GS Options History — August 2007

In August 2007, GS traded between $164.90 and $193.30. ATM implied volatility averaged 44.1%, placing in the 74.4% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 2.6% (HV 20d: 41.5%). Max pain ranged from $180.00 to $200.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.03.

Notable Days

2007-08-14: Highest Volume — 212,761 contracts
2007-08-09: Largest IV spike — 22.1% change
2007-08-03: Highest IV Rank — 100.0%
2007-08-15: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$178.33	$164.90	$193.30	$189.00	$176.01
Max Pain	$188.91	$180.00	$200.00	$200.00	$180.00
ATM IV	44.1%	34.5%	57.8%	40.9%	39.9%
Expected Move	12.7%	10.5%	16.5%	11.7%	11.5%
HV 20d	41.5%	30.0%	47.1%	30.1%	43.8%
HV 60d	32.1%	26.3%	35.3%	26.3%	35.3%
IV Rank	74.4%	45.3%	100.0%	94.1%	53.9%
IV Percentile	94.6%	84.6%	100.0%	99.3%	89.2%
Term Structure	-1.8%	-5.2%	1.9%	-1.1%	-0.6%
VWIV	44.4%	37.1%	56.8%	42.0%	40.4%
Skew 25d	9.6%	5.9%	16.1%	6.3%	5.9%
Skew 10d	19.4%	10.5%	33.1%	14.8%	10.5%
Call IV 25d	40.1%	33.4%	51.1%	39.2%	37.7%
Put IV 25d	49.7%	40.9%	64.3%	45.6%	43.6%
Bid-Ask Spread %	9.18	4.43	12.91	11.38	12.16
Gamma HHI	0.12	0.07	0.85	0.09	0.07
Net GEX	-297.6K	-45.2M	586.9M	-31.4M	-12.6M
Net DEX	1.27B	206.0M	2.81B	857.7M	755.1M
Net VEX	-20.6M	-22.7M	-19.4M	-20.1M	-20.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.53	1.46	0.93	0.53
Total Volume	95,669.739	25,284	212,761	104,746	37,030
Total OI	776,951.696	651,858	958,786	651,858	770,681

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-08-01	$189.00	$200.00	40.9%	11.7%	30.1%	94.1%	42.0%	6.3%	-1.1%	-31.4M	857.7M	-20.1M	0.93	11.38	54,152	50,594	302,629	349,229
2007-08-02	$187.46	$200.00	39.1%	11.2%	30.0%	86.4%	38.6%	6.5%	1.9%	-34.2M	962.1M	-19.9M	1.46	5.60	39,678	57,917	309,911	357,495
2007-08-03	$179.68	$200.00	47.0%	13.5%	31.5%	100.0%	47.7%	10.8%	1.0%	-38.2M	1.53B	-20.3M	1.22	9.52	50,714	62,092	318,525	375,655
2007-08-06	$187.79	$195.00	44.1%	12.7%	37.0%	89.6%	49.1%	16.1%	-2.1%	-31.8M	1.00B	-21.3M	1.25	9.60	73,674	92,278	327,694	388,694
2007-08-07	$191.25	$195.00	34.5%	11.4%	37.4%	55.3%	39.6%	13.0%	-0.4%	-24.8M	637.9M	-22.1M	0.96	8.37	73,079	70,479	341,545	419,359
2007-08-08	$193.30	$195.00	40.6%	11.1%	37.8%	77.2%	39.3%	11.8%	-0.2%	-14.0M	206.0M	-22.7M	1.28	9.74	47,216	60,214	354,078	430,613
2007-08-09	$182.25	$195.00	49.6%	13.9%	41.3%	100.0%	46.2%	11.1%	-4.0%	-42.6M	1.38B	-21.8M	0.94	6.59	66,183	62,203	357,757	438,048
2007-08-10	$180.50	$195.00	47.1%	14.0%	40.7%	91.9%	49.6%	12.5%	-4.1%	-37.6M	1.58B	-21.8M	1.09	6.42	53,535	58,598	392,017	449,057
2007-08-13	$177.50	$195.00	50.6%	14.6%	40.8%	100.0%	48.0%	13.7%	-5.0%	-43.9M	1.90B	-20.8M	0.55	4.43	80,263	43,810	399,710	455,114
2007-08-14	$169.75	$195.00	56.3%	16.1%	42.4%	100.0%	55.3%	14.4%	-4.9%	-44.1M	2.45B	-20.1M	0.96	6.88	108,442	104,319	426,817	455,328
2007-08-15	$164.90	$190.00	57.8%	16.5%	42.7%	100.0%	56.8%	13.2%	-5.0%	-45.2M	2.81B	-19.9M	1.12	9.54	60,321	67,352	453,756	468,057
2007-08-16	$169.85	$190.00	55.0%	15.8%	45.3%	92.9%	55.1%	10.6%	-5.2%	-15.8M	2.12B	-20.5M	0.90	11.20	86,111	77,276	459,143	470,909
2007-08-17	$175.00	$190.00	45.1%	12.9%	47.1%	67.3%	45.6%	10.0%	-0.5%	586.9M	1.46B	-21.4M	0.82	8.42	81,048	66,077	480,157	478,629
2007-08-20	$172.76	$185.00	45.1%	12.9%	47.1%	67.2%	44.7%	8.9%	-1.3%	-21.0M	1.29B	-20.4M	1.02	7.50	28,664	29,130	322,222	375,319
2007-08-21	$175.48	$185.00	41.2%	11.8%	46.8%	57.2%	41.2%	7.3%	-1.1%	-20.1M	1.12B	-20.0M	0.75	10.05	26,626	20,011	332,331	378,011
2007-08-22	$177.89	$180.00	40.4%	11.6%	46.0%	55.1%	42.3%	7.6%	-1.4%	-14.9M	872.6M	-20.4M	1.33	11.07	25,776	34,261	340,782	375,831
2007-08-23	$177.50	$180.00	39.6%	11.4%	44.3%	53.0%	39.2%	6.8%	-1.3%	-16.1M	851.4M	-20.2M	1.41	10.43	19,165	27,068	347,449	386,133
2007-08-24	$179.73	$180.00	36.6%	10.5%	44.6%	45.3%	37.1%	7.0%	-1.1%	-14.6M	678.9M	-20.6M	0.83	8.59	22,820	18,995	351,740	390,887
2007-08-27	$177.95	$180.00	38.2%	10.9%	44.0%	49.3%	39.3%	6.5%	-1.9%	-17.9M	873.4M	-20.3M	1.16	12.91	11,712	13,572	358,743	393,953
2007-08-28	$170.95	$180.00	43.4%	12.4%	44.2%	62.7%	42.8%	6.7%	-1.9%	-27.6M	1.47B	-19.4M	1.26	9.32	24,229	30,467	360,624	394,810
2007-08-29	$173.72	$180.00	39.4%	11.3%	44.7%	52.5%	40.4%	6.9%	0.2%	-21.3M	1.10B	-19.9M	1.03	12.38	24,437	25,087	365,863	394,426
2007-08-30	$171.38	$180.00	42.1%	12.1%	44.8%	59.6%	41.5%	6.4%	-0.6%	-24.0M	1.24B	-19.7M	0.95	9.15	17,297	16,432	372,737	397,421
2007-08-31	$176.01	$180.00	39.9%	11.5%	43.8%	53.9%	40.4%	5.9%	-0.6%	-12.6M	755.1M	-20.3M	0.53	12.16	24,143	12,887	373,444	397,237