GOVT Options History — November 2022

In November 2022, GOVT traded between $22.17 and $22.93. ATM implied volatility averaged 12.5%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 5.1% (HV 20d: 7.4%). Max pain ranged from $19.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2022-11-04: Highest Volume — 791 contracts
  • 2022-11-17: Largest IV spike — 7.0% change
  • 2022-11-18: Highest IV Rank — 32.2%
  • 2022-11-18: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.61$22.17$22.93$22.37$22.93
Max Pain$22.67$19.00$23.00$19.00$23.00
ATM IV12.5%11.3%13.5%12.8%12.8%
Expected Move3.6%3.2%3.9%3.7%3.7%
HV 20d7.4%5.8%8.5%6.2%7.6%
HV 60d7.3%6.6%7.7%6.7%7.4%
IV Rank28.6%23.8%32.2%30.4%29.7%
IV Percentile74.8%59.9%83.3%78.6%77.0%
Term Structure-0.8%-1.9%0.8%0.4%-1.7%
VWIV16.0%11.0%77.8%13.2%12.9%
Skew 25d1.0%-31.1%28.9%-0.7%-1.6%
Skew 10d3.0%-56.4%42.4%4.5%-2.5%
Call IV 25d13.9%9.4%41.4%13.9%13.1%
Put IV 25d14.8%10.0%41.6%13.1%11.5%
Bid-Ask Spread %113.9782.74138.21135.77124.19
Gamma HHI0.740.540.860.570.76
Net GEX223.1K75.0K378.7K87.3K357.8K
Net DEX-579.3K-1.2M521.0K332.0K-1.1M
Net VEX-4.7K-5.1K-4.3K-4.6K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.004.000.740.25
Total Volume396.9522079142935
Total OI3,4243,2343,5873,2343,587

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$22.37$19.0012.8%3.7%6.2%30.4%13.2%-0.7%0.4%87.3K332.0K-4.6K0.74135.772471822,2081,026
2022-11-02$22.35$20.0012.9%3.7%6.0%30.7%12.8%-1.3%0.1%89.2K372.0K-4.6K0.59133.092961752,2241,046
2022-11-03$22.29$23.0012.5%3.8%5.9%29.1%14.9%0.5%-0.6%89.0K416.7K-4.5K0.45108.223961772,2771,043
2022-11-04$22.25$23.0012.0%3.6%5.8%26.4%12.2%-2.1%-0.1%75.0K521.0K-4.3K0.2890.296161752,2001,041
2022-11-07$22.17$23.0011.8%3.5%5.8%25.7%12.1%-1.9%0.1%111.5K-60.1K-4.7K0.6490.702891862,501813
2022-11-08$22.26$23.0012.1%3.5%6.0%26.9%11.0%-3.0%0.1%129.7K-116.4K-4.8K0.6096.853141872,496824
2022-11-09$22.30$23.0011.3%3.2%6.1%23.8%11.4%-2.3%0.8%138.8K-199.9K-4.8K0.5397.153541872,557824
2022-11-10$22.66$23.0011.4%3.3%8.3%24.2%12.5%1.6%-0.3%242.0K-804.9K-5.1K0.54120.893111682,606817
2022-11-11$22.66$23.0012.0%3.4%8.3%26.4%13.6%-1.5%-1.1%224.9K-823.5K-5.0K0.6087.242621582,609818
2022-11-14$22.59$23.0012.6%3.6%8.4%28.7%12.8%-1.1%-1.4%222.7K-728.1K-4.9K0.6088.952671592,655813
2022-11-15$22.71$23.0012.4%3.6%8.5%28.1%12.5%0.8%-0.9%244.0K-889.9K-4.9K0.5896.882731592,661814
2022-11-16$22.86$23.0012.2%3.5%8.2%27.3%12.6%3.7%-0.7%274.3K-1.1M-5.0K0.5882.742721592,677813
2022-11-17$22.76$23.0013.1%3.7%8.1%30.6%14.0%-0.5%-1.5%258.9K-987.8K-4.9K0.67128.232381592,701813
2022-11-18$22.70$23.0013.5%3.9%8.3%32.2%13.4%0.4%-1.4%238.9K-898.5K-4.7K0.61136.452561572,709815
2022-11-21$22.70$23.0013.0%3.7%8.2%30.3%12.7%1.1%-1.6%265.9K-689.1K-4.6K0.88122.011721512,608782
2022-11-22$22.79$23.0012.8%3.7%7.9%29.4%13.6%3.0%-1.3%287.8K-884.7K-4.7K0.77120.111951502,629780
2022-11-23$22.89$23.0012.8%3.7%8.0%29.4%13.6%-0.4%-1.1%321.6K-1.1M-4.5K0.71131.102141512,669781
2022-11-25$22.87$23.0013.4%3.8%7.9%31.7%77.8%-31.1%-1.9%329.1K-1.1M-4.8K4.00138.215202,744782
2022-11-28$22.91$23.0012.6%3.6%7.7%28.9%12.5%28.9%-1.1%378.7K-1.2M-4.5K0.00128.5444402,751817
2022-11-29$22.84$23.0013.3%3.8%7.6%31.4%13.3%28.0%-1.8%317.9K-975.8K-4.5K0.05135.691912,756817
2022-11-30$22.93$23.0012.8%3.7%7.6%29.7%12.9%-1.6%-1.7%357.8K-1.1M-4.4K0.25124.192872,771816