GS Options History — April 2007

In April 2007, GS traded between $205.65 and $225.60. ATM implied volatility averaged 21.4%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.8% (HV 20d: 19.7%). Max pain ranged from $200.00 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

  • 2007-04-19: Highest Volume — 494,687 contracts
  • 2007-04-26: Largest IV spike — 10.9% change
  • 2007-04-17: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$214.62$205.65$225.60$205.65$218.61
Max Pain$208.00$200.00$210.00$200.00$210.00
ATM IV21.4%19.1%22.9%21.8%22.1%
Expected Move6.2%5.5%6.6%6.2%6.3%
HV 20d19.7%18.2%23.5%23.5%21.3%
HV 60d29.1%28.3%29.9%29.6%28.8%
Term Structure1.9%0.6%3.2%1.5%2.7%
VWIV22.1%20.0%23.4%22.0%23.0%
Skew 25d2.7%1.3%3.8%1.3%3.8%
Skew 10d5.4%3.2%7.0%3.2%6.9%
Call IV 25d20.7%19.0%21.9%21.9%20.8%
Put IV 25d23.4%21.0%24.6%23.2%24.6%
Bid-Ask Spread %9.162.9618.075.009.66
Gamma HHI0.220.120.580.130.13
Net GEX52.5M20.0M160.5M23.4M26.6M
Net DEX-1.90B-2.72B-1.30B-1.30B-1.67B
Net VEX-15.4M-16.4M-14.5M-16.4M-16.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.041.340.551.34
Total Volume55,188.510,007494,68721,63831,709
Total OI500,491.75394,665550,836519,125453,324

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$205.65$200.0021.8%6.2%23.5%0.0%22.0%1.3%1.5%23.4M-1.30B-16.4M0.555.0013,9477,691253,422265,703
2007-04-03$209.75$200.0021.1%6.1%20.7%0.0%22.2%2.6%1.6%43.7M-1.72B-16.0M0.827.0414,56211,931254,923265,649
2007-04-04$208.79$200.0019.3%5.5%20.4%0.0%20.1%2.1%3.2%34.2M-1.59B-15.9M0.972.969,3949,101253,710268,451
2007-04-05$207.93$200.0019.1%5.5%19.3%0.0%20.0%2.0%3.1%31.4M-1.54B-15.9M0.853.587,5186,362255,643269,886
2007-04-09$208.94$210.0020.8%6.5%19.1%0.0%22.8%2.5%1.9%35.2M-1.63B-15.7M0.407.1216,4466,649256,567270,883
2007-04-10$209.05$210.0020.5%6.4%19.1%0.0%22.9%2.4%1.9%33.8M-1.65B-15.7M0.769.115,6894,318258,102271,215
2007-04-11$206.93$210.0020.2%6.4%18.3%0.0%22.8%2.5%1.9%22.5M-1.42B-15.5M0.6310.5510,8866,866257,548271,702
2007-04-12$207.05$210.0022.2%6.4%18.2%0.0%22.6%2.4%1.9%22.8M-1.42B-15.4M0.7311.7010,3617,608259,658273,005
2007-04-13$206.50$210.0022.2%6.4%18.3%0.0%22.4%2.2%2.1%20.0M-1.33B-15.4M0.635.2911,2427,081259,862273,266
2007-04-16$214.52$210.0022.4%6.4%22.0%0.0%22.7%3.1%1.3%73.7M-2.31B-14.9M0.7011.0343,75730,678261,930274,379
2007-04-17$214.90$210.0022.9%6.6%21.4%0.0%22.4%3.2%0.6%72.6M-2.29B-14.7M0.7110.4923,47316,577261,645278,342
2007-04-18$216.75$210.0021.8%6.2%21.4%0.0%22.7%2.5%0.9%91.2M-2.44B-14.6M0.4210.6034,11814,472264,275280,654
2007-04-19$219.29$210.0022.4%6.4%18.5%0.0%23.4%2.6%0.8%160.5M-2.72B-14.9M0.049.55474,23020,457266,786284,050
2007-04-20$220.00$210.0021.8%6.3%18.4%0.0%22.2%2.8%1.1%128.4M-2.09B-14.9M0.789.5734,71726,986232,898289,073
2007-04-23$222.42$210.0022.2%6.4%18.5%0.0%22.3%3.0%1.5%45.7M-2.06B-14.5M0.667.1031,22320,720190,923203,742
2007-04-24$220.72$210.0021.7%6.2%18.8%0.0%22.1%3.2%1.7%42.0M-1.96B-15.0M1.1212.7718,85021,088201,480211,980
2007-04-25$225.60$210.0020.2%5.8%19.6%0.0%21.4%3.5%2.7%50.7M-2.33B-15.0M0.4710.9129,55713,750207,548222,534
2007-04-26$224.81$210.0022.4%6.4%18.5%0.0%21.5%3.4%2.0%45.3M-2.24B-15.5M0.7418.0718,96014,070210,527227,556
2007-04-27$224.28$210.0021.9%6.3%18.7%0.0%21.3%3.4%2.6%47.0M-2.21B-15.7M1.1211.207,8848,842215,984231,010
2007-04-30$218.61$210.0022.1%6.3%21.3%0.0%23.0%3.8%2.7%26.6M-1.67B-16.1M1.349.6613,54418,165216,926236,398