14.6%-3.0%0.1%-34.0K993.7K-3.0K0.00120.005201,2291,010
2022-09-21$23.12$23.0011.0%3.2%5.7%24.7%11.0%-2.6%1.0%-33.7K980.7K-3.1K5.67115.143171,2281,010
2022-09-22$22.94$24.0011.6%3.3%6.1%26.8%11.6%-1.1%0.4%-30.0K1.0M-3.3K0.159.691321,2801,017
2022-09-23$22.94$23.0012.8%3.7%5.8%31.1%14.2%-4.8%0.3%-27.7K996.1K-3.3K0.0085.036301,2951,018
2022-09-26$22.72$23.0013.3%3.8%6.3%33.1%13.1%1.8%0.6%-25.8K1.0M-3.8K1.3894.182263111,3491,018
2022-09-27$22.60$23.0014.4%4.1%6.4%35.9%14.4%3.7%-0.1%-4.4K987.6K-3.7K1.5683.842043191,435971
2022-09-28$22.91$23.0014.0%4.0%8.4%34.3%12.3%4.0%-0.3%5.5K854.1K-3.9K1.7994.241803221,459992
2022-09-29$22.84$23.0013.5%3.9%8.4%32.3%14.9%4.3%0.1%3.0K824.6K-4.0K1.82122.161753181,466995
2022-09-30$22.76$23.0014.0%4.0%8.2%34.4%12.1%2.9%0.0%4.7K890.0K-3.8K2.13102.301493181,478999