GOVT Options History — July 2023

In July 2023, GOVT traded between $22.59 and $22.99. ATM implied volatility averaged 7.7%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 1.4% (HV 20d: 6.4%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2023-07-21: Highest Volume — 168 contracts
2023-07-10: Largest IV spike — 61.3% change
2023-07-10: Highest IV Rank — 19.4%
2023-07-06: Largest Expected Move — 2.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.80	$22.59	$22.99	$22.81	$22.76
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	7.7%	6.3%	10.1%	7.0%	7.4%
Expected Move	2.3%	1.8%	2.8%	2.0%	2.1%
HV 20d	6.4%	5.9%	6.8%	6.1%	6.0%
HV 60d	6.6%	5.7%	6.9%	6.6%	5.7%
IV Rank	7.2%	0.0%	19.4%	2.9%	5.5%
IV Percentile	8.9%	0.0%	30.2%	2.4%	7.1%
Term Structure	0.2%	-0.9%	3.6%	1.1%	1.1%
VWIV	7.9%	6.5%	9.7%	7.9%	7.4%
Skew 25d	1.0%	-0.6%	2.9%	1.0%	0.9%
Skew 10d	1.2%	-0.8%	3.4%	0.7%	0.5%
Call IV 25d	7.6%	5.1%	9.1%	7.5%	7.8%
Put IV 25d	8.6%	6.9%	11.3%	8.6%	8.7%
Bid-Ask Spread %	14.37	7.91	32.24	11.92	13.32
Gamma HHI	0.63	0.50	0.72	0.63	0.63
Net GEX	106.5K	33.5K	177.6K	33.5K	177.6K
Net DEX	-449.3K	-689.9K	67.7K	67.7K	-689.9K
Net VEX	-2.4K	-2.7K	-1.9K	-2.5K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	2.00	0.00	1.00
Total Volume	30.65	0	168	1	4
Total OI	1,051.7	900	1,202	1,076	1,202

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
2023-07-03	$22.81	$23.00	7.0%	2.0%	6.1%	2.9%	0.0%	1.0%	1.1%	33.5K	67.7K	-2.5K	0.00	11.92	1	0	523	553
2023-07-05	$22.71	$23.00	6.9%	2.0%	6.2%	2.1%	7.9%	0.2%	1.0%	34.9K	62.3K	-2.4K	0.00	10.47	5	0	524	533
2023-07-06	$22.61	$23.00	6.3%	2.8%	6.4%	0.0%	9.7%	1.7%	0.0%	41.6K	-184.8K	-2.1K	2.00	20.87	2	4	525	375
2023-07-07	$22.59	$23.00	6.3%	2.7%	6.1%	0.1%	0.0%	0.7%	0.1%	39.6K	-173.9K	-2.0K	0.00	15.62	0	5	527	377
2023-07-10	$22.66	$23.00	10.1%	2.6%	5.9%	19.4%	0.0%	2.4%	-0.2%	44.1K	-235.8K	-2.1K	0.00	32.24	0	3	527	376
2023-07-11	$22.69	$23.00	7.3%	2.7%	5.9%	5.2%	0.0%	1.7%	-0.9%	48.2K	-206.9K	-1.9K	0.00	9.23	1	0	527	379
2023-07-12	$22.84	$23.00	8.4%	2.4%	6.4%	10.5%	8.4%	0.2%	-0.1%	81.3K	-272.7K	-1.9K	0.01	14.55	140	1	527	378
2023-07-13	$22.98	$23.00	8.6%	2.5%	6.6%	11.4%	8.5%	1.5%	-0.1%	108.3K	-593.0K	-2.3K	0.01	9.47	105	1	652	379
2023-07-14	$22.88	$23.00	8.7%	2.5%	6.8%	12.0%	0.0%	0.7%	-0.3%	109.3K	-594.8K	-2.5K	1.00	9.90	1	1	700	379
2023-07-17	$22.91	$23.00	8.6%	2.5%	6.6%	11.9%	0.0%	0.9%	-0.4%	115.0K	-618.7K	-2.4K	0.00	12.31	11	0	700	380
2023-07-18	$22.94	$23.00	8.3%	2.4%	6.5%	10.3%	8.3%	1.1%	0.1%	130.9K	-660.8K	-2.7K	0.00	9.65	4	0	710	380
2023-07-19	$22.99	$23.00	8.0%	2.3%	6.5%	8.9%	0.0%	1.2%	-0.0%	172.4K	-678.0K	-2.3K	0.00	13.73	0	0	713	380
2023-07-20	$22.88	$23.00	8.1%	2.3%	6.7%	9.0%	0.0%	0.6%	0.1%	133.1K	-551.1K	-2.3K	0.00	12.73	13	0	713	380
2023-07-21	$22.88	$23.00	7.2%	2.1%	6.5%	4.5%	7.2%	0.7%	-0.2%	134.3K	-577.6K	-2.2K	0.04	26.16	162	6	719	380
2023-07-24	$22.84	$23.00	7.4%	2.1%	6.4%	5.9%	7.5%	-0.6%	0.3%	143.5K	-642.4K	-2.6K	0.06	14.88	33	2	752	343
2023-07-25	$22.81	$23.00	8.0%	2.3%	6.4%	8.8%	6.5%	0.3%	-0.3%	143.4K	-612.2K	-2.6K	0.00	12.25	6	0	760	343
2023-07-26	$22.86	$23.00	7.8%	2.2%	6.4%	7.9%	0.0%	0.5%	-0.3%	149.1K	-655.0K	-2.6K	0.00	13.69	2	0	765	343
2023-07-27	$22.70	$23.00	6.4%	1.8%	6.7%	0.8%	0.0%	2.9%	3.6%	135.7K	-514.7K	-2.5K	0.00	16.44	93	0	768	343
2023-07-28	$22.74	$23.00	7.8%	2.2%	6.2%	7.7%	7.9%	0.2%	-0.0%	153.3K	-653.3K	-2.7K	0.40	7.91	5	2	856	343
2023-07-31	$22.76	$23.00	7.4%	2.1%	6.0%	5.5%	7.4%	0.9%	1.1%	177.6K	-689.9K	-2.7K	1.00	13.32	2	2	859	343