GS Options History — May 2007

In May 2007, GS traded between $218.58 and $232.00. ATM implied volatility averaged 24.5%. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.1% (HV 20d: 20.4%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-05-18: Highest Volume — 66,526 contracts
  • 2007-05-10: Largest IV spike — 28.2% change
  • 2007-05-10: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$226.48$218.58$232.00$218.58$230.82
Max Pain$218.64$210.00$220.00$210.00$220.00
ATM IV24.5%20.1%27.8%22.2%26.9%
Expected Move7.2%6.3%8.0%6.4%7.7%
HV 20d20.4%17.6%23.3%21.2%18.4%
HV 60d27.1%19.5%29.4%28.8%19.5%
Term Structure-0.9%-2.8%3.0%3.0%-2.3%
VWIV25.5%22.1%27.5%23.0%27.2%
Skew 25d2.8%1.7%3.4%2.7%2.7%
Skew 10d5.7%3.9%7.0%6.1%5.1%
Call IV 25d24.1%20.5%26.0%21.6%25.9%
Put IV 25d27.0%24.0%29.1%24.3%28.6%
Bid-Ask Spread %11.256.4617.8215.769.01
Gamma HHI0.200.130.480.130.15
Net GEX46.9M23.0M127.6M23.7M39.4M
Net DEX-2.20B-2.88B-1.14B-1.62B-2.44B
Net VEX-15.6M-16.4M-8.4M-16.2M-16.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.491.720.930.53
Total Volume31,860.81820,37266,52640,55835,190
Total OI485,677.318308,702541,206460,387504,320

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$218.58$210.0022.2%6.4%21.2%0.0%23.0%2.7%3.0%23.7M-1.62B-16.2M0.9315.7621,01719,541218,054242,333
2007-05-02$219.49$210.0022.0%6.3%20.3%0.0%22.8%3.0%2.9%27.2M-1.72B-16.2M0.589.7612,8657,507220,761246,374
2007-05-03$221.56$210.0021.9%6.3%20.2%0.0%22.1%3.4%3.0%40.0M-1.97B-15.9M1.0717.8211,75812,552223,218248,213
2007-05-04$227.34$220.0020.1%6.9%21.6%0.0%25.1%3.4%-1.4%55.7M-2.52B-15.7M1.0214.5317,31817,607226,985251,674
2007-05-07$227.22$220.0022.4%7.1%21.6%0.0%25.8%3.1%-1.1%54.3M-2.50B-15.6M0.649.1722,04214,043229,414256,956
2007-05-08$224.95$220.0024.9%7.9%22.2%0.0%27.5%3.2%-1.8%45.3M-2.27B-16.0M0.906.4615,23513,680231,617258,736
2007-05-09$226.57$220.0021.7%7.5%21.6%0.0%25.2%3.1%-2.0%53.8M-2.44B-15.9M0.498.8518,1148,955234,730262,886
2007-05-10$223.10$220.0027.8%8.0%22.7%0.0%27.4%3.1%-2.4%41.9M-2.08B-16.2M0.708.9816,64411,610238,562266,135
2007-05-11$227.50$220.0025.7%7.4%23.3%0.0%26.6%3.0%-1.5%61.0M-2.51B-16.0M1.7214.2016,90229,145239,194268,444
2007-05-14$226.18$220.0026.7%7.7%19.9%0.0%27.4%2.9%-1.6%47.0M-1.14B-8.4M0.698.9219,14213,200141,833166,869
2007-05-15$224.38$220.0027.7%7.9%20.3%0.0%26.7%3.1%-1.5%47.5M-2.21B-16.1M0.559.7322,25912,180242,547286,548
2007-05-16$227.11$220.0025.9%7.4%20.4%0.0%26.5%3.0%-0.9%77.8M-2.54B-15.7M0.628.3914,4169,001246,040287,908
2007-05-17$227.38$220.0026.1%7.5%20.2%0.0%26.3%2.5%-1.0%75.9M-2.45B-15.9M0.768.7114,11210,753248,112289,845
2007-05-18$230.34$220.0025.3%7.3%20.5%0.0%26.0%3.0%-1.3%127.6M-2.88B-15.8M0.5710.8642,28024,246249,321291,885
2007-05-21$229.23$220.0025.1%7.2%20.4%0.0%25.7%2.6%-1.0%28.7M-2.18B-15.7M0.8314.3416,02213,341211,782244,569
2007-05-22$230.71$220.0024.2%6.9%20.2%0.0%24.6%3.0%-0.6%31.2M-2.30B-15.6M0.9511.3413,68912,942216,170249,349
2007-05-23$228.54$220.0023.0%6.6%19.2%0.0%23.3%1.7%-0.5%30.6M-2.18B-15.7M0.5815.3524,85214,322220,337252,069
2007-05-24$225.68$220.0023.7%6.8%19.7%0.0%24.2%1.7%-0.9%23.7M-1.90B-16.2M1.1113.7014,19315,825226,904256,521
2007-05-25$225.53$220.0024.3%7.0%19.7%0.0%25.3%2.8%-1.0%23.0M-1.90B-16.4M0.6613.0116,61411,031229,043260,492
2007-05-29$228.44$220.0026.7%7.6%17.6%0.0%27.0%2.7%-2.8%34.7M-2.24B-16.1M0.719.1212,1378,643234,592263,920
2007-05-30$232.00$220.0025.8%7.4%18.2%0.0%26.0%2.5%-2.2%42.0M-2.46B-15.7M0.859.3912,96611,047234,506265,133
2007-05-31$230.82$220.0026.9%7.7%18.4%0.0%27.2%2.7%-2.3%39.4M-2.44B-16.1M0.539.0123,02412,166236,640267,680