GS Options History — April 2008

In April 2008, GS traded between $163.59 and $192.68. ATM implied volatility averaged 39.2%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 20.0% (HV 20d: 59.2%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2008-04-18: Highest Volume — 161,206 contracts
2008-04-09: Largest IV spike — 10.9% change
2008-04-14: Highest IV Rank — 50.1%
2008-04-14: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$178.12	$163.59	$192.68	$176.86	$191.37
Max Pain	$175.68	$170.00	$180.00	$180.00	$180.00
ATM IV	39.2%	30.3%	46.7%	42.3%	32.8%
Expected Move	11.3%	8.7%	13.4%	12.1%	9.4%
HV 20d	59.2%	33.4%	79.6%	79.6%	33.6%
HV 60d	55.4%	54.3%	56.5%	56.5%	54.4%
IV Rank	36.3%	19.7%	50.1%	42.7%	24.2%
IV Percentile	51.3%	25.8%	78.6%	65.5%	28.6%
Term Structure	1.3%	-1.5%	5.0%	-0.2%	4.8%
VWIV	39.7%	31.6%	45.8%	43.2%	32.9%
Skew 25d	6.8%	4.3%	10.3%	10.3%	4.3%
Skew 10d	13.7%	7.9%	21.5%	21.5%	8.8%
Call IV 25d	36.4%	29.4%	44.0%	37.2%	30.6%
Put IV 25d	43.2%	33.8%	50.1%	47.5%	34.9%
Bid-Ask Spread %	6.38	5.07	8.88	5.19	5.88
Gamma HHI	0.08	0.05	0.47	0.05	0.07
Net GEX	18.5M	-21.2M	131.4M	5.4M	40.2M
Net DEX	-183.1M	-1.49B	1.22B	127.0M	-1.40B
Net VEX	-20.2M	-21.4M	-18.4M	-20.3M	-21.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.54	1.37	0.86	0.69
Total Volume	68,367.773	29,007	161,206	87,987	53,887
Total OI	754,505.091	594,514	861,330	755,426	680,607

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-04-01	$176.86	$180.00	42.3%	12.1%	79.6%	42.7%	43.2%	10.3%	-0.2%	5.4M	127.0M	-20.3M	0.86	5.19	47,346	40,641	387,270	368,156
2008-04-02	$176.87	$180.00	42.7%	12.2%	79.5%	43.4%	42.6%	8.8%	-0.2%	7.0M	37.2M	-20.4M	1.22	5.96	38,661	47,332	395,781	376,656
2008-04-03	$176.53	$180.00	41.8%	12.0%	79.5%	41.8%	41.7%	7.5%	0.3%	6.2M	106.1M	-21.1M	0.85	5.18	29,603	25,110	404,798	388,865
2008-04-04	$175.40	$175.00	40.8%	12.1%	78.0%	39.9%	42.5%	8.8%	-1.4%	9.6M	164.5M	-20.5M	0.86	5.67	24,554	21,043	410,553	383,016
2008-04-07	$178.73	$175.00	39.9%	11.5%	78.2%	38.3%	40.9%	8.0%	-0.9%	14.1M	-195.4M	-20.7M	0.75	6.96	41,057	30,841	414,381	384,038
2008-04-08	$178.90	$175.00	37.9%	11.6%	77.2%	33.7%	41.1%	7.5%	-0.5%	14.4M	-262.0M	-20.8M	0.79	8.88	30,303	23,959	416,934	388,457
2008-04-09	$174.14	$175.00	42.0%	12.6%	76.5%	41.4%	44.0%	7.3%	-0.8%	5.2M	234.0M	-20.3M	0.91	6.81	35,138	32,128	424,866	391,115
2008-04-10	$170.55	$175.00	44.5%	12.8%	77.0%	46.1%	43.9%	6.6%	-0.1%	-5.3M	630.2M	-19.9M	0.93	6.82	53,566	49,933	427,767	401,342
2008-04-11	$167.30	$175.00	46.3%	13.3%	77.2%	49.3%	45.0%	6.5%	-0.1%	-11.1M	871.4M	-19.8M	0.95	7.59	40,922	39,034	435,939	416,224
2008-04-14	$163.59	$175.00	46.7%	13.4%	75.1%	50.1%	45.8%	6.2%	-0.6%	-19.6M	1.14B	-18.8M	0.64	6.98	45,055	28,827	436,882	412,454
2008-04-15	$164.20	$170.00	44.4%	12.7%	73.6%	45.8%	44.0%	7.1%	-0.3%	-21.2M	1.22B	-18.4M	1.37	6.82	34,285	46,998	439,708	412,932
2008-04-16	$169.05	$170.00	39.8%	11.4%	50.5%	37.2%	40.4%	7.6%	1.5%	-3.6M	666.5M	-18.9M	0.70	5.74	39,950	28,078	445,259	415,714
2008-04-17	$172.10	$170.00	38.4%	11.0%	47.1%	34.6%	38.0%	7.9%	1.8%	13.7M	256.2M	-19.0M	0.59	5.32	47,341	27,890	447,030	414,300
2008-04-18	$179.93	$170.00	39.0%	11.2%	41.6%	35.9%	40.1%	7.8%	-1.5%	131.4M	-875.2M	-19.6M	0.72	6.32	93,710	67,496	443,660	413,556
2008-04-21	$180.40	$175.00	38.0%	10.9%	41.5%	33.9%	38.4%	5.1%	3.1%	18.6M	-483.2M	-19.9M	0.74	5.21	26,288	19,462	306,626	288,616
2008-04-22	$179.76	$175.00	36.4%	10.4%	41.5%	30.9%	36.8%	4.9%	4.0%	18.2M	-417.3M	-19.6M	0.85	5.07	15,664	13,343	306,585	287,929
2008-04-23	$179.35	$175.00	36.5%	10.5%	40.6%	31.2%	36.8%	5.7%	4.0%	19.0M	-389.3M	-19.9M	0.57	7.80	23,509	13,474	320,848	298,350
2008-04-24	$188.79	$175.00	33.6%	9.6%	40.9%	25.9%	35.1%	6.0%	4.1%	36.5M	-1.15B	-20.6M	0.54	5.98	50,035	27,218	325,288	301,891
2008-04-25	$192.00	$180.00	33.6%	9.6%	39.7%	25.8%	34.0%	6.2%	3.0%	41.3M	-1.48B	-21.0M	0.65	7.64	44,566	29,009	335,086	312,686
2008-04-28	$190.24	$180.00	34.1%	9.8%	40.1%	26.6%	34.6%	5.0%	3.1%	40.9M	-1.33B	-21.2M	0.88	5.48	21,193	18,651	344,645	319,686
2008-04-29	$192.68	$180.00	30.3%	8.7%	33.4%	19.7%	31.6%	4.3%	5.0%	46.0M	-1.49B	-21.2M	0.88	7.02	19,696	17,295	347,664	324,952
2008-04-30	$191.37	$180.00	32.8%	9.4%	33.6%	24.2%	32.9%	4.3%	4.8%	40.2M	-1.40B	-21.4M	0.69	5.88	31,823	22,064	349,902	330,705