GS Options History — November 2007

In November 2007, GS traded between $207.45 and $240.21. ATM implied volatility averaged 51.9%, placing in the 78.2% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 1.1% (HV 20d: 50.8%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2007-11-02: Highest Volume — 176,597 contracts
  • 2007-11-02: Largest IV spike — 26.7% change
  • 2007-11-07: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$221.12$207.45$240.21$240.21$226.64
Max Pain$222.86$220.00$230.00$220.00$220.00
ATM IV51.9%39.6%62.4%39.6%48.9%
Expected Move15.0%11.4%17.0%11.4%14.0%
HV 20d50.8%40.8%59.4%40.8%57.5%
HV 60d41.2%37.8%44.8%38.7%44.7%
IV Rank78.2%53.1%100.0%53.1%68.8%
IV Percentile95.4%85.2%100.0%85.2%91.7%
Term Structure-2.9%-6.2%3.3%3.3%-3.7%
VWIV53.0%41.0%58.7%41.0%50.5%
Skew 25d10.7%7.1%13.1%7.1%8.6%
Skew 10d21.6%14.1%26.1%14.1%17.0%
Call IV 25d47.3%37.1%55.1%37.1%45.7%
Put IV 25d58.0%44.2%64.5%44.2%54.3%
Bid-Ask Spread %8.814.0315.0815.0812.39
Gamma HHI0.080.070.120.110.08
Net GEX8.6M-21.2M59.3M44.0M18.3M
Net DEX-1.86B-3.86B-376.2M-3.86B-2.49B
Net VEX-24.6M-25.9M-22.7M-22.7M-23.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.511.350.770.82
Total Volume75,449.76216,020176,59757,08861,974
Total OI822,824726,464905,065726,464830,585

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$240.21$220.0039.6%11.4%40.8%53.1%41.0%7.1%3.3%44.0M-3.86B-22.7M0.7715.0832,26524,823336,916389,548
2007-11-02$229.60$230.0050.2%14.4%44.1%80.4%52.8%11.8%-0.5%25.3M-2.68B-24.3M1.359.8975,055101,542343,139394,529
2007-11-05$218.39$230.0056.3%16.2%47.6%96.1%57.5%10.8%-6.2%-1.6M-1.45B-25.3M0.725.6964,16046,060356,598439,755
2007-11-06$223.16$230.0054.9%15.5%44.0%92.4%53.8%11.4%-4.6%15.8M-2.05B-25.5M0.974.0349,23247,839370,533447,131
2007-11-07$214.18$230.0059.7%16.6%45.9%100.0%56.1%12.2%-5.7%-6.8M-997.8M-25.8M0.706.2342,22029,746376,306458,447
2007-11-08$209.94$230.0051.2%16.2%45.3%79.2%57.0%11.6%-4.7%-13.3M-696.0M-25.5M0.9710.2257,37455,452386,215462,693
2007-11-09$211.33$220.0054.2%16.7%44.6%86.5%58.7%13.1%-3.7%-11.7M-774.0M-25.9M0.568.5458,27432,742388,902469,877
2007-11-12$214.71$220.0062.4%16.4%44.9%100.0%56.5%12.9%-3.5%-5.1M-1.07B-25.4M0.809.0745,28236,076393,911472,618
2007-11-13$233.04$220.0047.1%14.2%53.6%64.6%50.5%10.6%-2.6%53.2M-3.44B-24.8M0.515.7180,53041,456395,720481,085
2007-11-14$233.31$220.0043.7%13.6%53.5%56.7%47.7%9.5%-2.1%59.3M-3.48B-24.8M0.707.8963,00544,017401,669489,723
2007-11-15$227.02$220.0047.1%13.5%54.4%64.7%49.0%9.7%-0.9%21.6M-2.51B-25.1M0.857.5843,52637,202402,784502,281
2007-11-16$225.25$230.0045.6%13.1%51.8%61.2%48.1%9.8%-0.1%8.3M-2.31B-24.6M0.837.8938,35731,693403,545501,401
2007-11-19$220.54$220.0051.7%14.8%52.0%75.4%52.9%11.6%-2.0%1.4M-1.68B-24.5M1.167.1720,51123,882336,143427,496
2007-11-20$217.48$220.0052.6%15.1%52.1%77.5%54.1%12.5%-2.9%-4.8M-1.37B-24.6M0.848.2324,55020,661338,724436,525
2007-11-21$209.50$220.0057.9%16.6%53.5%89.5%57.9%11.2%-3.6%-15.9M-668.7M-24.5M0.798.8535,74828,143343,446441,954
2007-11-23$216.48$220.0053.4%15.3%55.0%79.2%54.5%11.6%-2.7%-5.6M-1.32B-24.7M0.717.769,3696,651352,204448,382
2007-11-26$207.45$220.0059.2%17.0%54.4%92.6%58.7%9.4%-3.8%-21.2M-376.2M-23.9M0.659.3718,68012,229353,067449,759
2007-11-27$213.33$220.0056.0%16.1%53.9%85.3%55.4%10.8%-3.8%-10.4M-1.07B-23.9M0.609.1926,89116,196357,409452,783
2007-11-28$227.52$220.0047.6%13.7%59.4%65.9%48.9%9.9%-3.1%18.0M-2.52B-23.6M0.5811.7741,33224,087361,736455,839
2007-11-29$224.38$220.0051.3%14.7%58.1%74.3%50.8%8.9%-3.5%12.1M-2.21B-23.9M0.6112.4322,18513,428367,795460,131
2007-11-30$226.64$220.0048.9%14.0%57.5%68.8%50.5%8.6%-3.7%18.3M-2.49B-23.5M0.8212.3934,06127,913369,236461,349