GS Options History — July 2008

In July 2008, GS traded between $157.80 and $188.04. ATM implied volatility averaged 41.7%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 8.1% (HV 20d: 49.8%). Max pain ranged from $175.00 to $180.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.16.

Notable Days

2008-07-16: Highest Volume — 212,676 contracts
2008-07-07: Largest IV spike — 22.0% change
2008-07-14: Highest IV Rank — 64.3%
2008-07-14: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$176.05	$157.80	$188.04	$175.33	$184.04
Max Pain	$178.41	$175.00	$180.00	$180.00	$180.00
ATM IV	41.7%	34.2%	56.2%	36.5%	38.5%
Expected Move	11.9%	9.8%	16.1%	10.5%	11.0%
HV 20d	49.8%	38.7%	58.6%	42.9%	58.5%
HV 60d	39.7%	34.9%	43.7%	35.1%	43.7%
IV Rank	35.2%	19.6%	64.3%	28.1%	27.8%
IV Percentile	50.0%	16.3%	94.0%	30.6%	34.9%
Term Structure	1.1%	-4.5%	3.8%	1.6%	3.4%
VWIV	42.6%	34.9%	56.6%	38.5%	39.7%
Skew 25d	10.9%	8.3%	15.7%	10.4%	8.9%
Skew 10d	22.7%	16.8%	32.8%	27.6%	18.1%
Call IV 25d	37.1%	31.2%	49.9%	32.2%	35.1%
Put IV 25d	48.1%	40.1%	65.4%	42.6%	44.0%
Bid-Ask Spread %	5.75	3.14	8.85	4.20	5.29
Gamma HHI	0.07	0.06	0.14	0.06	0.06
Net GEX	2.2M	-46.0M	50.7M	-6.9M	17.5M
Net DEX	202.7M	-1.03B	2.07B	421.3M	-498.6M
Net VEX	-18.9M	-20.7M	-16.4M	-18.6M	-20.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.70	1.69	0.94	1.52
Total Volume	92,840.909	39,015	212,676	74,975	53,036
Total OI	830,395	664,186	999,791	829,415	778,768

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
2008-07-01	$175.33	$180.00	36.5%	10.5%	42.9%	28.1%	38.5%	10.4%	1.6%	-6.9M	421.3M	-18.6M	0.94	4.20	38,584	36,391	411,788	417,627
2008-07-02	$178.79	$180.00	36.0%	10.3%	43.3%	27.1%	37.8%	8.4%	1.2%	12.0M	-70.8M	-19.4M	1.00	3.14	51,146	51,217	422,164	424,526
2008-07-03	$178.89	$180.00	34.2%	9.8%	42.3%	23.8%	34.9%	8.5%	2.5%	11.9M	-36.6M	-19.5M	1.39	4.59	16,351	22,664	426,508	430,623
2008-07-07	$169.82	$180.00	41.8%	11.7%	43.9%	38.4%	40.3%	8.9%	0.7%	-29.8M	1.13B	-17.7M	1.23	6.46	44,334	54,493	427,116	436,507
2008-07-08	$174.90	$180.00	38.5%	11.3%	44.2%	29.9%	41.4%	10.6%	0.6%	-6.2M	449.6M	-18.3M	0.84	5.02	66,899	56,438	437,757	434,614
2008-07-09	$169.02	$175.00	45.4%	12.4%	46.1%	42.0%	43.6%	9.4%	-1.0%	-23.8M	1.05B	-17.8M	1.11	6.10	44,813	49,958	442,556	439,241
2008-07-10	$170.16	$180.00	45.8%	13.1%	44.7%	42.7%	45.7%	12.2%	-1.4%	-21.0M	862.0M	-18.4M	1.50	6.29	42,574	63,789	446,512	444,474
2008-07-11	$162.48	$180.00	53.7%	15.4%	46.9%	59.0%	52.1%	13.4%	-4.1%	-38.3M	1.65B	-17.3M	0.70	5.25	83,322	58,402	451,461	450,452
2008-07-14	$158.67	$175.00	56.2%	16.1%	39.9%	64.3%	56.6%	15.5%	-4.5%	-44.2M	1.94B	-16.8M	0.77	4.22	53,978	41,328	466,184	461,231
2008-07-15	$157.80	$175.00	54.4%	15.6%	38.7%	60.6%	54.9%	15.7%	-2.6%	-46.0M	2.07B	-16.4M	1.51	4.56	40,772	61,643	476,176	463,173
2008-07-16	$172.86	$175.00	45.3%	13.0%	51.9%	41.8%	47.5%	15.2%	-0.3%	-2.6M	349.2M	-18.1M	1.09	4.31	101,791	110,885	485,352	470,249
2008-07-17	$181.24	$175.00	42.5%	12.2%	54.4%	36.0%	43.4%	12.6%	0.6%	45.2M	-801.3M	-19.5M	0.92	8.44	99,244	91,277	487,310	488,735
2008-07-18	$182.84	$175.00	37.3%	10.7%	53.8%	25.3%	39.5%	11.7%	2.1%	50.7M	-1.03B	-19.6M	0.86	6.46	40,396	34,882	492,718	507,073
2008-07-21	$180.78	$175.00	38.1%	10.9%	53.6%	27.0%	39.9%	9.9%	2.5%	12.8M	-222.4M	-18.6M	1.66	4.28	21,773	36,093	325,979	338,207
2008-07-22	$188.04	$180.00	34.6%	9.9%	54.4%	19.6%	37.7%	9.8%	2.5%	25.7M	-824.2M	-19.9M	0.98	6.60	34,382	33,563	332,709	349,611
2008-07-23	$187.87	$180.00	34.6%	9.9%	54.1%	19.7%	36.3%	9.1%	3.2%	29.0M	-876.6M	-20.0M	1.22	6.03	36,624	44,803	342,423	351,783
2008-07-24	$180.26	$180.00	40.7%	11.7%	56.1%	32.4%	40.0%	8.3%	2.4%	12.6M	-247.8M	-19.8M	1.15	8.85	31,606	36,503	348,938	367,332
2008-07-25	$178.66	$180.00	38.7%	11.1%	54.1%	28.2%	40.4%	9.2%	3.8%	11.6M	-114.8M	-19.8M	1.38	5.83	27,480	37,823	355,948	374,985
2008-07-28	$172.90	$180.00	43.6%	12.5%	55.3%	38.4%	45.0%	11.3%	3.2%	-596.3K	381.7M	-19.2M	1.69	4.53	30,676	51,733	358,747	380,848
2008-07-29	$181.63	$180.00	40.8%	11.7%	58.1%	32.5%	41.5%	10.2%	3.4%	13.6M	-319.9M	-20.5M	0.97	8.59	31,492	30,545	361,634	394,472
2008-07-30	$186.17	$180.00	39.5%	11.3%	58.6%	29.7%	41.4%	11.5%	3.4%	24.3M	-798.8M	-20.7M	1.15	7.48	21,775	25,022	366,286	397,893
2008-07-31	$184.04	$180.00	38.5%	11.0%	58.5%	27.8%	39.7%	8.9%	3.4%	17.5M	-498.6M	-20.7M	1.52	5.29	21,059	31,977	370,695	408,073