GS Options History — October 2007

In October 2007, GS traded between $217.69 and $247.92. ATM implied volatility averaged 33.4%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 0.9% (HV 20d: 34.3%). Max pain ranged from $200.00 to $220.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.79.

Notable Days

2007-10-09: Highest Volume — 92,929 contracts
2007-10-19: Largest IV spike — 23.3% change
2007-10-19: Highest IV Rank — 62.2%
2007-10-19: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$230.02	$217.69	$247.92	$222.98	$247.92
Max Pain	$216.52	$200.00	$220.00	$200.00	$220.00
ATM IV	33.4%	25.6%	43.2%	25.6%	33.4%
Expected Move	9.7%	7.3%	12.4%	7.3%	9.6%
HV 20d	34.3%	30.3%	38.9%	31.9%	38.9%
HV 60d	39.0%	37.7%	40.1%	38.5%	38.0%
IV Rank	36.9%	16.8%	62.2%	16.8%	37.0%
IV Percentile	72.0%	49.7%	91.5%	49.7%	69.4%
Term Structure	0.3%	-4.0%	4.5%	1.4%	4.5%
VWIV	35.0%	26.4%	44.8%	26.4%	35.5%
Skew 25d	5.2%	3.5%	7.2%	4.5%	5.4%
Skew 10d	10.6%	7.5%	13.8%	8.6%	10.7%
Call IV 25d	32.1%	23.7%	40.4%	23.7%	32.4%
Put IV 25d	37.2%	28.2%	47.6%	28.2%	37.7%
Bid-Ask Spread %	9.25	5.16	15.89	11.82	15.89
Gamma HHI	0.15	0.10	0.23	0.16	0.13
Net GEX	61.1M	3.8M	88.4M	88.4M	64.0M
Net DEX	-4.08B	-5.72B	-2.39B	-4.06B	-4.79B
Net VEX	-20.6M	-21.9M	-19.1M	-19.6M	-21.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.29	1.68	0.63	0.62
Total Volume	58,872.261	19,467	92,929	61,273	81,852
Total OI	758,394.478	622,981	850,186	752,443	710,004

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
2007-10-01	$222.98	$200.00	25.6%	7.3%	31.9%	16.8%	26.4%	4.5%	1.4%	88.4M	-4.06B	-19.6M	0.63	11.82	37,653	23,620	368,567	383,876
2007-10-02	$228.02	$200.00	26.4%	7.6%	31.6%	18.8%	28.1%	4.1%	0.5%	87.1M	-4.58B	-19.5M	0.45	8.83	48,895	21,844	372,219	387,829
2007-10-03	$227.35	$200.00	28.9%	8.3%	30.3%	25.5%	30.6%	3.5%	0.5%	82.3M	-4.54B	-19.7M	0.69	11.15	37,636	25,899	376,410	396,341
2007-10-04	$225.95	$200.00	30.2%	8.6%	31.0%	28.7%	33.0%	4.7%	0.9%	70.1M	-4.22B	-20.4M	1.19	9.57	29,634	35,166	379,944	404,019
2007-10-05	$228.50	$220.00	26.8%	8.6%	30.6%	19.9%	31.5%	6.3%	-0.4%	73.4M	-4.40B	-20.7M	0.89	6.06	24,287	21,703	380,851	414,737
2007-10-08	$226.96	$220.00	28.3%	8.7%	30.9%	23.8%	33.3%	6.2%	-0.8%	72.3M	-4.34B	-20.5M	0.69	6.28	14,744	10,209	384,612	415,354
2007-10-09	$239.20	$220.00	29.4%	8.8%	34.0%	26.6%	31.9%	4.8%	-1.3%	85.9M	-5.72B	-19.1M	0.29	10.52	71,768	21,161	382,432	416,374
2007-10-10	$235.94	$220.00	29.6%	9.0%	34.7%	27.3%	32.7%	4.3%	-1.1%	82.6M	-5.37B	-19.8M	0.64	8.38	35,062	22,340	389,800	422,527
2007-10-11	$229.01	$220.00	33.0%	9.5%	37.0%	36.0%	33.7%	4.5%	-1.3%	71.0M	-4.49B	-20.4M	0.62	8.03	46,049	28,530	391,635	425,310
2007-10-12	$233.56	$220.00	32.1%	9.2%	37.2%	33.8%	32.0%	5.5%	-0.8%	74.8M	-4.95B	-19.9M	0.39	9.86	31,370	12,370	389,569	430,958
2007-10-15	$229.34	$220.00	35.8%	10.3%	37.4%	43.2%	36.4%	5.1%	-2.1%	63.8M	-4.50B	-20.3M	0.70	8.54	32,436	22,695	392,851	432,614
2007-10-16	$224.83	$220.00	37.0%	10.6%	32.4%	46.3%	36.9%	4.8%	-2.0%	51.0M	-3.89B	-20.5M	1.39	7.08	22,942	31,932	395,570	437,134
2007-10-17	$227.62	$220.00	36.0%	10.3%	31.7%	43.8%	37.2%	4.9%	-1.3%	60.3M	-4.21B	-20.6M	0.96	9.34	27,947	26,876	395,991	445,033
2007-10-18	$227.85	$220.00	35.0%	10.0%	31.3%	41.1%	35.7%	4.9%	-0.3%	65.7M	-4.23B	-20.7M	0.77	7.10	16,096	12,344	398,940	450,704
2007-10-19	$217.69	$220.00	43.2%	12.4%	34.7%	62.2%	44.8%	7.2%	-4.0%	3.8M	-2.71B	-21.4M	1.68	6.20	32,554	54,699	399,481	450,705
2007-10-22	$222.18	$220.00	38.5%	11.0%	35.3%	50.2%	39.1%	6.2%	0.6%	28.8M	-2.39B	-20.9M	0.74	6.33	26,648	19,833	298,426	324,555
2007-10-23	$223.76	$220.00	36.8%	10.6%	35.3%	45.8%	36.9%	5.9%	2.2%	32.9M	-2.52B	-21.3M	0.66	5.16	11,709	7,758	305,833	332,267
2007-10-24	$225.12	$220.00	35.7%	10.2%	34.9%	42.9%	38.3%	6.0%	2.3%	35.0M	-2.65B	-21.4M	0.86	8.51	29,797	25,519	308,399	335,008
2007-10-25	$226.66	$220.00	36.2%	10.4%	34.9%	44.3%	38.0%	7.2%	3.1%	40.1M	-2.85B	-21.9M	1.09	9.08	30,847	33,777	316,286	340,557
2007-10-26	$235.92	$220.00	32.4%	9.3%	37.3%	34.5%	35.3%	4.9%	4.1%	54.8M	-3.74B	-21.7M	1.03	12.43	37,433	38,642	320,088	357,528
2007-10-29	$243.81	$220.00	37.5%	10.8%	37.7%	47.7%	37.4%	4.2%	1.1%	61.3M	-4.55B	-20.6M	0.50	11.86	45,889	22,848	320,817	357,510
2007-10-30	$240.33	$220.00	39.8%	11.4%	37.7%	53.5%	40.1%	4.3%	1.1%	55.3M	-4.09B	-21.9M	0.57	14.64	38,861	22,188	331,182	372,226
2007-10-31	$247.92	$220.00	33.4%	9.6%	38.9%	37.0%	35.5%	5.4%	4.5%	64.0M	-4.79B	-21.0M	0.62	15.89	50,577	31,275	332,882	377,122