GS Options History — March 2007

In March 2007, GS traded between $190.00 and $211.89. ATM implied volatility averaged 28.3%. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 10.4% (HV 20d: 38.7%). Max pain ranged from $195.00 to $210.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2007-03-13: Highest Volume — 197,706 contracts
  • 2007-03-14: Largest IV drop — 27.1% change
  • 2007-03-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$202.87$190.00$211.89$199.66$206.63
Max Pain$200.45$195.00$210.00$210.00$200.00
ATM IV28.3%20.9%42.3%32.2%20.9%
Expected Move7.6%6.0%10.0%9.2%6.0%
HV 20d38.7%26.2%43.4%36.4%26.2%
HV 60d30.9%29.6%32.3%32.3%29.6%
Term Structure-0.4%-4.6%2.0%-2.9%2.0%
VWIV26.8%21.7%34.9%32.5%21.8%
Skew 25d2.8%1.5%3.6%1.7%2.0%
Skew 10d5.7%2.7%7.9%3.5%4.6%
Call IV 25d25.4%19.9%34.6%31.9%20.7%
Put IV 25d28.2%22.7%36.1%33.6%22.7%
Bid-Ask Spread %9.245.8812.2611.619.23
Gamma HHI0.140.100.300.120.12
Net GEX5.3M-66.1M39.0M-11.3M19.2M
Net DEX-889.9M-1.76B485.6M-267.3M-1.32B
Net VEX-16.2M-17.1M-15.0M-15.0M-16.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.451.740.910.56
Total Volume57,115.95519,721197,70680,18830,588
Total OI514,721.818447,650627,409447,650504,204

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$199.66$210.0032.2%9.2%36.4%0.0%32.5%1.7%-2.9%-11.3M-267.3M-15.0M0.9111.6142,03838,150219,253228,397
2007-03-02$195.67$210.0034.7%10.0%36.9%0.0%34.9%1.5%-4.3%-19.0M8.7M-15.3M0.857.0730,34125,692231,845239,870
2007-03-05$190.00$200.0039.0%9.4%37.7%0.0%32.7%3.2%-4.6%-27.2M485.6M-15.2M1.047.6933,75835,259242,368247,986
2007-03-06$197.37$200.0035.3%8.8%40.8%0.0%30.5%3.0%-2.9%-12.7M-131.3M-15.7M0.6710.4234,92323,487250,629252,760
2007-03-07$195.59$195.0034.3%8.6%40.5%0.0%30.1%2.9%-2.7%-15.1M-69.6M-15.7M0.619.0821,70713,138260,182252,256
2007-03-08$199.94$195.0033.9%8.4%41.6%0.0%29.5%2.8%-2.3%2.3M-491.6M-16.0M0.6211.9240,16024,887265,999254,817
2007-03-09$201.70$200.0035.2%8.4%41.8%0.0%28.9%2.7%-2.2%9.5M-717.6M-16.1M0.949.6826,39124,840268,888262,462
2007-03-12$202.60$200.0042.3%8.2%41.9%0.0%28.4%3.6%-2.0%12.0M-793.0M-15.8M0.609.4656,71834,220275,847271,711
2007-03-13$199.03$200.0035.2%8.7%42.2%0.0%30.1%3.5%-2.1%-1.3M-548.6M-16.7M0.719.61115,56282,144297,565277,344
2007-03-14$200.15$200.0025.7%8.2%42.1%0.0%28.5%3.6%-0.5%-19.8M-673.3M-17.1M0.828.5251,37741,888313,036298,043
2007-03-15$200.89$200.0026.5%7.6%41.1%0.0%27.5%2.9%0.8%-20.1M-949.9M-17.0M1.3411.0620,00026,878316,797304,988
2007-03-16$199.00$200.0027.8%8.0%41.2%0.0%28.5%3.3%0.4%-66.1M-461.2M-17.0M0.926.7840,15037,136319,867307,542
2007-03-19$202.44$200.0024.8%7.1%41.8%0.0%25.7%2.7%1.5%12.2M-1.01B-16.5M0.818.9021,09117,139220,185229,458
2007-03-20$204.00$200.0023.8%6.8%41.3%0.0%23.8%2.5%1.5%18.8M-1.17B-16.8M1.7411.0411,54720,124228,395239,664
2007-03-21$210.95$200.0021.2%6.1%43.4%0.0%22.6%3.3%1.7%39.0M-1.75B-16.6M0.8211.9341,04133,629230,441242,688
2007-03-22$210.08$200.0021.6%6.2%43.3%0.0%22.5%2.9%1.5%38.2M-1.72B-16.5M1.1512.2616,12118,617233,517251,087
2007-03-23$211.89$200.0021.2%6.1%43.4%0.0%21.7%3.1%1.7%35.6M-1.76B-16.6M0.458.5713,5706,151234,812258,865
2007-03-26$211.73$200.0021.4%6.1%43.2%0.0%22.4%3.3%1.7%37.0M-1.75B-16.3M0.578.4517,69210,061234,220254,206
2007-03-27$209.87$200.0021.4%6.1%28.6%0.0%21.9%2.9%1.5%37.7M-1.71B-16.3M0.645.8812,5098,054238,508256,783
2007-03-28$206.76$200.0022.8%6.5%27.7%0.0%23.2%1.7%1.0%23.3M-1.37B-16.6M1.056.9617,63918,507240,763258,505
2007-03-29$207.20$200.0021.5%6.2%27.3%0.0%21.7%2.0%1.6%24.8M-1.41B-16.4M0.517.1814,3457,282244,172262,955
2007-03-30$206.63$200.0020.9%6.0%26.2%0.0%21.8%2.0%2.0%19.2M-1.32B-16.2M0.569.2319,59810,990243,036261,168