GS Options History — March 2008

In March 2008, GS traded between $151.02 and $179.63. ATM implied volatility averaged 52.0%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 3.7% (HV 20d: 55.7%). Max pain ranged from $175.00 to $190.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2008-03-18: Highest Volume — 261,607 contracts
  • 2008-03-18: Largest IV drop — 40.7% change
  • 2008-03-10: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.05$151.02$179.63$165.08$165.39
Max Pain$183.00$175.00$190.00$180.00$180.00
ATM IV52.0%41.1%73.5%48.7%46.3%
Expected Move14.5%11.8%21.1%14.0%13.3%
HV 20d55.7%33.7%78.5%38.3%76.6%
HV 60d46.2%38.1%55.0%39.9%54.6%
IV Rank67.1%40.5%100.0%66.9%50.0%
IV Percentile85.4%62.3%100.0%88.1%77.8%
Term Structure-4.0%-17.2%1.5%-3.4%1.5%
VWIV51.3%41.8%80.3%48.4%46.4%
Skew 25d9.5%4.0%26.4%4.2%9.0%
Skew 10d19.8%7.9%60.8%8.1%20.5%
Call IV 25d46.7%37.7%61.2%46.9%42.8%
Put IV 25d56.1%46.5%87.5%51.1%51.8%
Bid-Ask Spread %10.865.2529.075.255.91
Gamma HHI0.090.050.340.080.06
Net GEX-12.8M-32.2M71.4M-32.2M-13.5M
Net DEX1.14B-761.6M2.40B1.63B1.09B
Net VEX-18.4M-20.5M-16.6M-16.6M-18.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.551.331.060.92
Total Volume95,658.0539,742261,60766,29050,549
Total OI743,398.75629,833874,535629,833749,934

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$165.08$180.0048.7%14.0%38.3%66.9%48.4%4.2%-3.4%-32.2M1.63B-16.6M1.065.2532,17034,120313,862315,971
2008-03-04$163.60$180.0051.4%14.7%37.3%72.9%51.4%4.2%-5.1%-31.7M1.72B-16.6M0.887.2733,30129,339322,887324,963
2008-03-05$164.97$180.0049.7%14.2%33.7%69.1%49.2%4.0%-4.2%-31.9M1.67B-16.9M0.557.5237,45220,716332,387332,389
2008-03-06$158.65$175.0058.7%16.8%35.5%89.3%58.3%7.1%-7.3%-29.0M1.92B-16.7M1.126.0944,01549,276345,470338,337
2008-03-07$160.07$190.0063.3%15.5%34.8%99.9%54.0%8.2%-7.5%-28.3M1.81B-17.6M0.939.2139,14436,534361,992355,904
2008-03-10$155.58$190.0066.0%16.7%35.3%100.0%57.4%9.4%-8.9%-31.3M2.08B-17.0M0.949.6237,67435,292374,837364,375
2008-03-11$163.07$190.0053.7%14.1%40.6%73.9%49.2%9.1%-3.5%-27.6M1.60B-17.9M0.747.5143,97232,551383,574368,675
2008-03-12$163.01$190.0055.2%14.1%39.8%77.0%48.9%8.5%-3.8%-24.9M1.54B-18.1M0.6411.5539,99125,790391,651368,030
2008-03-13$165.44$190.0049.6%14.2%40.4%65.1%50.7%8.5%-3.9%-22.3M1.32B-18.6M0.766.5643,42432,940395,263373,416
2008-03-14$156.86$190.0064.4%18.5%43.7%96.7%63.0%10.5%-11.1%-26.3M1.81B-18.3M1.0011.4269,34569,440406,025380,437
2008-03-17$151.02$185.0073.5%21.1%44.7%100.0%80.3%26.4%-17.2%-29.3M2.40B-17.0M0.8629.07104,38589,459420,513399,013
2008-03-18$175.59$180.0043.6%12.5%71.4%45.0%47.4%12.7%-0.4%25.3M-141.9M-20.0M0.7312.03151,375110,232446,499405,520
2008-03-19$166.49$180.0052.0%14.9%73.5%60.4%52.1%11.7%-4.9%-15.8M1.07B-19.4M0.8614.6992,86780,084452,484422,051
2008-03-20$179.63$180.0042.8%12.3%78.5%43.6%44.5%9.4%-2.5%71.4M-761.6M-20.3M0.829.8894,07076,687450,568423,547
2008-03-24$178.88$180.0042.5%12.2%78.4%43.1%43.5%9.0%-0.2%4.9M825.0K-20.1M0.9017.0337,46633,716353,251330,167
2008-03-25$179.63$180.0041.2%11.8%78.4%40.7%42.7%10.0%-0.0%5.0M-106.4M-20.5M1.3312.6717,85123,686362,254341,959
2008-03-26$175.48$180.0041.1%11.8%78.3%40.5%41.8%8.2%1.2%659.4K286.3M-20.1M0.7513.3822,76316,979365,520344,360
2008-03-27$168.14$180.0047.5%13.6%77.8%52.3%48.5%10.3%0.0%-8.2M789.4M-19.5M0.9812.5431,93931,211369,601347,886
2008-03-28$164.45$180.0049.3%14.1%77.8%55.6%49.0%9.0%0.4%-10.3M1.06B-18.7M1.267.9527,09634,260377,110355,293
2008-03-31$165.39$180.0046.3%13.3%76.6%50.0%46.4%9.0%1.5%-13.5M1.09B-18.7M0.925.9126,30324,246382,800367,134