GOVT Options History — March 2023

In March 2023, GOVT traded between $22.52 and $23.51. ATM implied volatility averaged 12.4%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.7% (HV 20d: 8.7%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 2.12.

Notable Days

  • 2023-03-20: Highest Volume — 314 contracts
  • 2023-03-10: Largest IV spike — 67.4% change
  • 2023-03-13: Highest IV Rank — 59.5%
  • 2023-03-09: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.09$22.52$23.51$22.59$23.38
Max Pain$22.74$22.00$24.00$23.00$24.00
ATM IV12.4%8.1%21.2%8.1%10.0%
Expected Move3.5%2.3%5.9%2.3%2.9%
HV 20d8.7%5.4%11.2%6.0%10.7%
HV 60d7.5%6.4%8.4%6.6%8.3%
IV Rank23.2%5.5%59.5%5.5%13.1%
IV Percentile56.1%0.8%99.2%0.8%13.9%
Term Structure-0.4%-1.8%0.7%0.2%0.6%
VWIV12.3%8.5%16.0%10.2%9.7%
Skew 25d-1.0%-3.9%4.8%-3.4%-2.2%
Skew 10d-1.3%-8.2%2.7%-3.5%-1.1%
Call IV 25d12.4%8.3%16.6%10.2%12.0%
Put IV 25d11.3%6.7%15.4%6.7%9.8%
Bid-Ask Spread %18.215.3553.155.626.82
Gamma HHI0.420.210.610.570.30
Net GEX43.1K-21.5K133.7K63.7K-19.1K
Net DEX-276.9K-943.6K140.4K-210.7K140.4K
Net VEX-3.4K-4.9K-2.1K-2.1K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.0017.600.5017.60
Total Volume67.26133141211
Total OI1,396.6521,0411,7441,3481,374

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$22.59$23.008.1%2.3%6.0%5.5%10.2%-3.4%0.2%63.7K-210.7K-2.1K0.505.6284988360
2023-03-02$22.52$22.009.9%2.8%5.5%12.5%11.3%-3.2%-1.8%56.2K-258.0K-2.1K1.137.331618995329
2023-03-03$22.66$22.0010.2%2.9%6.1%13.9%0.0%-2.0%-0.4%69.8K-312.2K-2.2K0.385.351351,003346
2023-03-06$22.63$22.0010.1%3.1%5.5%13.3%11.7%2.3%-0.7%67.4K-309.8K-2.2K0.4211.321251,009351
2023-03-07$22.63$22.0010.5%3.1%5.4%15.3%0.0%2.3%-0.8%68.4K-317.9K-2.2K0.5511.321161,020356
2023-03-08$22.63$22.0011.2%3.0%5.4%17.8%10.6%2.2%-0.1%63.5K-292.2K-2.1K1.6715.42351,017357
2023-03-09$22.71$22.008.2%5.9%5.5%5.6%11.0%4.8%0.5%78.8K-322.3K-2.2K0.2053.15511,017357
2023-03-10$23.04$22.0013.7%3.2%7.7%28.2%10.4%0.7%0.7%94.2K-529.1K-2.3K0.1224.49263311,022357
2023-03-13$23.27$23.0021.2%4.4%8.3%59.5%15.4%-1.3%-1.6%107.9K-794.0K-2.8K0.0037.447601,105381
2023-03-14$23.12$23.0019.4%3.8%8.7%52.3%8.5%-3.2%-1.0%131.9K-736.1K-2.7K3.2717.0322721,140381
2023-03-15$23.36$23.0015.0%4.3%9.4%33.9%16.0%-3.9%-1.1%95.3K-943.6K-2.9K1.0641.30941001,145451
2023-03-16$23.21$23.0012.5%3.6%9.6%23.4%12.6%-2.4%0.2%133.7K-741.0K-3.2K0.4217.3933141,150551
2023-03-17$23.45$23.0013.9%4.0%10.1%29.5%13.9%-2.4%-0.5%26.8K-896.3K-3.3K0.3317.3430101,156588
2023-03-20$23.36$23.0014.0%4.0%10.2%29.9%14.2%-2.0%-1.0%25.6K-323.9K-3.4K12.6513.0123291664377
2023-03-21$23.18$23.0012.1%3.5%10.3%22.0%12.0%-2.2%0.1%-9.7K125.8K-4.8K0.5021.5421675651
2023-03-22$23.34$23.0012.4%3.5%10.5%23.0%12.7%-1.1%-0.3%-5.4K27.9K-4.8K0.0914.45111675651
2023-03-23$23.48$23.0012.5%3.6%10.6%23.4%13.8%-0.9%-0.7%-709-36.6K-4.9K0.0013.48160676652
2023-03-24$23.51$23.0013.7%3.9%10.4%28.6%13.7%0.9%-0.6%1.7K-61.4K-4.9K0.0029.52170682652
2023-03-27$23.27$23.0012.4%3.6%11.2%23.2%13.0%-1.5%-0.5%-4.8K47.3K-4.7K5.6721.4024136685652
2023-03-28$23.26$23.0012.4%3.6%11.2%23.1%12.8%-1.1%-0.2%-14.9K114.4K-4.8K0.0011.80180694692
2023-03-29$23.21$23.0011.8%3.4%10.9%20.6%12.5%-1.9%-0.1%-16.6K129.7K-4.7K0.0010.94460696692
2023-03-30$23.27$23.0010.9%3.1%10.8%17.0%12.1%-1.9%-0.2%-21.5K131.0K-4.4K17.6011.28588659692
2023-03-31$23.38$24.0010.0%2.9%10.7%13.1%9.7%-2.2%0.6%-19.1K140.4K-4.4K0.006.82011663711