GOVT Options History — December 2023

In December 2023, GOVT traded between $22.48 and $23.13. ATM implied volatility averaged 8.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.2% (HV 20d: 6.9%). 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 10 of 20 days. Put/call ratio averaged 0.31.

Notable Days

2023-12-20: Highest Volume — 305 contracts
2023-12-04: Largest IV spike — 84.6% change
2023-12-12: Highest IV Rank — 35.2%
2023-12-06: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.83	$22.48	$23.13	$22.55	$23.05
Max Pain	$22.85	$22.00	$23.00	$22.00	$23.00
ATM IV	8.1%	5.5%	11.9%	5.5%	7.6%
Expected Move	2.5%	1.6%	6.9%	1.6%	2.2%
HV 20d	6.9%	6.6%	7.3%	7.3%	6.6%
HV 60d	7.0%	6.7%	7.4%	6.7%	6.8%
IV Rank	17.8%	6.2%	35.2%	6.2%	15.8%
IV Percentile	30.8%	0.8%	90.5%	0.8%	24.6%
Term Structure	-1.3%	-30.7%	3.7%	3.7%	0.5%
VWIV	8.1%	6.9%	10.1%	9.4%	7.6%
Skew 25d	-1.4%	-16.7%	1.6%	-0.1%	0.4%
Skew 10d	1.1%	-1.2%	16.0%	1.9%	1.2%
Call IV 25d	8.6%	6.1%	23.2%	6.4%	8.3%
Put IV 25d	7.2%	5.7%	8.7%	6.3%	8.7%
Bid-Ask Spread %	13.79	6.55	43.25	6.55	11.04
Gamma HHI	0.66	0.50	0.92	0.80	0.56
Net GEX	281.7K	132.9K	1.2M	204.9K	164.3K
Net DEX	-1.0M	-1.4M	-717.8K	-865.1K	-1.2M
Net VEX	-3.6K	-4.2K	-3.3K	-4.2K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	3.00	0.00	0.08
Total Volume	43.4	4	305	23	13
Total OI	1,513.05	1,098	1,888	1,796	1,186

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
2023-12-01	$22.55	$22.00	5.5%	1.6%	7.3%	6.2%	0.0%	-0.1%	3.7%	204.9K	-865.1K	-4.2K	0.00	6.55	23	0	1,379	417
2023-12-04	$22.48	$23.00	10.2%	2.6%	7.2%	27.4%	9.4%	-0.1%	-1.0%	180.1K	-810.2K	-4.1K	0.00	8.57	11	0	1,382	417
2023-12-05	$22.63	$23.00	8.1%	2.7%	7.1%	18.1%	0.0%	-2.6%	-0.8%	234.8K	-945.3K	-4.0K	0.00	43.25	5	0	1,387	417
2023-12-06	$22.70	$23.00	8.6%	6.9%	7.1%	19.9%	0.0%	-16.7%	-30.7%	265.3K	-1.1M	-4.0K	0.00	27.77	93	0	1,388	417
2023-12-07	$22.70	$23.00	8.9%	2.6%	7.0%	21.7%	8.9%	-1.9%	-0.4%	263.5K	-1.0M	-4.0K	3.00	8.09	1	3	1,393	417
2023-12-08	$22.56	$23.00	7.5%	2.6%	6.8%	15.0%	10.1%	-3.3%	-0.7%	148.3K	-726.9K	-3.5K	0.00	10.03	8	0	1,393	416
2023-12-11	$22.55	$23.00	11.4%	2.7%	6.8%	32.8%	9.3%	-3.3%	-0.8%	132.9K	-717.8K	-3.4K	0.00	10.31	5	0	1,395	416
2023-12-12	$22.59	$23.00	11.9%	2.5%	6.8%	35.2%	8.8%	-2.4%	-0.6%	177.9K	-755.4K	-3.4K	1.67	8.77	6	10	1,399	416
2023-12-13	$22.84	$23.00	7.0%	2.0%	7.0%	12.8%	7.0%	-0.1%	0.4%	402.0K	-978.4K	-3.4K	0.00	12.92	119	0	1,400	426
2023-12-14	$22.96	$23.00	7.4%	2.1%	6.7%	14.6%	7.4%	0.7%	0.4%	1.2M	-1.4M	-3.9K	0.00	9.69	27	0	1,462	426
2023-12-15	$22.96	$23.00	7.5%	2.1%	6.7%	15.0%	7.5%	1.6%	0.4%	1.1M	-1.4M	-3.7K	0.00	9.34	6	0	1,457	426
2023-12-18	$22.91	$23.00	8.1%	2.3%	6.8%	17.9%	8.1%	-0.7%	-0.2%	138.9K	-986.9K	-3.5K	0.00	9.45	25	0	867	238
2023-12-19	$22.94	$23.00	7.2%	2.1%	6.8%	13.7%	7.2%	-0.4%	0.4%	147.4K	-1.0M	-3.6K	0.07	9.03	29	2	883	238
2023-12-20	$23.04	$22.00	7.7%	2.2%	6.9%	16.0%	0.0%	0.1%	0.9%	147.8K	-1.1M	-3.5K	0.00	12.57	305	0	890	240
2023-12-21	$22.99	$22.00	7.3%	2.1%	7.0%	14.3%	7.3%	0.5%	0.5%	143.3K	-1.0M	-3.6K	0.08	16.87	60	5	893	240
2023-12-22	$22.98	$23.00	7.8%	2.2%	6.8%	16.6%	0.0%	-0.4%	-0.1%	141.1K	-1.1M	-3.4K	0.00	10.04	50	0	853	245
2023-12-26	$22.99	$23.00	7.7%	2.2%	6.7%	15.9%	7.7%	0.4%	0.3%	152.2K	-1.1M	-3.4K	1.00	26.89	2	2	883	245
2023-12-27	$23.13	$23.00	6.9%	2.0%	6.9%	12.4%	6.9%	-0.1%	1.2%	147.7K	-1.2M	-3.3K	0.00	7.60	54	0	885	247
2023-12-28	$23.09	$23.00	7.5%	2.1%	6.9%	15.1%	0.0%	-0.2%	-0.1%	164.9K	-1.2M	-3.5K	0.33	16.94	3	1	934	248
2023-12-29	$23.05	$23.00	7.6%	2.2%	6.6%	15.8%	7.6%	0.4%	0.5%	164.3K	-1.2M	-3.5K	0.08	11.04	12	1	937	249