GOVT Options History — November 2023

In November 2023, GOVT traded between $21.84 and $22.52. ATM implied volatility averaged 8.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 1.3% (HV 20d: 7.1%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.72.

Notable Days

  • 2023-11-03: Highest Volume — 223 contracts
  • 2023-11-28: Largest IV drop — 29.9% change
  • 2023-11-20: Highest IV Rank — 23.4%
  • 2023-11-20: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.18$21.84$22.52$21.84$22.41
Max Pain$21.95$21.00$22.00$21.00$22.00
ATM IV8.4%5.1%9.3%9.0%5.1%
Expected Move2.4%1.5%2.7%2.6%1.5%
HV 20d7.1%6.7%7.5%6.7%7.2%
HV 60d6.5%5.9%6.8%5.9%6.6%
IV Rank19.1%4.3%23.4%21.9%4.3%
IV Percentile31.9%0.4%48.0%35.7%0.4%
Term Structure0.2%-1.7%4.2%0.3%4.2%
VWIV9.1%8.5%11.1%9.0%11.1%
Skew 25d2.0%-0.4%5.7%-0.4%-0.2%
Skew 10d3.6%-0.8%11.9%-0.6%-0.8%
Call IV 25d6.7%5.9%9.2%9.2%6.4%
Put IV 25d8.7%6.2%11.9%8.9%6.2%
Bid-Ask Spread %10.105.0124.7211.615.68
Gamma HHI0.560.380.790.380.69
Net GEX149.0K93.4K184.0K110.3K169.0K
Net DEX-621.6K-851.8K-315.2K-315.2K-794.7K
Net VEX-4.5K-5.1K-3.9K-4.2K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.720.0025.000.000.00
Total Volume34022310610
Total OI1,866.7621,7821,9441,7821,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$21.84$21.009.0%2.6%6.7%21.9%9.0%-0.4%0.3%110.3K-315.2K-4.2K0.0011.6110601,384398
2023-11-02$21.95$22.008.3%2.6%7.0%18.7%8.9%1.6%0.1%159.6K-463.9K-4.2K0.0112.186711,395397
2023-11-03$22.09$22.008.8%2.6%7.1%20.9%8.9%2.4%-0.3%180.0K-665.9K-4.7K1.1716.071031201,451397
2023-11-06$21.98$22.008.8%2.5%7.0%21.2%0.0%1.5%0.3%134.5K-432.3K-4.7K0.078.413021,450447
2023-11-07$22.07$22.008.5%2.6%7.1%19.8%0.0%2.2%-0.5%157.1K-596.8K-5.0K25.009.171251,480449
2023-11-08$22.16$22.008.7%2.5%7.1%20.6%0.0%2.8%-0.2%163.3K-682.9K-5.1K12.0012.092241,480464
2023-11-09$21.99$22.009.0%2.6%7.2%21.8%0.0%1.5%-0.3%149.8K-468.5K-4.8K0.008.22801,481443
2023-11-10$22.02$22.009.2%2.6%7.1%22.6%0.0%1.5%-0.5%160.9K-499.5K-4.7K4.008.65141,486443
2023-11-13$22.02$22.009.2%2.6%6.9%22.6%0.0%1.3%-0.5%160.1K-468.6K-4.6K0.3310.60311,486447
2023-11-14$22.24$22.009.2%2.6%7.3%22.8%0.0%3.3%-0.5%160.7K-808.6K-4.9K0.0010.37001,489446
2023-11-15$22.13$22.008.9%2.6%7.5%21.7%8.9%2.4%0.1%170.4K-614.4K-4.7K0.0012.14021,489446
2023-11-16$22.23$22.009.2%2.6%7.4%22.8%0.0%3.0%-0.6%156.1K-778.0K-4.8K0.009.221401,489448
2023-11-17$22.24$22.008.5%2.4%7.3%19.7%8.5%2.5%0.2%136.6K-792.6K-4.6K0.1715.521221,492448
2023-11-20$22.27$22.009.3%2.7%7.3%23.4%9.3%2.8%-1.7%139.5K-630.5K-4.4K3.0024.7212361,387433
2023-11-21$22.30$22.008.3%2.4%7.3%18.7%0.0%1.9%0.0%126.1K-623.5K-4.4K0.005.01201,399408
2023-11-22$22.30$22.008.5%2.4%6.7%19.5%8.5%1.9%-0.3%128.0K-631.5K-4.3K0.005.01021,401408
2023-11-24$22.23$22.007.6%2.2%6.7%15.6%0.0%2.4%0.4%93.4K-508.9K-3.9K0.038.8010031,401408
2023-11-27$22.34$22.009.3%2.7%6.8%23.1%9.2%1.9%-0.3%120.5K-650.1K-4.1K0.006.011601,401408
2023-11-28$22.41$22.006.5%1.9%6.8%10.6%11.1%0.6%2.6%169.9K-775.5K-4.4K0.506.22211,401408
2023-11-29$22.52$22.006.0%1.7%6.8%8.6%0.0%5.7%2.8%184.0K-851.8K-4.3K0.006.43201,399407
2023-11-30$22.41$22.005.1%1.5%7.2%4.3%0.0%-0.2%4.2%169.0K-794.7K-4.4K0.005.680101,401407