GOVT Options History — January 2024

In January 2024, GOVT traded between $22.70 and $23.01. ATM implied volatility averaged 7.3%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.9% (HV 20d: 5.5%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.18.

Notable Days

2024-01-24: Highest Volume — 355 contracts
2024-01-08: Largest IV spike — 56.6% change
2024-01-16: Highest IV Rank — 24.4%
2024-01-16: Largest Expected Move — 2.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.85	$22.70	$23.01	$22.96	$22.95
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	7.3%	4.7%	9.5%	7.2%	9.1%
Expected Move	2.2%	1.4%	2.7%	2.1%	2.6%
HV 20d	5.5%	4.5%	6.6%	6.6%	4.8%
HV 60d	6.5%	6.3%	6.9%	6.9%	6.3%
IV Rank	14.5%	2.4%	24.4%	13.7%	22.3%
IV Percentile	23.8%	0.4%	64.3%	16.3%	58.7%
Term Structure	-0.1%	-2.4%	2.4%	0.7%	-1.7%
VWIV	7.3%	4.6%	9.1%	7.2%	9.1%
Skew 25d	1.4%	-1.9%	6.8%	0.1%	0.6%
Skew 10d	0.3%	-4.8%	5.3%	0.8%	0.2%
Call IV 25d	8.2%	4.6%	12.5%	8.8%	12.5%
Put IV 25d	9.6%	7.0%	15.2%	8.9%	13.0%
Bid-Ask Spread %	100.21	9.62	175.34	11.82	164.12
Gamma HHI	0.66	0.56	0.76	0.58	0.68
Net GEX	159.3K	127.3K	218.1K	172.9K	208.1K
Net DEX	-815.5K	-1.1M	-608.2K	-1.1M	-969.3K
Net VEX	-3.1K	-3.5K	-2.7K	-3.5K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.18	0.00	37.00	0.94	0.00
Total Volume	62.762	1	355	103	9
Total OI	1,351.619	1,149	1,870	1,188	1,870

Daily Data (21 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
2024-01-02	$22.96	$23.00	7.2%	2.1%	6.6%	13.7%	7.2%	0.1%	0.7%	172.9K	-1.1M	-3.5K	0.94	11.82	53	50	939	249
2024-01-03	$23.01	$23.00	7.6%	2.2%	6.4%	15.8%	0.0%	-0.8%	0.8%	141.5K	-1.1M	-3.5K	1.25	11.26	40	50	899	299
2024-01-04	$22.89	$23.00	7.7%	2.4%	6.5%	16.3%	0.0%	0.0%	-0.1%	136.6K	-884.8K	-3.5K	3.00	11.67	1	3	864	349
2024-01-05	$22.82	$23.00	4.7%	2.1%	6.5%	2.4%	0.0%	-0.2%	0.2%	148.5K	-840.8K	-3.4K	0.64	11.59	25	16	865	351
2024-01-08	$22.88	$23.00	7.3%	2.2%	6.6%	14.4%	0.0%	0.1%	-0.0%	146.6K	-872.6K	-3.3K	0.00	11.01	17	0	866	351
2024-01-09	$22.88	$23.00	6.0%	2.2%	6.1%	8.5%	0.0%	0.1%	-0.2%	152.2K	-860.6K	-3.3K	3.00	12.09	1	3	872	351
2024-01-10	$22.86	$23.00	9.0%	2.6%	6.1%	21.9%	0.0%	3.6%	-2.4%	153.1K	-825.1K	-3.3K	0.00	21.51	10	0	871	352
2024-01-11	$22.95	$23.00	7.8%	2.2%	6.2%	16.3%	7.8%	0.2%	-0.3%	161.5K	-886.1K	-3.2K	0.08	9.62	26	2	871	352
2024-01-12	$22.98	$23.00	7.4%	2.1%	4.9%	14.8%	7.4%	1.1%	-0.0%	168.3K	-924.4K	-3.2K	0.00	12.57	12	0	874	354
2024-01-16	$22.84	$23.00	9.5%	2.7%	5.0%	24.4%	0.0%	-0.6%	-2.2%	158.3K	-758.4K	-2.9K	3.00	175.34	4	12	868	354
2024-01-17	$22.80	$23.00	7.6%	2.2%	5.1%	15.6%	7.6%	-1.9%	0.1%	141.0K	-756.5K	-3.0K	0.02	162.71	104	2	870	354
2024-01-18	$22.74	$23.00	7.3%	2.1%	5.1%	14.3%	7.3%	-1.4%	0.3%	141.8K	-682.4K	-2.8K	0.00	167.30	10	0	851	347
2024-01-19	$22.73	$23.00	7.4%	2.1%	5.0%	14.7%	0.0%	-0.0%	0.2%	127.3K	-643.3K	-2.8K	9.00	159.67	3	27	846	347
2024-01-22	$22.80	$23.00	7.2%	2.1%	4.9%	13.7%	7.1%	0.4%	0.1%	135.0K	-685.9K	-2.7K	0.00	150.82	64	0	794	355
2024-01-23	$22.74	$23.00	7.3%	2.1%	4.9%	14.2%	7.3%	3.7%	-0.1%	142.1K	-666.3K	-2.9K	5.56	168.60	27	150	855	355
2024-01-24	$22.70	$23.00	5.0%	1.4%	4.9%	4.0%	4.6%	6.7%	2.4%	129.1K	-608.2K	-3.0K	2.23	165.93	110	245	877	505
2024-01-25	$22.77	$23.00	7.2%	2.1%	5.1%	13.7%	0.0%	6.8%	0.1%	179.2K	-738.4K	-3.3K	1.00	169.91	1	1	969	669
2024-01-26	$22.76	$23.00	7.8%	2.2%	4.5%	16.6%	8.2%	-0.6%	-0.8%	175.7K	-712.3K	-3.2K	37.00	167.92	6	222	970	669
2024-01-29	$22.84	$23.00	7.1%	2.0%	4.7%	13.4%	7.2%	5.7%	-0.0%	207.2K	-793.4K	-3.1K	0.00	171.49	11	0	970	891
2024-01-30	$22.86	$23.00	6.9%	2.0%	4.7%	12.5%	6.9%	5.8%	0.3%	218.1K	-842.9K	-3.1K	0.00	167.42	1	0	978	891
2024-01-31	$22.95	$23.00	9.1%	2.6%	4.8%	22.3%	9.1%	0.6%	-1.7%	208.1K	-969.3K	-3.1K	0.00	164.12	9	0	979	891