GS Options History — June 2008

In June 2008, GS traded between $162.40 and $186.93. ATM implied volatility averaged 41.5%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 7.7% (HV 20d: 33.8%). Max pain ranged from $180.00 to $185.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2008-06-16: Highest Volume — 210,703 contracts
  • 2008-06-11: Largest IV spike — 31.8% change
  • 2008-06-11: Highest IV Rank — 90.9%
  • 2008-06-11: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.54$162.40$186.93$172.34$174.90
Max Pain$180.95$180.00$185.00$185.00$180.00
ATM IV41.5%32.4%68.6%41.3%39.3%
Expected Move11.4%9.3%14.8%11.8%11.3%
HV 20d33.8%21.8%43.9%22.3%43.0%
HV 60d42.1%34.3%51.3%51.3%35.3%
IV Rank39.4%20.2%90.9%40.1%33.7%
IV Percentile50.8%17.1%99.6%58.7%44.0%
Term Structure-1.0%-6.5%4.6%-2.7%-0.7%
VWIV39.8%32.9%50.6%40.5%39.7%
Skew 25d7.8%4.9%12.1%4.9%10.4%
Skew 10d16.0%9.4%26.9%9.8%26.9%
Call IV 25d36.3%30.0%46.4%38.5%35.6%
Put IV 25d44.1%36.5%56.6%43.5%46.0%
Bid-Ask Spread %7.483.1924.495.594.42
Gamma HHI0.070.060.120.060.06
Net GEX6.4M-25.6M72.3M-17.7M-9.6M
Net DEX252.9M-1.75B1.78B903.1M551.6M
Net VEX-19.4M-20.5M-18.2M-19.3M-18.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.661.820.990.98
Total Volume81,199.47649,051210,70354,43953,626
Total OI855,867.762757,463991,145785,260822,492

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$172.34$185.0041.3%11.8%22.3%40.1%40.5%4.9%-2.7%-17.7M903.1M-19.3M0.995.5927,36427,075399,511385,749
2008-06-03$170.58$185.0041.4%11.9%22.1%40.3%41.3%5.2%-3.5%-20.1M1.08B-18.8M0.895.4330,22327,041405,407390,056
2008-06-04$172.10$185.0042.5%12.2%22.6%42.4%41.6%5.8%-3.9%-15.2M859.5M-19.3M0.683.1931,12021,182410,939391,438
2008-06-05$176.60$185.0041.9%12.0%21.8%41.2%42.0%7.0%-3.3%-5.6M350.8M-20.2M1.124.2132,82936,787417,647395,907
2008-06-06$169.44$180.0046.9%12.1%25.5%50.5%42.0%6.7%-1.3%-22.9M1.13B-19.4M0.7424.4932,20723,831418,823412,000
2008-06-09$165.76$180.0052.4%12.9%26.0%60.7%43.8%8.1%-2.6%-25.4M1.47B-18.5M1.136.9529,31833,068427,283412,696
2008-06-10$167.21$180.0052.0%12.7%24.7%60.1%43.1%8.1%-2.6%-25.1M1.45B-18.5M0.987.3527,94227,342430,365418,169
2008-06-11$162.40$180.0068.6%14.8%25.9%90.9%50.6%10.2%-6.5%-25.6M1.78B-18.2M0.897.8869,59561,756437,197420,964
2008-06-12$166.75$180.0050.2%14.4%28.6%56.6%48.0%12.1%-5.2%-12.2M1.25B-19.1M0.757.6935,07226,193458,757439,276
2008-06-13$178.29$180.0040.6%11.6%38.7%38.9%41.6%11.7%-1.0%15.3M-93.1M-20.5M0.798.9153,43541,965463,495443,556
2008-06-16$182.09$180.0041.8%12.0%39.5%41.1%41.9%7.7%-2.9%23.6M-737.3M-20.5M0.6613.29126,81583,888465,208452,993
2008-06-17$179.44$180.0037.0%10.6%39.5%32.1%37.0%7.1%0.3%35.5M-409.3M-19.4M0.667.8698,62365,491491,783472,968
2008-06-18$182.77$180.0034.8%10.0%39.9%28.1%37.1%6.9%1.4%56.6M-1.02B-19.9M1.479.2645,67667,265499,637484,551
2008-06-19$186.93$180.0033.1%9.5%39.9%23.9%34.2%6.7%3.4%72.3M-1.75B-20.0M0.998.9840,28539,969495,969489,038
2008-06-20$183.77$180.0032.4%9.3%40.3%20.2%33.9%6.1%4.6%56.3M-1.14B-19.7M0.909.0149,74644,858495,590495,555
2008-06-23$178.59$180.0034.8%10.0%40.5%24.9%35.9%7.1%0.8%9.8M-113.7M-19.1M1.274.2723,51529,962383,499373,964
2008-06-24$181.98$180.0035.5%10.2%41.0%26.3%34.9%7.5%1.0%21.4M-440.4M-19.7M1.124.5130,03333,637391,026382,562
2008-06-25$183.65$180.0032.6%9.3%41.0%20.5%32.9%6.3%1.1%26.7M-579.8M-19.7M0.854.6626,51822,533397,181394,876
2008-06-26$176.26$180.0036.4%10.4%43.8%28.0%37.5%8.6%0.6%1.5M288.0M-19.3M1.824.7126,16947,566400,573401,975
2008-06-27$174.56$180.0036.1%10.4%43.9%27.4%36.6%9.7%1.4%-4.1M493.2M-18.8M1.144.3825,08328,586400,573401,975
2008-06-30$174.90$180.0039.3%11.3%43.0%33.7%39.7%10.4%-0.7%-9.6M551.6M-18.9M0.984.4227,04226,584407,504414,988