GS Options History — December 2007

In December 2007, GS traded between $201.51 and $226.89. ATM implied volatility averaged 46.3%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 3.8% (HV 20d: 50.1%). Max pain ranged from $200.00 to $220.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2007-12-18: Highest Volume — 208,371 contracts
  • 2007-12-13: Largest IV drop — 17.3% change
  • 2007-12-12: Highest IV Rank — 100.0%
  • 2007-12-04: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.22$201.51$226.89$226.89$215.05
Max Pain$204.00$200.00$220.00$220.00$200.00
ATM IV46.3%35.1%63.4%50.2%35.6%
Expected Move12.8%10.1%15.2%14.4%10.2%
HV 20d50.1%40.6%58.6%55.3%40.9%
HV 60d46.2%44.7%47.9%44.7%46.4%
IV Rank62.1%36.1%100.0%71.9%37.3%
IV Percentile82.8%62.8%100.0%92.6%63.6%
Term Structure-2.0%-6.6%2.5%-3.6%1.3%
VWIV44.8%36.1%53.6%50.5%37.2%
Skew 25d5.2%3.3%9.2%9.2%4.8%
Skew 10d9.7%6.7%17.3%17.3%8.7%
Call IV 25d42.3%34.0%50.9%46.8%34.7%
Put IV 25d47.5%38.3%58.1%56.0%39.5%
Bid-Ask Spread %12.579.1317.5313.249.33
Gamma HHI0.110.080.230.080.11
Net GEX-12.5M-78.2M20.6M19.2M14.5M
Net DEX-1.25B-2.57B537.3M-2.57B-1.79B
Net VEX-20.7M-23.3M-18.1M-23.3M-18.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.441.070.690.48
Total Volume61,435.822,389208,37124,12833,343
Total OI863,717.2736,804967,273841,369752,040

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$226.89$220.0050.2%14.4%55.3%71.9%50.5%9.2%-3.6%19.2M-2.57B-23.3M0.6913.2414,2509,878372,361469,008
2007-12-04$215.22$220.0053.1%15.2%55.6%78.4%53.6%7.1%-4.4%-9.0M-1.29B-23.0M0.5312.0830,11815,998373,343473,063
2007-12-05$218.26$220.0051.8%14.9%55.2%75.5%52.8%6.7%-4.4%-3.0M-1.58B-22.9M0.7914.7324,35719,264377,555475,174
2007-12-06$222.51$220.0050.1%14.4%53.6%71.7%50.7%6.1%-4.3%11.3M-2.14B-22.2M0.7914.7522,65417,999380,952479,069
2007-12-07$217.89$200.0049.7%13.1%53.6%70.6%45.4%6.1%-3.8%-789.1K-1.61B-22.3M0.9412.2220,56419,306386,037482,465
2007-12-10$224.21$200.0054.4%13.1%54.5%81.6%46.2%7.1%-4.5%19.0M-2.41B-21.8M0.6710.1428,74519,162390,941489,326
2007-12-11$211.15$200.0059.0%14.0%58.6%92.1%48.3%4.0%-5.3%-22.3M-835.1M-21.5M0.599.9443,23125,551394,516495,083
2007-12-12$212.58$200.0063.4%14.5%49.9%100.0%49.7%5.1%-5.7%-16.4M-1.03B-21.8M0.8212.4347,51038,798397,058495,599
2007-12-13$208.48$200.0052.4%15.0%50.2%75.2%52.9%5.2%-6.6%-29.4M-548.0M-21.9M0.8710.8748,79642,573404,336506,409
2007-12-14$210.67$200.0050.3%14.4%49.8%70.4%50.1%4.6%-6.0%-23.7M-868.3M-21.8M0.449.1337,48316,624413,080512,410
2007-12-17$208.63$200.0046.8%13.4%49.8%62.7%46.7%5.1%-2.7%-33.3M-627.2M-20.7M0.6617.5374,93049,523420,322512,183
2007-12-18$201.51$200.0044.5%12.8%50.7%57.4%44.4%3.6%-1.0%-78.2M537.3M-19.6M1.0613.78100,988107,383437,774524,531
2007-12-19$204.16$200.0041.3%11.9%50.9%50.3%41.8%3.7%0.7%-60.3M-110.4M-19.6M0.929.2640,99437,795445,640521,633
2007-12-20$202.67$200.0041.9%12.0%49.3%51.5%42.1%3.3%0.4%-66.9M-59.7M-19.3M1.0711.2827,24029,133445,527512,093
2007-12-21$209.60$200.0037.8%10.8%49.4%42.3%38.5%4.2%2.2%-18.5M-1.19B-19.3M0.7016.1848,52933,953447,629513,691
2007-12-24$214.32$200.0036.6%10.5%47.6%39.6%36.8%4.7%2.2%14.5M-1.78B-19.0M0.8915.5211,89110,580345,402391,402
2007-12-26$216.69$200.0035.1%10.1%46.7%36.1%36.1%4.5%1.6%20.6M-2.01B-18.7M0.7714.8018,06513,939347,365393,940
2007-12-27$211.95$200.0036.6%10.5%40.8%39.6%36.5%3.8%2.5%5.9M-1.52B-18.6M0.6413.1215,3679,813349,769396,110
2007-12-28$211.94$200.0035.9%10.3%40.6%38.0%36.6%4.2%2.2%7.6M-1.54B-18.4M0.8111.0012,37010,019351,845397,663
2007-12-31$215.05$200.0035.6%10.2%40.9%37.3%37.2%4.8%1.3%14.5M-1.79B-18.1M0.489.3322,57510,768352,934399,106