GS Options History — February 2007 In February 2007, GS traded between $196.00 and $220.94. ATM implied volatility averaged 25.5%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.2% (HV 20d: 23.3%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.82.
Notable Days 2007-02-27 : Highest Volume — 133,327 contracts2007-02-08 : Largest IV spike — 24.4% change2007-02-27 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $213.50 $196.00 $220.94 $212.00 $201.75 Max Pain $212.63 $210.00 $220.00 $210.00 $210.00 ATM IV 25.5% 19.5% 36.9% 20.8% 32.3% Expected Move 7.5% 6.0% 10.6% 6.0% 9.3% HV 20d 23.3% 15.8% 36.9% 24.4% 36.9% Term Structure -1.3% -7.1% 3.3% 3.3% -3.5% VWIV 26.6% 21.1% 36.6% 21.1% 32.7% Skew 25d 2.6% 1.1% 4.0% 1.5% 1.1% Skew 10d 5.1% 1.7% 8.2% 2.2% 1.7% Call IV 25d 25.1% 20.1% 37.6% 20.1% 32.2% Put IV 25d 27.8% 21.7% 38.8% 21.7% 33.3% Bid-Ask Spread % 12.71 6.12 43.44 6.54 7.67 Gamma HHI 0.25 0.10 0.46 0.21 0.11 Net GEX 41.7M -13.5M 90.2M 30.8M -13.5M Net DEX -1.50B -1.99B -177.6M -1.50B -321.4M Net VEX -11.9M -14.7M -10.5M -10.9M -14.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.42 1.99 0.95 0.55 Total Volume 42,263.421 15,692 133,327 30,670 80,696 Total OI 382,213.526 347,845 437,217 348,466 424,215
Daily Data (19 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 2007-02-01 $212.00 $210.00 20.8% 6.0% 24.4% 0.0% 21.1% 1.5% 3.3% 30.8M -1.50B -10.9M 0.95 6.54 15,759 14,911 177,238 171,228 2007-02-02 $213.43 $210.00 19.6% 6.9% 24.0% 0.0% 24.8% 2.4% 0.0% 41.2M -1.64B -10.7M 0.81 11.67 8,693 7,065 178,156 169,689 2007-02-05 $212.55 $210.00 21.0% 6.9% 24.2% 0.0% 23.7% 2.7% -0.0% 37.3M -1.58B -10.6M 0.55 14.22 10,109 5,583 178,047 171,027 2007-02-06 $214.65 $210.00 20.4% 6.8% 23.2% 0.0% 23.5% 2.5% 0.5% 53.3M -1.78B -10.5M 0.90 15.48 9,906 8,923 183,197 172,564 2007-02-07 $213.55 $210.00 19.5% 6.8% 23.3% 0.0% 24.7% 3.0% 0.2% 50.5M -1.70B -10.6M 0.71 15.69 14,060 9,964 183,355 174,557 2007-02-08 $213.90 $210.00 24.2% 6.9% 22.4% 0.0% 24.5% 2.5% -0.3% 55.1M -1.71B -10.7M 0.44 12.24 27,564 12,086 187,005 176,232 2007-02-09 $213.28 $210.00 26.1% 7.5% 21.6% 0.0% 26.3% 2.1% -1.0% 44.9M -1.62B -10.8M 0.54 13.61 52,319 28,400 191,414 177,753 2007-02-12 $211.13 $210.00 26.6% 7.6% 21.6% 0.0% 26.6% 1.9% -0.7% 35.0M -1.45B -10.9M 0.59 11.52 25,806 15,131 202,721 183,917 2007-02-13 $212.53 $210.00 25.9% 7.4% 21.7% 0.0% 26.0% 2.1% -0.7% 32.9M -1.59B -10.8M 1.17 8.33 10,430 12,152 205,053 187,287 2007-02-14 $217.40 $210.00 27.4% 7.9% 23.2% 0.0% 27.9% 2.7% -2.4% 90.2M -1.99B -11.0M 0.42 15.00 48,500 20,534 204,423 191,105 2007-02-15 $216.82 $210.00 27.0% 7.7% 22.3% 0.0% 26.8% 3.4% -2.4% 84.6M -1.96B -11.1M 1.99 10.49 18,715 37,172 209,444 197,269 2007-02-16 $216.92 $210.00 25.1% 7.2% 22.3% 0.0% 26.1% 3.3% -1.3% 72.6M -1.80B -13.0M 0.69 11.54 11,828 8,127 209,907 227,310 2007-02-20 $220.94 $210.00 25.4% 7.3% 22.7% 0.0% 25.9% 4.0% -1.6% 43.4M -1.72B -12.4M 0.76 8.44 26,648 20,187 170,642 183,288 2007-02-21 $220.15 $220.00 25.5% 7.3% 22.8% 0.0% 26.5% 3.9% -1.8% 43.9M -1.71B -13.0M 0.91 13.01 12,903 11,700 183,739 194,317 2007-02-22 $218.97 $220.00 24.9% 7.1% 19.3% 0.0% 25.8% 3.3% -1.3% 42.7M -1.65B -13.0M 0.88 6.12 12,264 10,736 187,408 198,994 2007-02-23 $216.50 $220.00 26.0% 7.5% 15.8% 0.0% 26.6% 2.8% -1.5% 35.4M -1.44B -13.4M 1.17 8.29 12,939 15,181 190,490 202,309 2007-02-26 $214.00 $220.00 30.5% 8.7% 16.3% 0.0% 30.2% 3.6% -3.6% 24.5M -1.21B -13.7M 0.88 8.17 17,358 15,329 193,782 209,755 2007-02-27 $196.00 $220.00 36.9% 10.6% 35.2% 0.0% 36.6% 1.3% -7.1% -11.6M -177.6M -14.1M 0.66 43.44 80,362 52,965 199,177 214,043 2007-02-28 $201.75 $210.00 32.3% 9.3% 36.9% 0.0% 32.7% 1.1% -3.5% -13.5M -321.4M -14.7M 0.55 7.67 52,032 28,664 198,735 225,480
« Jan 2007 | All History | Mar 2007 » Home GS History February 2007