GOVT Options History — January 2023

In January 2023, GOVT traded between $22.81 and $23.46. ATM implied volatility averaged 10.7%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.7% (HV 20d: 7.1%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2023-01-18: Highest Volume — 105 contracts
2023-01-10: Largest IV spike — 17.6% change
2023-01-10: Highest IV Rank — 24.7%
2023-01-03: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.22	$22.81	$23.46	$22.81	$23.29
Max Pain	$22.00	$21.00	$23.00	$23.00	$23.00
ATM IV	10.7%	9.4%	11.8%	11.5%	9.4%
Expected Move	3.0%	2.7%	3.3%	3.3%	2.7%
HV 20d	7.1%	6.4%	7.8%	6.4%	7.0%
HV 60d	7.2%	7.0%	7.4%	7.0%	7.2%
IV Rank	20.7%	15.6%	24.7%	23.8%	15.6%
IV Percentile	38.3%	12.7%	61.9%	56.7%	12.7%
Term Structure	-0.5%	-1.6%	0.4%	-0.9%	-0.0%
VWIV	10.4%	7.2%	11.4%	11.0%	11.1%
Skew 25d	1.1%	-1.2%	4.2%	0.2%	2.2%
Skew 10d	1.2%	-1.9%	5.3%	0.7%	5.0%
Call IV 25d	9.1%	6.8%	11.7%	10.5%	7.3%
Put IV 25d	10.3%	8.3%	11.6%	10.6%	9.5%
Bid-Ask Spread %	14.49	7.73	25.50	12.96	7.73
Gamma HHI	0.40	0.35	0.45	0.37	0.45
Net GEX	81.6K	59.6K	106.1K	77.8K	65.4K
Net DEX	-645.9K	-850.0K	-486.1K	-486.1K	-590.9K
Net VEX	-2.1K	-2.3K	-1.9K	-2.3K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.00	5.00	0.50	5.00
Total Volume	18.7	0	105	3	0
Total OI	1,402.35	1,179	1,607	1,468	1,237

Daily Data (20 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
2023-01-03	$22.81	$23.00	11.5%	3.3%	6.4%	23.8%	0.0%	0.2%	-0.9%	77.8K	-486.1K	-2.3K	0.50	12.96	2	1	1,212	256
2023-01-04	$22.95	$23.00	11.0%	3.2%	6.6%	21.8%	11.0%	0.1%	-0.1%	85.2K	-534.0K	-2.3K	0.00	13.73	8	0	1,212	257
2023-01-05	$22.94	$21.00	11.3%	3.2%	6.4%	23.1%	0.0%	0.3%	-0.6%	86.3K	-538.4K	-2.3K	0.00	12.34	0	0	1,216	257
2023-01-06	$23.14	$21.00	11.0%	3.0%	6.7%	21.9%	0.0%	-1.1%	-0.4%	105.5K	-647.6K	-2.2K	1.17	10.41	6	7	1,216	257
2023-01-09	$23.19	$21.00	10.0%	2.9%	6.7%	17.9%	0.0%	-0.9%	-0.0%	100.5K	-657.6K	-2.1K	0.20	14.09	5	1	1,217	264
2023-01-10	$23.09	$21.00	11.8%	3.1%	6.6%	24.7%	0.0%	2.0%	-0.8%	96.6K	-613.4K	-2.0K	0.00	12.55	10	0	1,219	265
2023-01-11	$23.18	$21.00	10.5%	3.0%	6.7%	19.8%	0.0%	-0.9%	-0.1%	100.2K	-657.0K	-2.1K	0.00	13.55	6	0	1,218	265
2023-01-12	$23.36	$21.00	10.6%	3.0%	6.9%	20.2%	10.3%	0.1%	-0.5%	85.1K	-746.4K	-1.9K	0.00	25.50	29	0	1,224	265
2023-01-13	$23.27	$21.00	11.0%	3.1%	7.1%	21.7%	0.0%	-0.3%	-1.0%	95.2K	-720.2K	-1.9K	0.19	11.03	26	5	1,246	265
2023-01-17	$23.24	$21.00	10.8%	3.1%	7.1%	21.1%	10.7%	-0.7%	-0.3%	97.6K	-712.2K	-2.0K	0.00	11.34	11	0	1,263	268
2023-01-18	$23.46	$21.00	11.2%	3.2%	7.8%	22.7%	0.0%	1.3%	-0.6%	106.1K	-850.0K	-2.0K	0.05	22.23	100	5	1,263	268
2023-01-19	$23.41	$21.00	11.0%	3.2%	7.6%	22.0%	10.8%	0.9%	-0.7%	84.3K	-811.7K	-2.1K	0.57	12.19	46	26	1,273	273
2023-01-20	$23.30	$23.00	10.2%	2.9%	7.5%	18.6%	10.1%	3.4%	0.4%	69.2K	-763.8K	-2.1K	0.75	14.22	4	3	1,308	299
2023-01-23	$23.24	$23.00	10.6%	3.0%	7.6%	20.1%	10.6%	3.7%	-0.2%	59.6K	-559.7K	-2.1K	0.20	16.93	20	4	904	275
2023-01-24	$23.34	$23.00	11.4%	3.3%	7.7%	23.4%	11.4%	4.2%	-1.6%	63.0K	-619.0K	-2.1K	3.00	11.39	4	12	923	275
2023-01-25	$23.36	$23.00	10.4%	3.0%	7.5%	19.4%	0.0%	-1.2%	-0.7%	63.0K	-633.3K	-2.1K	0.00	17.74	0	0	926	285
2023-01-26	$23.31	$23.00	9.9%	2.8%	7.1%	17.5%	7.2%	2.1%	-0.4%	61.6K	-604.2K	-2.0K	0.00	17.80	25	0	926	285
2023-01-27	$23.30	$23.00	9.7%	2.8%	7.0%	16.9%	10.1%	3.2%	-0.2%	66.0K	-600.9K	-2.0K	5.00	20.72	1	5	945	285
2023-01-30	$23.24	$23.00	11.1%	3.2%	7.2%	22.3%	11.1%	3.6%	-1.5%	64.6K	-572.1K	-1.9K	0.00	11.31	0	2	945	290
2023-01-31	$23.29	$23.00	9.4%	2.7%	7.0%	15.6%	0.0%	2.2%	-0.0%	65.4K	-590.9K	-1.9K	0.00	7.73	0	0	945	292