GOVT Options History — December 2022

In December 2022, GOVT traded between $22.71 and $23.30. ATM implied volatility averaged 12.2%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 5.1% (HV 20d: 7.1%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2022-12-05: Highest Volume — 494 contracts
2022-12-12: Largest IV spike — 25.2% change
2022-12-12: Highest IV Rank — 48.6%
2022-12-12: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.05	$22.71	$23.30	$23.12	$22.71
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	12.2%	10.2%	17.8%	10.4%	10.8%
Expected Move	3.2%	2.9%	3.5%	3.0%	3.1%
HV 20d	7.1%	6.2%	8.3%	8.0%	6.2%
HV 60d	7.5%	6.9%	8.0%	7.6%	6.9%
IV Rank	27.0%	19.4%	48.6%	20.6%	21.1%
IV Percentile	58.4%	28.6%	97.6%	36.5%	41.3%
Term Structure	0.2%	-0.4%	1.2%	-0.1%	-0.2%
VWIV	12.0%	9.5%	24.5%	10.4%	10.9%
Skew 25d	0.4%	-4.6%	10.5%	10.5%	-1.1%
Skew 10d	-2.5%	-25.0%	20.4%	19.7%	-0.6%
Call IV 25d	10.5%	6.3%	14.4%	9.1%	10.2%
Put IV 25d	10.8%	9.0%	19.8%	19.6%	9.1%
Bid-Ask Spread %	38.93	9.79	130.12	123.98	19.68
Gamma HHI	0.53	0.34	0.80	0.80	0.35
Net GEX	236.8K	70.6K	493.6K	464.7K	70.6K
Net DEX	-900.8K	-1.5M	-444.0K	-1.4M	-444.0K
Net VEX	-3.4K	-4.3K	-2.6K	-4.2K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	3.00	0.08	0.24
Total Volume	74.381	2	494	85	21
Total OI	2,564.143	1,401	3,578	3,527	1,468

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-12-01	$23.12	$23.00	10.4%	3.0%	8.0%	20.6%	10.4%	10.5%	-0.1%	464.7K	-1.4M	-4.2K	0.08	123.98	79	6	2,704	823
2022-12-02	$23.16	$23.00	11.3%	3.2%	7.8%	24.0%	11.3%	10.4%	0.3%	462.1K	-1.5M	-4.2K	0.07	130.12	139	10	2,750	828
2022-12-05	$23.04	$23.00	12.5%	3.3%	8.1%	28.3%	11.4%	-0.4%	0.4%	389.7K	-1.1M	-3.9K	0.02	50.72	484	10	2,600	833
2022-12-06	$23.13	$23.00	14.4%	3.4%	7.9%	35.9%	24.5%	-3.7%	0.1%	339.4K	-1.1M	-4.3K	0.00	69.99	126	0	2,695	839
2022-12-07	$23.30	$23.00	16.2%	3.4%	8.1%	42.6%	11.8%	-0.3%	-0.4%	297.5K	-1.3M	-4.2K	0.01	65.66	76	1	2,656	839
2022-12-08	$23.24	$23.00	14.5%	3.4%	8.3%	36.2%	12.3%	-2.2%	-0.3%	299.5K	-1.2M	-4.3K	0.00	89.71	7	0	2,631	841
2022-12-09	$23.12	$23.00	14.2%	3.4%	6.8%	34.9%	15.2%	-2.4%	0.3%	328.1K	-1.0M	-4.1K	0.14	22.24	7	1	2,629	841
2022-12-12	$23.09	$23.00	17.8%	3.5%	6.9%	48.6%	12.2%	-4.6%	-0.0%	369.2K	-959.1K	-3.9K	0.14	36.26	22	3	2,632	842
2022-12-13	$23.23	$23.00	14.2%	3.5%	6.9%	35.0%	12.7%	-2.1%	0.1%	493.6K	-1.3M	-3.6K	0.00	34.75	28	0	2,620	844
2022-12-14	$23.27	$23.00	11.2%	3.2%	6.8%	23.6%	13.9%	-2.8%	1.2%	479.8K	-1.4M	-3.4K	0.16	43.71	122	20	2,607	844
2022-12-15	$23.26	$23.00	10.9%	3.1%	6.5%	22.2%	10.1%	0.8%	0.3%	130.0K	-642.2K	-3.1K	0.07	12.25	176	12	2,217	854
2022-12-16	$23.23	$23.00	10.9%	3.1%	6.2%	22.2%	10.6%	-0.1%	-0.4%	145.4K	-1.1M	-3.2K	0.02	11.86	125	3	2,254	657
2022-12-19	$23.11	$23.00	10.5%	3.0%	6.5%	20.7%	10.5%	3.5%	0.4%	111.2K	-687.2K	-3.1K	0.40	14.24	10	4	1,173	228
2022-12-20	$22.98	$23.00	10.2%	2.9%	6.9%	19.4%	10.1%	0.8%	0.9%	96.5K	-592.7K	-2.9K	3.00	13.53	5	15	1,178	232
2022-12-21	$22.99	$23.00	10.3%	3.0%	6.8%	20.2%	9.5%	1.8%	0.4%	95.9K	-593.2K	-3.1K	1.33	14.99	6	8	1,181	247
2022-12-22	$22.99	$23.00	10.5%	3.0%	6.6%	20.9%	10.5%	1.8%	0.5%	93.8K	-571.7K	-2.9K	0.00	14.41	2	0	1,181	255
2022-12-23	$22.89	$23.00	10.7%	3.1%	6.8%	20.7%	10.7%	0.7%	0.0%	86.0K	-556.9K	-2.9K	3.00	14.55	2	6	1,196	255
2022-12-27	$22.76	$23.00	11.1%	3.2%	7.1%	22.3%	11.1%	-1.0%	0.3%	73.1K	-463.7K	-2.7K	0.67	9.79	3	2	1,198	260
2022-12-28	$22.71	$23.00	11.7%	3.4%	7.0%	24.5%	11.4%	-1.4%	-0.4%	71.6K	-449.0K	-2.6K	1.25	12.13	4	5	1,198	260
2022-12-29	$22.77	$23.00	11.1%	3.2%	6.9%	22.2%	10.9%	-0.6%	-0.2%	74.6K	-468.8K	-2.7K	0.09	12.88	11	1	1,198	259
2022-12-30	$22.71	$23.00	10.8%	3.1%	6.2%	21.1%	10.9%	-1.1%	-0.2%	70.6K	-444.0K	-2.6K	0.24	19.68	17	4	1,210	258