GOVT Options History — October 2022

In October 2022, GOVT traded between $22.19 and $22.94. ATM implied volatility averaged 14.0%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 6.2% (HV 20d: 7.8%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2022-10-13: Highest Volume — 534 contracts
  • 2022-10-20: Largest IV spike — 17.4% change
  • 2022-10-11: Highest IV Rank — 41.3%
  • 2022-10-20: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.51$22.19$22.94$22.87$22.37
Max Pain$21.67$20.00$23.00$23.00$22.00
ATM IV14.0%12.6%15.7%13.3%13.8%
Expected Move4.0%3.6%4.3%3.8%4.0%
HV 20d7.8%6.3%8.4%8.3%6.4%
HV 60d7.0%6.7%7.3%7.2%6.7%
IV Rank34.9%29.0%41.3%31.7%34.2%
IV Percentile89.5%82.5%96.8%88.1%85.3%
Term Structure-0.2%-1.9%0.9%0.9%0.5%
VWIV14.3%12.1%15.7%12.1%13.9%
Skew 25d-0.9%-4.1%1.7%-0.9%0.5%
Skew 10d-0.7%-5.8%5.5%-1.1%4.8%
Call IV 25d14.8%12.1%17.9%12.1%14.0%
Put IV 25d13.9%11.1%15.3%11.1%14.6%
Bid-Ask Spread %110.1879.00141.14100.62115.49
Gamma HHI0.420.290.580.290.54
Net GEX37.1K12.3K85.9K13.5K71.2K
Net DEX705.6K375.0K852.4K778.2K558.9K
Net VEX-4.0K-4.7K-3.7K-3.9K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.191.130.630.52
Total Volume361.238251534301487
Total OI2,796.6192,5163,0762,5163,071

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$22.87$23.0013.3%3.8%8.3%31.7%12.1%-0.9%0.9%13.5K778.2K-3.9K0.63100.621851161,5081,008
2022-10-04$22.94$23.0012.6%3.6%8.0%29.0%14.2%-2.9%0.7%20.8K719.1K-3.9K0.68111.421781211,5381,009
2022-10-05$22.80$23.0013.8%4.0%7.9%33.6%14.4%-4.1%-0.0%17.9K791.7K-3.7K0.57115.082131211,5481,018
2022-10-06$22.72$20.0012.8%4.1%8.0%30.3%13.5%-0.9%-0.8%17.4K747.2K-4.3K0.5179.002351211,5661,018
2022-10-07$22.64$20.0014.0%3.9%8.0%34.7%14.0%-1.6%0.1%21.9K846.2K-3.8K0.51106.91176891,6001,018
2022-10-10$22.55$20.0014.4%4.2%8.0%36.4%14.8%-2.5%-0.7%25.6K852.4K-3.7K0.55100.28162891,6441,000
2022-10-11$22.58$20.0015.7%4.3%8.1%41.3%14.5%-1.7%-0.3%33.2K707.9K-3.7K0.4780.61208981,670960
2022-10-12$22.61$20.0014.7%4.2%8.1%37.6%15.0%-3.1%-0.5%38.8K649.0K-3.9K0.5093.142151081,697960
2022-10-13$22.52$22.0014.4%4.1%8.2%36.4%14.5%0.8%-0.4%31.4K725.5K-3.9K0.1997.35449851,7281,002
2022-10-14$22.46$22.0014.6%4.2%8.2%37.1%14.3%1.7%-0.5%30.8K732.4K-3.9K0.27107.96316841,8041,006
2022-10-17$22.46$22.0014.0%4.0%8.2%35.0%14.6%-0.1%-0.1%42.2K711.7K-3.8K0.28126.61311871,8211,006
2022-10-18$22.50$22.0013.1%3.7%8.2%31.4%12.7%0.5%0.1%45.4K695.8K-3.7K0.26141.14301781,8241,010
2022-10-19$22.33$22.0012.9%3.7%8.4%30.7%14.5%-1.1%0.3%31.4K767.9K-3.7K0.23109.90354831,8391,016
2022-10-20$22.21$22.0015.2%4.3%8.2%39.3%15.6%-0.8%-1.1%12.3K822.0K-4.2K0.31120.69238731,8741,036
2022-10-21$22.22$22.0014.6%4.2%8.2%37.4%15.7%-2.7%-0.1%34.8K807.9K-4.2K0.98125.012011961,9681,035
2022-10-24$22.19$22.0013.6%3.9%7.6%33.3%13.9%-2.5%0.8%28.4K766.8K-4.3K1.13128.961541741,8641,025
2022-10-25$22.36$22.0014.0%4.0%8.1%35.1%14.0%0.7%-0.7%43.8K685.8K-4.5K1.03108.951661711,9041,033
2022-10-26$22.44$22.0014.4%4.1%6.3%36.6%14.1%0.5%-0.5%54.8K599.5K-4.2K0.5698.702971661,9221,034
2022-10-27$22.55$22.0013.9%4.0%6.6%34.6%14.8%0.3%0.1%85.9K375.0K-4.7K1.12124.931601792,0451,024
2022-10-28$22.47$22.0014.4%4.1%6.6%36.3%14.3%0.7%-1.9%78.4K476.2K-4.6K0.96121.071741672,0421,034
2022-10-31$22.37$22.0013.8%4.0%6.4%34.2%13.9%0.5%0.5%71.2K558.9K-4.3K0.52115.493201672,0451,026