GS Options History — June 2007

In June 2007, GS traded between $214.17 and $233.64. ATM implied volatility averaged 27.3%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.8% (HV 20d: 22.6%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2007-06-14: Highest Volume — 118,210 contracts
  • 2007-06-14: Largest IV drop — 43.2% change
  • 2007-06-07: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$224.78$214.17$233.64$230.71$216.75
Max Pain$216.67$210.00$220.00$220.00$220.00
ATM IV27.3%19.7%40.4%26.1%24.4%
Expected Move7.0%5.7%8.1%7.5%7.0%
HV 20d22.6%16.0%27.4%18.2%27.4%
HV 60d20.8%18.9%22.6%19.3%22.3%
Term Structure1.1%-1.3%4.0%-1.3%2.3%
VWIV25.1%20.4%29.4%26.6%25.8%
Skew 25d2.9%1.8%5.5%2.5%3.5%
Skew 10d5.8%3.0%11.1%5.2%6.8%
Call IV 25d23.7%19.3%27.2%25.6%24.0%
Put IV 25d26.6%21.1%32.5%28.1%27.6%
Bid-Ask Spread %10.625.7516.128.2310.52
Gamma HHI0.150.120.200.150.16
Net GEX20.8M-34.6M80.9M39.4M-28.8M
Net DEX-1.86B-3.05B-643.2M-2.38B-871.1M
Net VEX-16.9M-18.8M-15.8M-16.4M-18.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.521.750.890.71
Total Volume47,615.71422,236118,21022,68538,947
Total OI552,107.905498,556612,524510,389600,388

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$230.71$220.0026.1%7.5%18.2%0.0%26.6%2.5%-1.3%39.4M-2.38B-16.4M0.898.2312,01010,675240,757269,632
2007-06-04$229.71$210.0028.3%7.3%16.0%0.0%25.5%3.4%0.6%37.4M-2.35B-16.0M1.7513.619,37516,359241,842273,090
2007-06-05$229.36$210.0029.8%7.5%16.1%0.0%26.2%3.2%-0.1%33.0M-2.26B-16.2M0.6812.0713,2378,999243,477278,029
2007-06-06$227.35$210.0030.1%7.5%16.0%0.0%26.2%2.9%0.4%27.8M-2.11B-16.3M0.5910.6419,69411,554248,191280,663
2007-06-07$220.05$210.0033.4%8.1%19.6%0.0%28.0%2.3%-0.5%918.9K-1.31B-16.9M0.6012.7938,59423,287249,582280,760
2007-06-08$225.06$210.0029.4%7.3%20.6%0.0%26.4%1.8%0.9%26.8M-1.93B-16.7M0.528.4128,13214,522261,693285,858
2007-06-11$227.16$210.0036.7%7.6%19.7%0.0%27.6%2.3%-0.1%39.7M-2.24B-16.3M0.6416.1223,84715,279263,331286,190
2007-06-12$227.85$210.0039.8%7.6%19.6%0.0%27.8%2.9%-0.1%53.4M-2.43B-16.2M0.9211.7133,14430,548271,135289,913
2007-06-13$233.64$220.0040.4%7.1%21.1%0.0%25.0%3.1%1.4%80.9M-3.05B-16.1M0.6213.1754,11533,312275,718300,366
2007-06-14$225.75$220.0023.0%6.6%24.4%0.0%23.6%2.1%2.5%39.0M-2.04B-16.2M0.6510.9871,49346,717287,800311,723
2007-06-15$226.19$220.0021.4%6.1%24.4%0.0%22.0%2.2%4.0%40.6M-2.20B-15.9M0.5510.9725,21813,937292,213320,311
2007-06-18$226.97$220.0020.4%5.9%23.9%0.0%21.2%2.0%2.0%28.0M-2.01B-15.9M0.757.2117,08912,778228,118270,438
2007-06-19$229.47$220.0019.7%5.7%24.2%0.0%20.4%1.8%1.7%42.3M-2.28B-15.8M0.625.7515,0669,339235,716276,150
2007-06-20$225.89$220.0020.4%5.9%24.7%0.0%21.4%2.2%1.6%29.7M-1.99B-16.2M1.2712.0317,39422,008240,182278,379
2007-06-21$226.90$220.0022.3%6.4%24.6%0.0%23.5%3.1%2.1%24.3M-1.96B-16.9M0.9610.7725,51524,623243,691288,262
2007-06-22$222.40$220.0025.7%7.4%25.2%0.0%26.3%2.4%1.3%-1.4M-1.45B-17.8M1.508.0515,14322,639248,745298,048
2007-06-25$216.74$220.0028.2%8.1%26.8%0.0%29.4%5.5%0.4%-14.4M-982.2M-18.1M1.407.1135,26449,290251,959304,996
2007-06-26$214.17$220.0028.0%8.0%26.4%0.0%27.5%4.2%0.6%-34.6M-643.2M-18.8M1.3313.5824,19532,226261,378323,439
2007-06-27$219.33$220.0023.1%6.6%27.3%0.0%23.6%3.9%2.1%-13.7M-1.27B-18.4M0.569.6234,54119,484263,939328,487
2007-06-28$218.96$220.0022.9%6.6%27.3%0.0%23.6%4.0%2.1%-12.5M-1.25B-18.5M0.689.7218,08712,254270,828328,849
2007-06-29$216.75$220.0024.4%7.0%27.4%0.0%25.8%3.5%2.3%-28.8M-871.1M-18.8M0.7110.5222,71816,229273,019327,369