GOVT Options History — October 2023

In October 2023, GOVT traded between $21.61 and $22.04. ATM implied volatility averaged 9.5%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.8% (HV 20d: 6.7%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2023-10-10: Highest Volume — 272 contracts
  • 2023-10-19: Largest IV spike — 56.2% change
  • 2023-10-19: Highest IV Rank — 47.5%
  • 2023-10-19: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.81$21.61$22.04$21.88$21.77
Max Pain$21.32$21.00$22.00$22.00$21.00
ATM IV9.5%7.1%14.6%7.8%9.0%
Expected Move2.8%2.2%4.2%2.2%2.6%
HV 20d6.7%4.8%7.8%4.8%6.9%
HV 60d6.0%5.7%6.3%5.8%5.9%
IV Rank24.2%13.3%47.5%16.8%22.2%
IV Percentile43.1%11.9%96.8%20.6%38.1%
Term Structure-0.0%-4.3%0.8%0.7%0.7%
VWIV9.6%6.8%15.1%7.9%10.0%
Skew 25d-0.8%-4.8%1.3%0.1%-1.2%
Skew 10d-0.6%-2.6%1.7%0.2%-2.2%
Call IV 25d9.2%7.5%14.5%8.2%9.2%
Put IV 25d8.4%7.6%9.9%8.3%8.0%
Bid-Ask Spread %15.567.2369.3214.077.23
Gamma HHI0.400.310.520.380.35
Net GEX77.6K-3.9K160.6K-3.9K84.6K
Net DEX-110.1K-265.3K94.5K94.5K-177.9K
Net VEX-3.7K-4.4K-3.0K-3.0K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.009.140.020.00
Total Volume72.9550272986
Total OI1,521.8641,1251,7781,1251,778

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$21.88$22.007.8%2.2%4.8%16.8%7.9%0.1%0.7%-3.9K94.5K-3.0K0.0214.07962756369
2023-10-03$21.73$22.009.9%2.8%5.1%26.0%9.9%-0.0%-0.1%31.8K58.7K-3.3K9.1416.49764840369
2023-10-04$21.84$22.009.0%2.6%5.6%22.0%9.0%-0.4%0.3%51.1K-33.1K-3.1K0.0010.591200840340
2023-10-05$21.87$21.009.5%2.7%5.5%24.2%0.0%-0.5%-0.1%60.9K-64.6K-3.2K0.0011.30420931341
2023-10-06$21.79$21.007.1%2.7%5.5%13.3%6.8%-0.9%0.2%81.5K-47.6K-3.3K0.3410.514114983351
2023-10-09$21.95$21.009.7%2.8%6.3%24.9%0.0%0.5%-0.2%98.7K-193.0K-3.4K0.0010.8104983360
2023-10-10$21.95$21.009.3%2.8%6.3%23.6%0.0%0.2%-0.6%100.5K-161.2K-3.4K0.238.8722250983364
2023-10-11$22.04$21.009.1%2.6%6.5%22.3%9.1%1.3%0.2%110.0K-265.3K-3.9K0.3213.04154501,124414
2023-10-12$21.89$21.009.0%2.6%6.8%21.8%0.0%-0.1%-0.2%83.0K-79.6K-3.4K4.009.90141,087387
2023-10-13$21.98$21.009.6%2.8%7.1%24.7%0.0%0.5%-0.0%90.5K-168.7K-3.7K0.0011.3913801,088387
2023-10-16$21.88$21.009.0%2.6%7.2%22.0%0.0%-0.3%0.8%160.6K-144.3K-3.7K0.6412.151491,197387
2023-10-17$21.76$21.009.2%2.6%7.4%22.8%0.0%-1.2%0.0%92.3K30.7K-3.4K0.0016.464501,196387
2023-10-18$21.69$21.009.4%2.7%7.4%23.6%9.4%-1.8%0.2%68.5K45.9K-3.3K3.9311.6014551,237387
2023-10-19$21.61$21.0014.6%4.2%7.2%47.5%15.1%-4.8%-4.3%67.7K3.9K-3.4K2.6720.6512321,244353
2023-10-20$21.68$21.009.2%2.6%7.2%22.8%9.1%-1.8%0.7%35.1K-53.3K-3.4K0.2322.95203471,244333
2023-10-23$21.77$22.009.6%2.7%7.2%24.6%9.6%-0.7%0.3%58.4K-157.6K-4.1K0.0212.4110221,270378
2023-10-24$21.80$22.009.4%2.7%7.2%23.7%0.0%-0.3%0.2%93.2K-218.4K-4.2K0.0010.471701,366376
2023-10-25$21.66$22.009.6%2.8%7.5%24.7%9.7%-1.2%0.6%81.7K-248.4K-4.4K0.0069.32201,374376
2023-10-26$21.79$22.009.8%2.8%7.8%25.5%9.8%-0.3%-0.1%87.4K-213.3K-4.2K2.1010.7610211,376376
2023-10-27$21.80$21.0010.0%2.9%7.8%26.6%10.0%-1.8%-0.2%86.8K-219.3K-4.3K0.0010.76501,376395
2023-10-30$21.77$21.0010.2%2.9%7.3%27.5%0.0%-2.0%0.2%86.9K-210.5K-4.3K0.0020.47001,380398
2023-10-31$21.77$21.009.0%2.6%6.9%22.2%0.0%-1.2%0.7%84.6K-177.9K-3.9K0.007.23601,380398