GOVT Options History — August 2024

In August 2024, GOVT traded between $23.05 and $23.38. ATM implied volatility averaged 9.1%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 2.8% (HV 20d: 6.3%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.79.

Notable Days

  • 2024-08-05: Highest Volume — 1,940 contracts
  • 2024-08-13: Largest IV spike — 249.9% change
  • 2024-08-13: Highest IV Rank — 96.9%
  • 2024-08-05: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.25$23.05$23.38$23.05$23.26
Max Pain$22.77$21.00$23.00$21.00$23.00
ATM IV9.1%5.2%32.0%5.2%6.3%
Expected Move2.2%1.5%3.0%1.5%1.8%
HV 20d6.3%3.8%6.8%3.8%5.0%
HV 60d5.8%5.0%5.9%5.0%5.7%
IV Rank18.0%4.8%96.9%4.8%8.4%
IV Percentile49.3%5.6%99.6%5.6%17.5%
Term Structure0.4%-1.2%3.8%-0.0%3.8%
VWIV8.0%5.6%10.7%10.7%8.5%
Skew 25d1.0%-3.0%4.9%-3.0%3.1%
Skew 10d2.0%-4.0%15.6%-0.8%4.5%
Call IV 25d8.3%5.5%12.8%11.6%5.5%
Put IV 25d9.3%6.0%14.6%8.5%8.7%
Bid-Ask Spread %151.17129.14165.71165.71149.22
Gamma HHI0.840.590.930.770.87
Net GEX-410.0K-576.0K54.4K54.4K-576.0K
Net DEX502.2K-489.7K1.2M-356.8K559.0K
Net VEX-5.1K-6.9K-773-797-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.0031.880.000.00
Total Volume136.18211,940109
Total OI2,532.8648292,9058292,847

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$23.05$21.005.2%1.5%3.8%4.8%0.0%-3.0%-0.0%54.4K-356.8K-7970.00165.71100247582
2024-08-02$23.34$21.008.4%2.4%5.4%15.9%0.0%-0.7%1.4%30.2K-401.6K-7730.00152.94850247582
2024-08-05$23.38$22.0010.3%3.0%5.4%22.1%10.7%0.2%-1.1%33.8K-489.7K-1.3K31.88142.93591,881317582
2024-08-06$23.20$23.0010.7%2.3%6.3%23.6%8.7%-0.3%0.6%-478.2K791.4K-6.5K23.33141.38153503652,459
2024-08-07$23.13$23.009.2%2.2%6.4%18.5%0.0%-1.3%-0.0%-506.9K1.1M-6.6K0.00153.541703752,326
2024-08-08$23.06$23.0010.9%2.3%6.4%24.2%7.4%1.4%-0.3%-506.4K1.2M-6.9K0.44152.36943902,326
2024-08-09$23.13$23.007.4%2.1%6.5%12.4%0.0%1.0%-0.3%-528.8K961.4K-6.5K2.00147.89123912,328
2024-08-12$23.20$23.009.2%2.3%6.5%18.3%5.9%1.7%-0.5%-498.0K934.8K-6.3K0.00152.325503922,328
2024-08-13$23.27$23.0032.0%2.4%6.4%96.9%0.0%1.5%-0.5%-468.4K721.1K-6.1K0.00148.60404472,328
2024-08-14$23.30$23.007.9%2.3%6.4%13.9%7.9%2.2%0.3%-466.4K548.9K-5.6K0.00147.56204472,328
2024-08-15$23.18$23.008.2%2.3%6.7%14.9%8.2%1.1%-0.5%-532.0K985.7K-6.1K0.40147.851044462,328
2024-08-16$23.21$23.008.2%2.4%6.6%15.1%0.0%1.0%-0.9%-537.6K920.7K-6.1K0.00160.0010404562,331
2024-08-19$23.26$23.008.8%2.5%6.6%17.2%8.8%4.9%-0.8%-518.9K810.9K-6.1K0.04164.508235292,169
2024-08-20$23.32$23.006.3%1.8%6.6%8.5%0.0%-0.2%-1.2%-488.3K257.5K-5.4K0.00129.1410105702,172
2024-08-21$23.37$23.006.3%1.8%6.5%8.5%0.0%0.5%2.5%-399.3K314.6K-5.5K0.00145.861606702,172
2024-08-22$23.27$23.008.7%2.5%6.8%16.7%8.8%4.7%-1.2%-515.8K680.6K-5.9K0.04160.262616772,172
2024-08-23$23.36$23.006.9%2.0%6.8%10.5%5.6%1.9%2.4%-448.0K-236.4K-3.8K0.00156.544706892,172
2024-08-26$23.34$23.008.1%2.3%6.8%14.7%7.9%-0.0%0.5%-473.4K155.6K-5.1K0.04151.832417332,172
2024-08-27$23.34$23.006.7%1.9%6.8%9.7%8.5%1.3%3.4%-285.3K676.5K-6.0K0.00151.48017212,172
2024-08-28$23.32$23.008.1%2.3%6.8%14.6%0.0%-0.2%0.7%-518.8K190.4K-4.8K0.00151.117007212,173
2024-08-29$23.30$23.006.0%1.7%6.7%7.5%0.0%1.8%0.9%-392.3K710.2K-5.4K0.50152.80216712,173
2024-08-30$23.26$23.006.3%1.8%5.0%8.4%0.0%3.1%3.8%-576.0K559.0K-5.1K0.00149.22906732,174