GS Options History — July 2007

In July 2007, GS traded between $188.34 and $224.55. ATM implied volatility averaged 29.3%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.0% (HV 20d: 27.3%). Max pain ranged from $200.00 to $220.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2007-07-26: Highest Volume — 123,064 contracts
  • 2007-07-18: Largest IV spike — 25.3% change
  • 2007-07-31: Highest IV Rank — 89.0%
  • 2007-07-31: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$211.38$188.34$224.55$219.18$188.34
Max Pain$216.67$200.00$220.00$220.00$200.00
ATM IV29.3%22.0%39.7%23.0%39.7%
Expected Move8.4%6.4%11.4%6.6%11.4%
HV 20d27.3%24.3%32.0%27.9%32.0%
HV 60d23.7%22.4%26.3%22.4%26.3%
IV Rank47.0%12.7%89.0%18.4%89.0%
IV Percentile77.6%31.5%97.9%51.6%97.9%
Term Structure2.1%-1.1%4.0%2.4%0.5%
VWIV29.7%21.6%39.8%24.7%39.6%
Skew 25d4.3%2.6%6.3%4.9%5.9%
Skew 10d8.3%4.8%13.3%11.4%13.3%
Call IV 25d27.7%19.4%38.1%21.7%37.5%
Put IV 25d32.0%23.9%43.4%26.5%43.4%
Bid-Ask Spread %8.003.0120.159.008.22
Gamma HHI0.170.080.510.160.09
Net GEX-22.4M-113.4M26.9M-10.7M-35.5M
Net DEX-720.0M-1.99B966.9M-1.34B966.9M
Net VEX-18.6M-20.2M-17.9M-18.5M-19.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.692.630.880.93
Total Volume59,438.14319,958123,06425,46491,597
Total OI618,652.333492,935668,828610,988648,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$219.18$220.0023.0%6.6%27.9%0.0%24.7%4.9%2.4%-10.7M-1.34B-18.5M0.889.0013,51411,950278,790332,198
2007-07-03$224.55$220.0022.2%6.4%29.4%0.0%21.6%4.5%2.1%26.9M-1.99B-18.0M0.819.6015,41812,439278,315332,462
2007-07-05$221.32$220.0023.3%6.7%29.7%18.4%23.8%3.9%2.5%-1.2M-1.55B-18.3M1.437.8614,50720,814278,286337,158
2007-07-06$223.64$220.0022.0%7.1%27.5%12.7%25.0%3.6%4.0%21.6M-1.86B-18.5M2.635.728,77123,061283,013344,631
2007-07-09$223.30$220.0023.6%7.1%26.3%19.8%24.3%3.6%3.8%20.8M-1.87B-18.0M0.857.8010,7669,192283,528352,712
2007-07-10$217.08$220.0025.5%7.7%27.8%27.7%27.5%3.5%3.0%-31.7M-1.06B-18.3M0.859.7523,08219,645285,848353,869
2007-07-11$216.72$220.0028.0%7.9%27.7%38.7%27.5%3.8%2.8%-36.4M-949.6M-18.5M0.693.6833,52723,217288,626356,826
2007-07-12$220.29$220.0025.5%7.3%26.7%27.7%25.6%3.6%3.7%-6.9M-1.44B-18.6M0.875.2421,78919,032294,897362,520
2007-07-13$222.18$220.0025.4%7.3%24.3%27.6%25.5%3.3%3.9%13.4M-1.72B-18.2M1.869.6015,37528,623294,082358,119
2007-07-16$220.40$220.0026.5%7.6%24.4%32.2%26.3%3.6%3.5%1.0M-1.52B-18.0M0.999.0416,93616,689291,993357,470
2007-07-17$219.40$220.0025.3%7.2%24.3%26.8%24.8%3.2%3.7%-28.9M-1.34B-17.9M0.874.6114,89412,923291,317360,550
2007-07-18$214.99$220.0031.6%9.1%24.7%54.3%30.6%5.7%1.2%-62.4M-655.7M-18.2M1.187.1243,93151,796291,969359,768
2007-07-19$211.69$220.0031.1%8.9%24.7%51.8%30.4%4.7%1.6%-113.4M-324.1M-18.3M0.9810.0529,17528,498301,505367,174
2007-07-20$205.94$220.0032.6%9.3%26.0%58.2%33.0%5.5%0.8%-84.2M313.7M-18.1M1.313.0141,36554,368304,454364,374
2007-07-23$205.04$220.0030.8%8.8%25.3%50.6%31.8%4.6%0.5%-19.6M-215.4M-18.0M0.934.5330,96828,663221,823271,112
2007-07-24$198.15$210.0034.9%10.0%26.4%68.4%35.4%3.9%-1.1%-25.1M232.4M-18.3M1.044.7046,02548,020236,224282,826
2007-07-25$203.16$210.0031.1%8.9%28.2%51.8%31.2%2.6%1.1%-16.6M-211.0M-19.2M1.2411.3737,27546,405250,483295,800
2007-07-26$195.12$210.0038.6%11.1%29.4%84.3%39.0%5.0%0.4%-28.8M507.7M-19.9M0.917.5064,37858,686258,088315,380
2007-07-27$192.65$210.0039.0%11.2%29.5%85.8%39.8%4.9%1.0%-25.8M528.2M-20.2M0.7920.1544,61735,082278,437328,896
2007-07-30$195.74$210.0034.8%10.0%30.5%67.7%35.6%6.3%2.1%-27.7M374.7M-19.9M1.219.4136,71644,472283,997333,949
2007-07-31$188.34$200.0039.7%11.4%32.0%89.0%39.6%5.9%0.5%-35.5M966.9M-19.9M0.938.2247,42744,170296,569351,661