GOVT Options History — August 2023

In August 2023, GOVT traded between $22.27 and $22.66. ATM implied volatility averaged 7.5%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.3% (HV 20d: 6.2%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 4.79.

Notable Days

  • 2023-08-08: Highest Volume — 257 contracts
  • 2023-08-21: Largest IV spike — 48.2% change
  • 2023-08-21: Highest IV Rank — 23.4%
  • 2023-08-21: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.48$22.27$22.66$22.61$22.62
Max Pain$22.09$22.00$23.00$23.00$22.00
ATM IV7.5%4.2%9.3%4.2%7.6%
Expected Move2.2%1.2%2.7%1.2%2.2%
HV 20d6.2%5.7%6.9%6.1%5.7%
HV 60d6.0%5.7%6.2%5.8%6.0%
IV Rank15.1%0.0%23.4%0.0%15.7%
IV Percentile12.6%0.0%28.6%0.0%13.5%
Term Structure1.2%-0.6%3.6%3.6%2.5%
VWIV8.1%5.6%9.4%8.5%6.8%
Skew 25d1.2%-2.5%6.5%2.5%6.5%
Skew 10d1.8%-2.1%4.8%3.8%3.1%
Call IV 25d7.7%4.9%30.3%4.9%30.3%
Put IV 25d9.0%5.4%36.8%7.4%36.8%
Bid-Ask Spread %11.525.4623.937.817.71
Gamma HHI0.460.360.700.540.37
Net GEX120.6K34.8K218.8K134.2K42.1K
Net DEX-534.0K-762.0K-382.2K-487.4K-544.0K
Net VEX-3.1K-3.6K-2.3K-2.3K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.790.0030.000.1715.00
Total Volume51.130257610
Total OI1,5401,2071,7601,2071,612

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$22.61$23.004.2%1.2%6.1%0.0%0.0%2.5%3.6%134.2K-487.4K-2.3K0.177.81529862345
2023-08-02$22.56$23.005.7%1.6%6.0%6.8%8.5%2.6%3.2%135.4K-581.2K-2.5K17.008.49117914352
2023-08-03$22.43$22.008.0%2.2%6.1%17.5%9.1%0.5%3.4%104.8K-498.0K-2.5K1.6923.931627918368
2023-08-04$22.61$22.006.5%2.3%6.8%10.6%9.4%1.4%1.0%149.3K-606.5K-2.5K2.2011.231533929392
2023-08-07$22.55$22.007.7%2.3%6.8%15.9%0.0%1.5%0.3%118.1K-565.6K-2.5K0.009.3520930422
2023-08-08$22.64$22.006.8%2.5%6.9%12.1%8.7%-1.8%-0.1%152.7K-637.6K-2.5K0.2411.9920750932422
2023-08-09$22.66$22.006.5%1.9%6.5%10.7%7.2%-1.6%1.4%218.8K-762.0K-3.1K0.0023.5221301,139472
2023-08-10$22.55$22.008.3%2.4%6.2%18.6%8.5%-2.5%-0.1%177.1K-729.4K-3.4K0.0016.39201,177472
2023-08-11$22.46$22.008.7%2.5%6.2%20.7%0.0%5.0%1.5%142.6K-630.6K-3.4K30.0023.471301,179472
2023-08-14$22.44$22.009.1%2.6%6.1%22.6%0.0%0.1%1.4%126.6K-584.4K-3.3K30.005.461301,180502
2023-08-15$22.41$22.009.2%2.6%6.0%22.7%8.8%3.2%0.1%120.4K-521.2K-3.5K0.467.91112521,180532
2023-08-16$22.36$22.008.7%2.5%5.9%20.8%8.9%2.5%0.7%103.1K-443.2K-3.4K1.607.4510161,179580
2023-08-17$22.32$22.008.3%2.4%5.8%18.8%0.0%1.7%1.1%99.3K-404.3K-3.3K0.097.261111,179569
2023-08-18$22.37$22.006.3%1.8%5.9%9.7%5.6%-1.1%2.5%110.0K-432.1K-3.2K0.1815.4471131,190570
2023-08-21$22.27$22.009.3%2.7%6.0%23.4%9.3%3.1%-0.6%112.1K-382.2K-3.4K0.2017.033061,005526
2023-08-22$22.29$22.008.9%2.6%6.1%21.6%8.8%2.7%0.7%112.6K-397.6K-3.4K1.676.5535999527
2023-08-23$22.45$22.007.9%2.3%6.7%16.8%6.1%0.8%0.3%120.2K-529.2K-3.4K0.005.550231,001526
2023-08-24$22.41$22.008.1%2.3%6.3%17.8%0.0%-0.0%-0.6%113.8K-465.3K-3.6K0.007.841101,001546
2023-08-25$22.41$22.007.6%2.2%6.2%15.8%0.0%0.3%-0.2%112.7K-446.1K-3.5K0.005.822301,010564
2023-08-28$22.45$22.005.9%1.7%6.2%8.0%6.8%0.3%2.0%34.8K-469.2K-2.7K0.007.841001,007564
2023-08-29$22.55$22.006.7%1.9%6.1%11.6%0.0%0.5%1.6%109.4K-558.0K-3.2K0.0018.994101,017564
2023-08-30$22.55$22.006.1%1.7%6.0%8.8%0.0%0.2%2.6%123.4K-606.1K-3.5K15.007.852301,029564
2023-08-31$22.62$22.007.6%2.2%5.7%15.7%0.0%6.5%2.5%42.1K-544.0K-2.9K0.007.71001,027585