GS Options History — September 2007

In September 2007, GS traded between $177.81 and $216.78. ATM implied volatility averaged 37.1%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 1.5% (HV 20d: 35.6%). Max pain ranged from $180.00 to $200.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-09-19: Highest Volume — 280,024 contracts
  • 2007-09-18: Largest IV drop — 16.5% change
  • 2007-09-07: Highest IV Rank — 73.2%
  • 2007-09-07: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$195.90$177.81$216.78$180.80$216.74
Max Pain$192.89$180.00$200.00$180.00$200.00
ATM IV37.1%25.0%47.4%42.3%25.1%
Expected Move10.4%7.2%12.9%12.1%7.2%
HV 20d35.6%29.4%41.8%41.8%31.7%
HV 60d36.7%34.9%38.5%35.5%38.1%
IV Rank46.6%15.5%73.2%60.0%15.5%
IV Percentile77.8%44.3%97.1%93.5%44.6%
Term Structure-2.6%-7.3%1.7%-2.9%1.7%
VWIV36.9%26.4%45.8%43.5%26.4%
Skew 25d5.4%2.7%7.9%6.1%4.5%
Skew 10d11.0%6.0%16.2%10.3%8.8%
Call IV 25d34.4%24.4%43.0%40.2%24.4%
Put IV 25d39.8%28.8%49.5%46.3%28.8%
Bid-Ask Spread %12.467.6024.6611.957.60
Gamma HHI0.150.070.900.080.14
Net GEX115.5M-6.6M1.44B595.2K68.5M
Net DEX-1.60B-4.26B575.3M261.8M-3.23B
Net VEX-20.9M-21.6M-20.1M-20.5M-20.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.340.950.750.61
Total Volume72,479.78923,475280,02449,27025,708
Total OI816,799720,060960,222776,686747,575

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$180.80$180.0042.3%12.1%41.8%60.0%43.5%6.1%-2.9%595.2K261.8M-20.5M0.7511.9528,22321,047377,164399,522
2007-09-05$177.81$180.0044.6%12.8%41.4%66.0%45.8%5.8%-2.6%-6.6M575.3M-20.5M0.9513.1912,04111,434383,813402,495
2007-09-06$179.18$180.0043.8%12.5%41.2%63.8%43.5%6.7%-1.0%-2.7M422.5M-20.7M0.3413.4324,9038,522385,921404,884
2007-09-07$178.98$195.0047.4%12.9%35.8%73.2%44.0%7.9%-7.3%4.0M316.6M-21.1M0.589.1928,80616,703394,984407,192
2007-09-10$183.61$195.0047.3%12.3%36.8%72.9%43.5%7.9%-6.5%18.1M-203.8M-21.2M0.9510.8430,00028,616399,785411,549
2007-09-11$183.50$195.0045.0%11.7%36.2%67.1%40.9%7.3%-5.5%19.1M-166.1M-21.1M0.4710.7525,33311,962404,423418,250
2007-09-12$182.53$195.0044.6%11.6%32.0%66.0%40.4%6.7%-5.5%16.5M-38.1M-20.8M0.6610.5719,83513,115407,709419,615
2007-09-13$188.47$195.0037.7%10.8%31.0%48.1%38.5%6.3%-4.1%41.1M-894.6M-21.3M0.9116.4940,69636,945415,727421,114
2007-09-14$190.59$195.0039.2%11.3%29.9%52.1%39.5%6.8%-4.0%46.3M-1.24B-21.6M0.7211.3033,57924,115420,265431,896
2007-09-17$187.61$195.0041.9%12.0%29.4%59.1%43.0%7.0%-6.3%34.2M-724.1M-21.3M0.7410.3436,97627,323425,189432,283
2007-09-18$200.50$195.0035.0%10.0%36.2%41.2%35.7%3.3%-3.8%92.6M-2.83B-20.9M0.5510.5586,94747,907431,642441,883
2007-09-19$205.50$195.0036.7%10.5%36.6%45.5%37.1%3.6%-6.0%89.9M-3.60B-20.7M0.4924.66188,10791,917435,064451,223
2007-09-20$203.53$195.0033.3%9.5%37.1%36.6%33.4%2.7%-0.6%88.6M-3.20B-21.2M0.4913.62119,74158,878472,533487,689
2007-09-21$209.98$195.0029.6%8.5%37.9%27.4%31.0%3.3%0.4%1.44B-4.26B-21.2M0.3412.3876,66425,786467,031484,916
2007-09-24$210.43$195.0029.9%8.6%37.9%28.0%30.9%4.3%-0.2%53.1M-2.60B-20.9M0.6213.9740,53724,938353,433366,627
2007-09-25$210.90$195.0028.4%8.2%37.4%24.2%29.8%3.7%1.2%56.8M-2.69B-20.6M0.6012.7716,62110,020361,826373,777
2007-09-26$214.61$195.0027.7%7.9%32.8%22.4%28.1%4.1%1.4%63.7M-3.02B-20.7M0.5014.4532,78316,515361,009375,040
2007-09-27$216.78$195.0025.0%7.2%32.7%15.5%27.2%5.1%1.7%69.8M-3.31B-20.1M0.748.7519,42014,453365,381378,752
2007-09-28$216.74$200.0025.1%7.2%31.7%15.5%26.4%4.5%1.7%68.5M-3.23B-20.5M0.617.6015,9299,779366,716380,859