GS Options History — February 2008

In February 2008, GS traded between $169.63 and $207.78. ATM implied volatility averaged 42.6%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 0.4% (HV 20d: 42.1%). Max pain ranged from $180.00 to $200.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2008-02-13: Highest Volume — 96,030 contracts
  • 2008-02-04: Largest IV spike — 27.5% change
  • 2008-02-11: Highest IV Rank — 64.5%
  • 2008-02-29: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$182.30$169.63$207.78$207.78$169.63
Max Pain$189.75$180.00$200.00$195.00$180.00
ATM IV42.6%33.1%47.7%33.1%47.6%
Expected Move12.4%9.5%13.6%9.5%13.6%
HV 20d42.1%35.8%46.5%42.0%41.9%
HV 60d43.0%38.8%46.2%45.3%40.8%
IV Rank53.0%31.6%64.5%31.6%64.4%
IV Percentile73.6%49.2%88.1%49.2%87.3%
Term Structure-1.3%-3.3%3.8%3.8%-2.1%
VWIV42.9%35.6%47.3%35.6%47.3%
Skew 25d7.0%4.3%9.0%8.2%4.5%
Skew 10d12.7%8.8%16.4%14.5%8.8%
Call IV 25d39.6%30.4%45.4%30.4%45.4%
Put IV 25d46.5%38.6%50.5%38.6%49.9%
Bid-Ask Spread %8.064.6015.8615.864.60
Gamma HHI0.090.070.150.090.07
Net GEX-21.7M-50.2M25.4M25.4M-26.0M
Net DEX796.1M-1.05B1.48B-1.05B1.31B
Net VEX-17.6M-19.3M-16.2M-19.3M-17.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.591.520.591.31
Total Volume53,637.8528,96596,03051,30553,085
Total OI564,834.7510,890622,481510,890613,172

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$207.78$195.0033.1%9.5%42.0%31.6%35.6%8.2%3.8%25.4M-1.05B-19.3M0.5915.8632,26919,036260,733250,157
2008-02-04$200.80$200.0042.2%11.7%43.0%52.1%40.3%9.0%-1.5%9.1M-424.8M-18.9M0.834.8822,67618,912261,889256,740
2008-02-05$189.86$200.0046.7%13.1%46.5%62.3%44.3%8.9%-2.2%-8.9M344.9M-18.2M0.866.5336,00430,895267,145261,450
2008-02-06$187.17$200.0046.2%13.1%45.8%61.3%45.9%7.9%-1.9%-15.9M597.2M-18.2M1.038.6220,58721,173279,752271,630
2008-02-07$190.46$195.0042.7%12.6%46.0%53.3%43.2%8.6%-0.5%-14.2M359.7M-18.8M0.877.2622,89619,847278,264279,627
2008-02-08$187.07$195.0042.8%13.0%45.3%53.5%44.9%8.1%-1.0%-26.3M699.6M-18.5M0.749.4816,67012,295281,728285,329
2008-02-11$185.87$195.0047.7%13.3%45.1%64.5%45.1%9.0%-0.9%-27.4M776.6M-18.2M1.016.2617,39217,619285,119287,079
2008-02-12$180.65$195.0043.0%13.6%45.4%53.9%46.1%7.7%-1.8%-40.1M1.24B-17.3M0.709.7350,04435,174288,540290,741
2008-02-13$180.18$190.0039.3%13.3%43.3%45.6%45.1%7.4%-1.3%-40.0M1.23B-17.5M0.956.4849,12046,910299,122294,744
2008-02-14$176.56$190.0045.8%13.1%42.6%60.4%45.3%5.7%-0.7%-50.2M1.48B-17.0M0.867.1635,84730,700307,903299,583
2008-02-15$178.41$190.0043.7%12.5%41.6%55.6%44.8%6.8%-2.0%-27.0M1.33B-17.1M1.448.2335,55651,076316,916305,565
2008-02-19$173.80$190.0046.3%13.3%42.0%61.4%46.2%6.1%-3.3%-20.9M1.08B-16.3M1.247.3522,51627,863256,428254,696
2008-02-20$177.25$185.0042.9%12.3%42.1%53.8%41.8%6.4%-2.1%-21.9M946.0M-17.0M0.667.0224,18215,989264,081263,984
2008-02-21$175.17$185.0041.9%12.0%38.1%51.5%41.3%6.0%-2.0%-23.7M1.06B-16.7M1.526.9313,45320,427270,306270,377
2008-02-22$177.71$185.0039.0%11.2%38.8%44.9%39.8%5.8%-1.0%-24.2M947.3M-17.1M0.839.8522,57018,627272,117280,105
2008-02-25$177.36$185.0039.4%11.3%36.6%45.8%39.1%5.7%-1.0%-27.4M1.04B-16.8M0.888.9031,28227,571278,378287,399
2008-02-26$172.70$180.0039.0%11.2%35.8%44.9%39.4%4.3%-1.6%-31.4M1.32B-16.2M1.197.9122,94127,353286,951291,959
2008-02-27$180.80$180.0040.3%11.6%40.3%48.0%40.4%6.6%-2.4%-19.3M684.6M-17.7M0.999.8035,36135,122294,093293,089
2008-02-28$176.70$180.0041.9%12.0%40.3%51.5%41.7%6.3%-1.0%-24.5M939.6M-18.0M1.058.4615,48416,233303,195306,608
2008-02-29$169.63$180.0047.6%13.6%41.9%64.4%47.3%4.5%-2.1%-26.0M1.31B-17.3M1.314.6022,94730,138307,488305,684