GOVT Options History — February 2023

In February 2023, GOVT traded between $22.70 and $23.43. ATM implied volatility averaged 9.9%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 3.6% (HV 20d: 6.3%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 6.29.

Notable Days

  • 2023-02-27: Highest Volume — 76 contracts
  • 2023-02-03: Largest IV spike — 41.6% change
  • 2023-02-06: Highest IV Rank — 25.0%
  • 2023-02-28: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.96$22.70$23.43$23.41$22.74
Max Pain$22.63$22.00$23.00$23.00$22.00
ATM IV9.9%6.8%11.8%6.8%11.6%
Expected Move2.8%2.0%3.3%2.0%3.3%
HV 20d6.3%5.2%7.6%7.1%5.8%
HV 60d6.9%6.6%7.5%7.2%6.7%
IV Rank15.1%5.6%25.0%5.6%19.6%
IV Percentile23.4%2.0%63.1%2.0%58.7%
Term Structure-0.2%-1.9%2.7%2.7%-1.5%
VWIV9.3%6.1%11.6%8.7%11.6%
Skew 25d0.0%-2.1%2.1%1.1%-1.3%
Skew 10d0.2%-2.8%2.8%1.2%-1.1%
Call IV 25d8.6%5.9%11.1%5.9%11.1%
Put IV 25d8.6%7.0%9.9%7.0%9.9%
Bid-Ask Spread %9.137.0716.839.828.84
Gamma HHI0.540.410.610.410.52
Net GEX65.9K48.2K75.0K64.2K64.8K
Net DEX-449.7K-680.3K-332.5K-677.2K-332.5K
Net VEX-1.8K-2.2K-1.6K-1.8K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.290.0075.002.081.43
Total Volume28.4212761517
Total OI1,275.4741,2381,3681,2381,368

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$23.41$23.006.8%2.0%7.1%5.6%0.0%1.1%2.7%64.2K-677.2K-1.8K0.009.82015946292
2023-02-02$23.43$22.006.9%2.7%6.8%5.8%8.7%0.9%-0.0%62.3K-680.3K-1.8K2.0816.831225946292
2023-02-03$23.23$23.009.7%2.7%7.6%16.9%9.3%0.1%-0.1%63.2K-561.5K-1.9K0.007.4420953313
2023-02-06$23.11$23.0011.8%2.8%7.3%25.0%7.1%1.7%-0.4%64.0K-479.7K-1.9K3.457.241138955313
2023-02-07$23.06$23.0011.1%2.7%7.3%22.1%9.5%1.4%-0.3%65.9K-486.5K-1.8K0.208.95357953309
2023-02-08$23.09$23.009.7%2.8%7.1%14.2%8.3%1.4%-0.6%63.8K-487.1K-1.8K0.338.4762953315
2023-02-09$23.04$23.009.4%2.7%7.0%13.0%8.0%2.1%-0.1%64.8K-463.7K-1.7K28.007.25128954315
2023-02-10$22.95$23.009.6%2.8%6.4%13.3%6.1%1.1%-0.0%64.9K-433.1K-1.7K0.007.07140955306
2023-02-13$22.98$23.0010.1%2.9%6.4%15.3%10.1%1.2%-0.5%66.3K-452.5K-1.7K0.257.2082965306
2023-02-14$22.94$23.009.3%2.7%6.4%12.1%9.9%0.7%0.6%72.6K-429.2K-1.7K0.757.0943967308
2023-02-15$22.87$23.009.2%2.7%5.2%11.7%9.3%-2.1%0.2%75.0K-369.4K-1.6K0.0213.46451966309
2023-02-16$22.80$23.009.3%2.7%5.2%12.0%9.3%-0.2%0.0%48.2K-338.4K-1.6K0.127.99425945312
2023-02-17$22.86$23.009.6%2.8%5.3%13.1%9.1%-1.4%-0.3%57.5K-379.0K-1.6K0.358.114616984312
2023-02-21$22.70$22.0010.5%3.0%5.7%17.0%10.6%-1.9%-0.3%67.6K-378.6K-1.7K0.077.91141994271
2023-02-22$22.73$22.009.9%2.8%5.4%14.5%9.9%-1.0%-0.0%73.4K-391.8K-1.8K0.779.3913101,000281
2023-02-23$22.81$22.0010.1%2.9%5.6%15.1%9.9%-0.3%-0.6%73.7K-409.6K-1.7K0.2112.00296996282
2023-02-24$22.70$22.0011.3%3.2%5.7%19.9%11.3%-2.1%-1.9%67.4K-387.3K-1.7K0.208.95511,014283
2023-02-27$22.73$22.0011.2%3.2%5.8%19.7%0.0%-1.2%-1.2%72.1K-406.1K-1.7K75.009.471751,017284
2023-02-28$22.74$22.0011.6%3.3%5.8%19.6%11.6%-1.3%-1.5%64.8K-332.5K-2.2K1.438.847101,018350