GS Options History — January 2008

In January 2008, GS traded between $187.21 and $207.60. ATM implied volatility averaged 41.1%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 2.8% (HV 20d: 38.3%). Max pain ranged from $190.00 to $210.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2008-01-18: Highest Volume — 111,273 contracts
  • 2008-01-25: Largest IV spike — 13.0% change
  • 2008-01-09: Highest IV Rank — 62.0%
  • 2008-01-18: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.46$187.21$207.60$207.60$199.55
Max Pain$195.95$190.00$210.00$200.00$195.00
ATM IV41.1%35.9%46.5%40.4%37.7%
Expected Move11.7%10.3%12.7%11.6%10.8%
HV 20d38.3%33.7%42.4%42.4%39.6%
HV 60d46.4%45.5%47.6%46.9%45.5%
IV Rank49.8%37.9%62.0%48.2%42.1%
IV Percentile74.1%57.1%84.9%76.1%62.7%
Term Structure0.0%-2.7%2.2%-0.2%2.2%
VWIV41.1%36.7%44.5%41.1%38.0%
Skew 25d5.8%2.5%7.7%3.3%7.7%
Skew 10d11.1%5.8%14.8%6.7%14.6%
Call IV 25d38.3%33.2%42.4%39.8%34.1%
Put IV 25d44.2%40.6%47.4%43.1%41.8%
Bid-Ask Spread %11.254.8518.779.3016.60
Gamma HHI0.100.070.160.090.08
Net GEX-11.4M-41.2M8.3M-3.5M8.0M
Net DEX-47.0M-1.03B790.8M-1.03B-334.7M
Net VEX-17.3M-18.9M-15.6M-17.7M-18.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.491.460.740.49
Total Volume56,547.95217,970111,27350,72340,754
Total OI684,228.048420,739859,783755,274510,057

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$207.60$200.0040.4%11.6%42.4%48.2%41.1%3.3%-0.2%-3.5M-1.03B-17.7M0.749.3029,11821,605355,462399,812
2008-01-03$204.84$200.0041.4%11.9%38.6%50.3%41.0%2.5%0.2%-12.3M-631.6M-18.1M0.8310.1118,51215,376366,729410,808
2008-01-04$199.93$210.0042.1%12.2%38.8%52.0%42.4%5.7%-0.3%-20.2M-268.8M-17.6M0.754.8532,00323,880369,416411,847
2008-01-07$194.73$210.0043.0%12.0%38.5%54.0%41.6%4.9%-0.2%-32.9M356.3M-16.7M0.656.3845,66229,472375,104415,804
2008-01-08$189.50$200.0043.6%12.2%38.9%55.4%42.2%5.0%-0.7%-41.2M710.5M-16.3M0.648.4534,94222,530384,500419,719
2008-01-09$191.75$200.0046.5%12.4%37.3%62.0%43.4%5.6%-0.8%-34.7M540.9M-16.7M1.0410.8843,31545,037393,233416,843
2008-01-10$196.91$195.0041.0%11.8%33.7%49.5%41.2%5.7%-0.6%-19.8M-64.8M-17.3M0.608.1540,44224,280402,396422,151
2008-01-11$198.74$195.0040.4%11.6%33.8%48.2%41.0%5.5%-0.6%-6.4M-490.5M-17.2M0.528.2534,46717,812408,376420,835
2008-01-14$201.65$195.0040.2%11.5%33.8%47.8%40.9%5.9%-0.6%1.1M-776.8M-17.0M0.858.8817,18514,581414,492424,031
2008-01-15$193.29$195.0040.5%11.6%36.4%48.4%40.6%4.8%-0.9%-32.4M366.1M-16.0M0.6614.5337,82324,992416,827427,045
2008-01-16$197.50$195.0041.0%11.8%37.4%49.6%41.4%5.5%-1.7%-6.9M-305.5M-16.7M1.0211.6433,78834,391426,713428,657
2008-01-17$190.98$195.0044.2%12.7%37.3%56.7%44.5%4.4%-2.7%-39.3M511.8M-16.2M0.9113.3939,30435,721429,268430,515
2008-01-18$187.21$195.0044.2%12.7%37.3%56.8%44.0%5.1%-1.5%-12.1M790.8M-15.6M1.4613.0845,18966,084432,289423,384
2008-01-22$190.69$195.0043.3%12.4%38.1%54.7%43.7%7.2%-0.4%-7.4M318.2M-16.4M0.7510.8134,23925,819209,146211,593
2008-01-23$199.39$190.0039.7%11.4%39.7%46.6%41.3%7.3%1.4%3.4M-212.0M-17.9M0.6818.7731,83421,585220,368219,726
2008-01-24$199.20$190.0037.6%10.8%38.6%41.8%38.3%7.2%2.2%5.4M-244.2M-18.1M0.8416.3924,50720,488226,705225,329
2008-01-25$191.37$190.0042.5%12.2%40.3%52.9%41.6%7.0%0.8%-2.9M223.0M-18.0M0.6413.9523,92915,272234,748235,147
2008-01-28$196.25$190.0039.6%11.3%41.3%46.2%39.8%7.7%2.0%3.3M-91.7M-18.3M1.159.0914,79816,981239,785240,048
2008-01-29$196.05$190.0038.8%11.1%41.3%44.4%39.5%7.1%1.9%3.5M-94.3M-18.3M0.7410.0510,3437,627242,809242,704
2008-01-30$198.55$190.0035.9%10.3%41.2%37.9%36.7%7.4%1.7%8.3M-262.4M-18.2M0.8412.7938,95432,866244,952239,416
2008-01-31$199.55$195.0037.7%10.8%39.6%42.1%38.0%7.7%2.2%8.0M-334.7M-18.9M0.4916.6027,38413,370256,412253,645