GS Options History — January 2007

In January 2007, GS traded between $198.85 and $220.10. ATM implied volatility averaged 22.2%. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.3% (HV 20d: 25.6%). Max pain ranged from $160.00 to $210.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-01-18: Highest Volume — 630,436 contracts
  • 2007-01-11: Largest IV spike — 20.2% change
  • 2007-01-16: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$209.57$198.85$220.10$200.72$212.16
Max Pain$197.50$160.00$210.00$160.00$210.00
ATM IV22.2%19.3%24.9%21.7%22.2%
Expected Move6.6%6.0%7.1%6.2%6.4%
HV 20d25.6%25.1%26.5%26.5%25.1%
Term Structure1.9%0.5%3.0%2.3%2.5%
VWIV23.2%21.7%25.6%22.1%22.6%
Skew 25d2.8%0.8%4.8%1.3%1.1%
Skew 10d5.5%1.9%9.3%3.2%2.0%
Call IV 25d21.6%19.4%23.1%21.5%21.7%
Put IV 25d24.4%22.8%26.7%22.8%22.8%
Bid-Ask Spread %9.844.3916.645.6311.85
Gamma HHI0.280.160.670.240.20
Net GEX49.0M16.3M168.3M38.1M29.7M
Net DEX-2.54B-3.86B-1.22B-2.88B-1.50B
Net VEX-8.9M-10.9M-7.8M-7.9M-10.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.031.730.380.86
Total Volume63,800.515,959630,43624,58537,835
Total OI402,752.6262,954509,595445,957338,942

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$200.72$160.0021.7%6.2%0.0%0.0%22.1%1.3%2.3%38.1M-2.88B-7.9M0.385.6317,8046,781240,877205,080
2007-01-04$198.85$160.0021.3%6.1%0.0%0.0%21.7%1.2%2.7%35.9M-2.78B-8.0M1.004.399,7499,713244,451206,647
2007-01-05$199.05$200.0021.3%6.9%0.0%0.0%24.2%2.0%2.3%36.1M-2.80B-8.0M0.825.808,7757,184246,326210,709
2007-01-08$203.73$200.0021.1%6.9%0.0%0.0%24.3%1.9%2.0%49.0M-3.18B-7.8M0.4511.2019,1418,553247,799213,001
2007-01-09$204.08$200.0019.4%6.7%0.0%0.0%23.2%2.1%3.0%50.5M-3.24B-7.9M0.7213.6215,03410,815248,893215,260
2007-01-10$208.11$200.0019.3%6.5%0.0%0.0%23.2%2.4%2.4%57.6M-3.49B-7.8M0.6716.6421,36314,302248,801218,296
2007-01-11$211.88$200.0023.2%6.7%0.0%0.0%23.2%2.9%1.6%65.1M-3.80B-7.9M0.739.3038,05327,676252,688223,952
2007-01-12$213.99$200.0023.5%6.7%0.0%0.0%23.0%4.0%1.2%64.7M-3.86B-8.2M0.3513.6831,50711,050255,786234,910
2007-01-16$213.59$200.0024.9%7.1%0.0%0.0%25.6%4.0%0.5%60.8M-3.82B-8.5M0.7215.4916,06911,639259,220239,280
2007-01-17$213.23$200.0024.3%7.0%0.0%0.0%23.6%3.6%0.8%56.7M-3.80B-8.8M0.418.3723,5639,550262,837245,867
2007-01-18$209.68$200.0022.6%6.5%0.0%0.0%23.5%3.4%1.6%65.9M-3.46B-8.8M0.036.81610,46819,968262,446247,149
2007-01-19$210.29$200.0022.1%6.3%0.0%0.0%22.9%4.0%1.8%168.3M-1.65B-9.1M0.6811.9923,09015,660170,808252,987
2007-01-22$212.97$200.0021.7%6.2%0.0%0.0%22.5%4.2%2.1%32.9M-1.49B-9.2M0.966.839,9829,560139,329123,625
2007-01-23$212.64$200.0021.9%6.3%0.0%0.0%22.5%4.8%1.9%32.5M-1.49B-9.3M1.739.127,67113,268142,890126,141
2007-01-24$220.10$200.0020.8%6.0%0.0%0.0%22.1%4.0%2.1%42.9M-1.91B-9.1M0.557.9134,58318,960145,864134,343
2007-01-25$213.07$200.0024.4%7.0%26.5%0.0%24.1%3.2%1.6%27.1M-1.50B-10.0M0.5812.6432,24618,788152,122141,993
2007-01-26$213.50$200.0023.8%6.8%25.6%0.0%23.8%3.0%2.0%28.5M-1.54B-10.3M0.978.0820,33919,657157,980148,277
2007-01-29$211.04$210.0023.1%6.6%25.5%0.0%23.3%2.4%1.7%21.8M-1.37B-10.7M0.8211.1719,27415,710162,476154,896
2007-01-30$208.78$210.0022.2%6.4%25.3%0.0%22.4%0.8%2.3%16.3M-1.22B-10.9M1.086.1714,71615,914169,910162,194
2007-01-31$212.16$210.0022.2%6.4%25.1%0.0%22.6%1.1%2.5%29.7M-1.50B-10.9M0.8611.8520,39117,444173,920165,022