GS Options History — May 2008 In May 2008, GS traded between $172.64 and $200.27. ATM implied volatility averaged 34.8%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.5% (HV 20d: 32.4%). Max pain ranged from $180.00 to $195.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.80.
Notable Days 2008-05-02 : Highest Volume — 105,128 contracts2008-05-15 : Largest IV spike — 23.9% change2008-05-27 : Highest IV Rank — 36.8%2008-05-07 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $185.93 $172.64 $200.27 $199.05 $176.41 Max Pain $191.43 $180.00 $195.00 $180.00 $185.00 ATM IV 34.8% 29.8% 39.5% 31.7% 37.0% Expected Move 10.6% 9.0% 11.5% 9.1% 10.6% HV 20d 32.4% 22.0% 37.9% 35.8% 22.0% HV 60d 53.3% 51.7% 54.2% 53.8% 51.7% IV Rank 28.1% 18.7% 36.8% 22.3% 32.2% IV Percentile 33.5% 20.2% 48.8% 27.0% 38.9% Term Structure -1.0% -2.7% 7.6% 6.4% -2.2% VWIV 37.1% 32.2% 40.1% 33.1% 36.7% Skew 25d 4.6% 1.0% 7.1% 4.5% 4.1% Skew 10d 8.9% 3.0% 13.2% 8.1% 7.5% Call IV 25d 34.9% 30.3% 38.0% 30.3% 35.1% Put IV 25d 39.6% 32.8% 43.2% 34.7% 39.2% Bid-Ask Spread % 7.26 4.45 11.55 10.13 6.74 Gamma HHI 0.06 0.05 0.08 0.08 0.06 Net GEX 12.6M -20.3M 53.0M 53.0M -11.2M Net DEX -493.3M -2.37B 992.0M -2.19B 571.6M Net VEX -21.0M -23.0M -11.5M -22.2M -19.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.54 1.35 1.32 0.87 Total Volume 55,110.857 22,394 105,128 82,355 22,394 Total OI 752,727.81 533,234 829,627 693,892 785,268
Daily Data (21 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 2008-05-01 $199.05 $180.00 31.7% 9.1% 35.8% 22.3% 33.1% 4.5% 6.4% 53.0M -2.19B -22.2M 1.32 10.13 35,440 46,915 357,057 336,835 2008-05-02 $200.27 $180.00 31.3% 9.0% 35.5% 21.5% 32.2% 1.0% 7.6% 48.1M -2.37B -22.8M 0.82 5.08 57,900 47,228 361,500 360,820 2008-05-05 $197.12 $195.00 32.5% 11.0% 36.0% 23.8% 38.0% 5.0% -2.5% 42.5M -1.92B -22.3M 0.54 8.31 34,940 18,789 372,184 376,661 2008-05-06 $197.61 $195.00 31.2% 10.6% 36.0% 21.3% 37.8% 4.9% -2.7% 42.6M -1.93B -22.6M 0.66 9.86 33,256 21,848 377,450 379,617 2008-05-07 $189.76 $195.00 35.4% 11.5% 37.9% 29.1% 40.1% 4.2% -2.6% 26.8M -1.04B -22.8M 0.96 11.55 30,631 29,406 384,404 384,773 2008-05-08 $187.72 $195.00 34.4% 11.2% 37.2% 27.4% 38.9% 4.7% -2.2% 19.9M -709.3M -22.7M 0.66 7.97 47,385 31,154 385,987 391,006 2008-05-09 $188.09 $195.00 32.0% 11.1% 36.1% 22.9% 38.5% 4.7% -2.1% 20.9M -735.1M -23.0M 0.78 9.87 23,276 18,106 394,924 399,622 2008-05-12 $192.08 $195.00 34.3% 11.0% 34.8% 27.1% 38.8% 6.1% -2.4% 24.5M -856.2M -11.5M 0.69 8.63 29,463 20,448 250,107 283,127 2008-05-13 $190.33 $195.00 32.7% 10.8% 35.3% 24.1% 38.6% 5.3% -2.1% 28.3M -1.03B -22.3M 0.69 9.48 19,364 13,457 400,124 405,440 2008-05-14 $190.13 $195.00 29.8% 10.9% 34.5% 18.7% 38.2% 5.5% -2.7% 29.3M -950.5M -22.1M 0.65 7.68 23,615 15,393 402,814 410,017 2008-05-15 $188.62 $195.00 36.9% 10.6% 34.5% 31.9% 37.2% 4.2% -1.8% 28.8M -788.5M -21.9M 0.70 7.31 40,319 28,387 405,979 410,644 2008-05-16 $187.14 $195.00 37.0% 10.6% 31.4% 32.1% 36.8% 4.0% -1.9% 25.1M -550.1M -21.7M 0.95 6.19 26,056 24,757 410,542 419,085 2008-05-19 $184.40 $195.00 35.1% 10.1% 31.9% 28.7% 34.9% 4.2% -1.8% -7.0M -104.3M -21.0M 0.66 4.95 26,921 17,811 345,145 357,706 2008-05-20 $182.43 $190.00 34.7% 10.0% 32.2% 27.9% 34.0% 2.8% -1.4% -7.8M 32.6M -20.9M 0.72 6.09 24,268 17,536 354,787 362,520 2008-05-21 $178.60 $190.00 35.9% 10.3% 33.1% 30.1% 35.9% 2.1% -1.7% -14.3M 438.1M -20.6M 0.67 6.15 39,202 26,135 362,087 369,228 2008-05-22 $177.20 $190.00 35.0% 10.0% 27.0% 28.5% 34.7% 4.5% -0.3% -20.3M 673.3M -20.2M 0.67 6.86 42,044 28,261 366,053 373,687 2008-05-23 $172.64 $190.00 37.7% 10.8% 27.0% 33.4% 37.9% 7.1% 0.6% -20.1M 992.0M -20.1M 1.35 4.45 29,555 39,810 378,070 375,507 2008-05-27 $173.92 $190.00 39.5% 11.3% 27.4% 36.8% 39.8% 6.3% -1.2% -18.7M 806.2M -20.0M 0.82 4.61 27,028 22,296 383,947 383,163 2008-05-28 $174.83 $190.00 38.5% 11.0% 26.9% 34.9% 38.7% 6.4% -1.4% -14.4M 757.5M -19.7M 0.75 5.76 13,884 10,459 389,400 384,629 2008-05-29 $176.24 $190.00 38.7% 11.1% 27.2% 35.3% 37.3% 5.3% -2.6% -10.6M 546.4M -19.8M 0.77 4.75 29,506 22,685 390,958 384,410 2008-05-30 $176.41 $185.00 37.0% 10.6% 22.0% 32.2% 36.7% 4.1% -2.2% -11.2M 571.6M -19.8M 0.87 6.74 11,959 10,435 399,122 386,146
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