GOVT Options History — May 2023

In May 2023, GOVT traded between $22.89 and $23.52. ATM implied volatility averaged 9.5%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.4% (HV 20d: 8.0%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 5.69.

Notable Days

  • 2023-05-09: Highest Volume — 274 contracts
  • 2023-05-02: Largest IV spike — 54.4% change
  • 2023-05-03: Highest IV Rank — 35.2%
  • 2023-05-03: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.22$22.89$23.52$23.18$23.14
Max Pain$22.73$22.00$24.00$24.00$23.00
ATM IV9.5%7.2%13.7%7.2%8.4%
Expected Move2.8%2.1%3.9%2.1%2.4%
HV 20d8.0%5.4%8.5%7.7%5.4%
HV 60d8.6%8.4%8.7%8.5%8.5%
IV Rank13.6%2.2%35.2%2.2%8.3%
IV Percentile20.3%0.8%82.1%0.8%4.4%
Term Structure1.0%-2.4%19.8%3.3%19.8%
VWIV10.2%7.1%13.9%8.2%7.1%
Skew 25d-0.0%-4.0%4.6%0.6%3.2%
Skew 10d0.7%-2.1%4.1%1.0%4.1%
Call IV 25d9.6%6.9%12.3%7.8%7.5%
Put IV 25d9.6%6.0%13.7%8.4%10.7%
Bid-Ask Spread %19.026.9432.9315.6428.39
Gamma HHI0.810.620.880.850.76
Net GEX-140.2K-188.2K-94.3K-116.4K-144.1K
Net DEX1.4M819.6K1.9M1.2M1.6M
Net VEX-7.4K-8.5K-6.9K-6.9K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.690.0090.332.000.00
Total Volume41.0911274221
Total OI2,346.7272,1302,4952,1332,472

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$23.18$24.007.2%2.1%7.7%2.2%8.2%0.6%3.3%-116.4K1.2M-6.9K0.0015.64026881,445
2023-05-02$23.41$24.0011.2%3.2%8.5%22.4%11.3%-0.8%-0.3%-108.9K947.7K-7.1K2.006.945106881,442
2023-05-03$23.49$24.0013.7%3.9%8.4%35.2%13.9%4.6%-2.4%-109.7K899.0K-7.3K0.0624.574936931,445
2023-05-04$23.52$22.007.7%3.2%8.3%4.6%13.5%-2.9%-0.4%-94.3K819.6K-7.2K2.7829.209257391,444
2023-05-05$23.41$22.007.2%3.0%8.5%2.2%10.4%-0.0%-0.4%-106.4K977.1K-7.1K0.0022.442007391,469
2023-05-08$23.30$22.009.0%3.0%8.3%11.2%11.5%-1.2%-0.4%-105.3K1.1M-7.1K0.2011.65517481,469
2023-05-09$23.29$22.007.9%2.8%8.3%5.4%10.2%-1.2%0.5%-111.8K1.1M-6.9K90.3328.0332717411,469
2023-05-10$23.39$22.0010.0%2.9%8.5%16.6%10.2%-1.1%-0.1%-154.6K1.3M-8.4K0.4024.60527431,740
2023-05-11$23.48$22.009.6%2.8%8.5%14.5%9.8%-1.0%1.0%-148.2K1.3M-8.5K0.0024.22047461,740
2023-05-12$23.38$22.007.5%2.2%8.5%3.6%9.4%-4.0%0.5%-166.3K1.4M-8.3K0.0032.93107461,742
2023-05-15$23.32$22.008.5%2.4%8.4%8.6%8.2%-1.9%1.7%-149.3K1.5M-8.0K0.0028.974407461,742
2023-05-16$23.27$22.009.5%2.7%8.4%13.9%9.4%-1.3%0.5%-159.2K1.6M-7.7K1.6010.31587281,742
2023-05-17$23.21$23.009.0%2.6%8.5%11.3%9.5%-2.1%0.6%-174.1K1.7M-7.7K1.2027.6610127291,748
2023-05-18$23.13$23.007.4%2.1%8.4%3.3%7.4%0.9%2.2%-173.4K1.7M-7.3K0.2920.482477371,752
2023-05-19$23.05$23.009.0%2.6%8.5%11.3%9.0%2.1%0.8%-188.2K1.8M-7.4K3.1713.596197471,748
2023-05-22$23.04$23.009.1%2.6%8.4%11.9%9.1%1.8%0.6%-154.0K1.8M-7.3K0.4014.771046321,675
2023-05-23$23.05$23.0010.0%2.9%7.7%16.3%10.0%1.9%-0.0%-147.2K1.7M-7.3K7.0011.443216421,679
2023-05-24$23.01$23.0010.8%3.1%7.7%20.4%10.3%0.8%-0.6%-146.2K1.8M-7.5K2.438.557176451,680
2023-05-25$22.89$23.0012.1%3.5%7.6%27.3%12.1%0.1%-1.5%-138.6K1.9M-6.9K0.708.081076401,695
2023-05-26$22.93$23.0011.9%3.4%7.2%26.2%11.5%-0.5%-0.8%-138.6K1.9M-6.9K1.2110.7263766451,693
2023-05-30$23.05$23.0011.3%3.2%6.4%23.2%11.3%1.9%-1.6%-149.6K1.8M-7.0K0.0415.1911147011,734
2023-05-31$23.14$23.008.4%2.4%5.4%8.3%7.1%3.2%19.8%-144.1K1.6M-7.5K0.0028.392107401,732