GOVT Options History — September 2023

In September 2023, GOVT traded between $21.98 and $22.45. ATM implied volatility averaged 7.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 2.3% (HV 20d: 5.2%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.37.

Notable Days

2023-09-07: Highest Volume — 206 contracts
2023-09-13: Largest IV drop — 47.5% change
2023-09-12: Highest IV Rank — 35.6%
2023-09-25: Largest Expected Move — 2.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.25	$21.98	$22.45	$22.45	$22.05
Max Pain	$22.35	$22.00	$23.00	$22.00	$22.00
ATM IV	7.4%	5.6%	12.0%	6.2%	8.3%
Expected Move	2.1%	1.6%	2.4%	1.8%	2.4%
HV 20d	5.2%	4.7%	5.8%	5.7%	4.7%
HV 60d	5.9%	5.6%	6.1%	6.1%	5.6%
IV Rank	14.9%	6.4%	35.6%	9.1%	18.6%
IV Percentile	16.5%	0.4%	72.2%	1.6%	28.2%
Term Structure	1.8%	-1.0%	31.0%	1.7%	0.2%
VWIV	7.6%	5.5%	8.6%	7.3%	8.5%
Skew 25d	0.5%	-1.8%	2.5%	0.3%	0.5%
Skew 10d	1.3%	-1.3%	3.0%	0.2%	0.8%
Call IV 25d	6.4%	5.1%	9.4%	6.1%	7.9%
Put IV 25d	6.9%	4.4%	8.9%	6.4%	8.4%
Bid-Ask Spread %	8.97	4.45	19.23	7.77	17.16
Gamma HHI	0.49	0.37	0.66	0.48	0.39
Net GEX	63.1K	6.7K	109.5K	77.8K	9.9K
Net DEX	-366.1K	-749.3K	57.3K	-497.9K	47.5K
Net VEX	-3.1K	-3.5K	-2.8K	-2.9K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.37	0.00	26.50	0.40	0.20
Total Volume	19.75	0	206	7	6
Total OI	1,361.65	1,007	1,756	1,610	1,121

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
2023-09-01	$22.45	$22.00	6.2%	1.8%	5.7%	9.1%	0.0%	0.3%	1.7%	77.8K	-497.9K	-2.9K	0.40	7.77	5	2	1,025	585
2023-09-05	$22.36	$23.00	6.4%	2.2%	5.8%	10.2%	0.0%	-0.5%	0.1%	68.8K	-599.1K	-2.8K	0.14	7.50	7	1	1,030	507
2023-09-06	$22.31	$23.00	8.1%	2.1%	5.5%	17.8%	7.3%	2.0%	0.8%	109.5K	-542.5K	-2.9K	0.00	8.28	0	10	1,033	507
2023-09-07	$22.37	$23.00	7.1%	2.2%	5.6%	13.4%	0.0%	2.4%	-0.4%	65.4K	-628.0K	-2.9K	0.01	5.98	204	2	1,033	517
2023-09-08	$22.38	$23.00	7.5%	2.2%	5.4%	15.1%	0.0%	2.4%	-0.3%	98.0K	-749.3K	-3.5K	0.00	4.45	0	2	1,232	519
2023-09-11	$22.36	$23.00	10.5%	2.2%	5.3%	28.9%	0.0%	2.1%	0.6%	101.2K	-716.3K	-3.5K	0.00	7.73	1	0	1,232	518
2023-09-12	$22.37	$23.00	12.0%	2.3%	5.3%	35.6%	0.0%	2.5%	-0.1%	98.0K	-719.0K	-3.4K	0.00	5.50	0	0	1,233	519
2023-09-13	$22.39	$23.00	6.3%	1.8%	5.3%	9.8%	6.8%	-0.7%	0.1%	88.2K	-740.9K	-3.4K	2.00	6.53	2	4	1,233	519
2023-09-14	$22.34	$22.00	6.1%	1.7%	5.3%	8.6%	5.5%	-1.3%	0.5%	82.1K	-699.5K	-3.3K	0.00	6.51	2	0	1,235	520
2023-09-15	$22.31	$22.00	7.1%	2.0%	5.2%	13.4%	0.0%	-1.8%	0.5%	66.7K	-682.5K	-3.1K	0.00	6.22	9	0	1,236	520
2023-09-18	$22.32	$22.00	6.3%	1.8%	5.2%	9.6%	7.9%	-0.6%	-1.0%	66.3K	-197.3K	-3.2K	0.00	7.30	25	0	721	286
2023-09-19	$22.27	$22.00	6.0%	1.7%	5.0%	8.3%	0.0%	-1.1%	-0.2%	61.0K	-176.2K	-3.2K	0.00	7.79	1	0	737	286
2023-09-20	$22.27	$22.00	5.6%	1.6%	5.0%	6.4%	0.0%	-1.1%	0.1%	66.5K	-188.6K	-3.1K	1.00	5.60	1	1	738	286
2023-09-21	$22.13	$22.00	6.1%	1.8%	4.7%	8.9%	0.0%	0.6%	1.6%	42.9K	-83.6K	-2.9K	0.00	5.59	2	0	739	287
2023-09-22	$22.19	$22.00	6.9%	2.0%	4.8%	12.6%	0.0%	1.1%	0.4%	48.1K	-106.4K	-3.0K	0.00	5.23	0	1	740	287
2023-09-25	$22.05	$22.00	8.4%	2.4%	5.2%	19.4%	8.6%	0.9%	-0.5%	40.3K	-46.5K	-2.8K	0.43	18.40	7	3	740	288
2023-09-26	$22.05	$22.00	8.2%	2.3%	5.1%	18.2%	0.0%	0.7%	-0.2%	36.7K	-57.6K	-2.9K	6.80	19.23	5	34	746	291
2023-09-27	$21.98	$22.00	7.9%	2.3%	4.8%	17.1%	7.9%	1.2%	31.0%	26.9K	4.4K	-3.1K	26.50	10.24	2	53	750	319
2023-09-28	$22.02	$22.00	8.0%	2.3%	4.9%	17.5%	8.0%	0.5%	0.3%	6.7K	57.3K	-3.0K	0.50	16.38	2	1	751	367
2023-09-29	$22.05	$22.00	8.3%	2.4%	4.7%	18.6%	8.5%	0.5%	0.2%	9.9K	47.5K	-3.0K	0.20	17.16	5	1	753	368