GS Options History — August 2008

In August 2008, GS traded between $155.48 and $182.00. ATM implied volatility averaged 42.5%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 3.8% (HV 20d: 46.2%). Max pain ranged from $165.00 to $180.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2008-08-12: Highest Volume — 108,548 contracts
  • 2008-08-12: Largest IV spike — 27.6% change
  • 2008-08-12: Highest IV Rank — 46.3%
  • 2008-08-12: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.37$155.48$182.00$182.00$163.97
Max Pain$173.33$165.00$180.00$180.00$165.00
ATM IV42.5%35.8%47.5%39.4%41.7%
Expected Move12.6%11.3%13.8%11.3%12.0%
HV 20d46.2%32.8%58.7%58.7%37.7%
HV 60d45.2%43.0%46.8%43.0%46.5%
IV Rank35.9%22.1%46.3%29.5%34.4%
IV Percentile57.4%20.6%79.0%40.1%52.0%
Term Structure0.7%-1.0%4.4%4.4%0.5%
VWIV44.6%39.6%47.8%39.6%42.6%
Skew 25d8.6%5.9%11.9%6.9%7.3%
Skew 10d17.4%10.9%25.0%13.3%14.2%
Call IV 25d40.1%35.4%43.9%35.6%38.6%
Put IV 25d48.7%42.5%52.5%42.5%45.9%
Bid-Ask Spread %4.662.946.863.734.52
Gamma HHI0.090.060.200.060.07
Net GEX-29.6M-82.1M7.2M7.2M-25.3M
Net DEX1.08B-230.8M1.93B-230.8M994.0M
Net VEX-17.1M-20.9M-14.9M-20.9M-16.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.691.631.630.89
Total Volume57,958.28631,312108,54857,60244,205
Total OI812,397.143736,237887,065798,877825,634

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$182.00$180.0039.4%11.3%58.7%29.5%39.6%6.9%4.4%7.2M-230.8M-20.9M1.633.7321,86935,733376,136422,741
2008-08-04$177.86$180.0042.6%12.7%56.1%36.3%47.1%11.9%-0.3%-9.0M246.1M-19.9M1.462.9921,65731,539377,757429,727
2008-08-05$180.77$180.0039.5%12.1%55.4%29.8%44.1%11.4%0.2%-4.2M-25.6M-19.8M1.222.9421,97626,790378,591435,240
2008-08-06$179.55$180.0036.2%11.5%53.9%23.1%43.0%10.5%0.5%-4.6M69.3M-19.2M1.033.1220,43821,118380,821434,273
2008-08-07$172.33$180.0042.8%12.8%56.1%36.6%44.2%9.8%-0.3%-29.2M911.8M-18.3M1.075.7436,44239,126385,463440,152
2008-08-08$175.95$180.0035.8%12.1%53.6%22.1%43.6%11.8%0.5%-14.8M517.0M-18.6M1.175.3920,46023,988393,897436,421
2008-08-11$178.00$180.0037.2%12.6%52.7%25.1%44.8%10.1%-1.0%-2.3M266.5M-18.5M0.946.8636,54734,295392,937436,216
2008-08-12$167.30$180.0047.5%13.8%57.8%46.3%47.8%8.6%-0.7%-48.2M1.49B-17.2M1.305.4447,22561,323395,231446,074
2008-08-13$164.90$180.0039.3%13.5%47.7%29.3%47.3%9.2%0.4%-54.6M1.67B-17.2M1.275.9942,72954,464409,675460,389
2008-08-14$166.59$175.0045.1%12.9%44.3%41.4%44.4%9.8%0.5%-65.0M1.59B-17.1M0.975.3931,20530,342415,065471,142
2008-08-15$163.18$175.0043.3%12.4%44.4%37.7%44.0%8.3%1.2%-82.1M1.93B-16.4M1.105.0240,42044,368418,891468,174
2008-08-18$160.04$170.0046.9%13.4%44.6%45.1%47.5%9.2%1.0%-27.2M1.32B-16.1M1.344.9821,73029,161351,722384,515
2008-08-19$158.00$170.0046.7%13.4%41.3%44.8%47.6%9.0%-0.2%-31.2M1.53B-15.7M1.053.8225,47326,782355,124393,013
2008-08-20$158.25$170.0045.6%13.1%41.4%42.4%46.0%8.2%0.9%-30.6M1.43B-16.0M0.803.4725,83620,643363,695399,185
2008-08-21$156.42$170.0045.5%13.1%39.5%42.3%45.5%5.9%1.1%-33.2M1.58B-15.6M1.064.8336,30738,344369,219402,634
2008-08-22$159.81$165.0041.4%11.9%40.8%33.7%41.5%6.8%2.0%-30.8M1.37B-15.9M0.695.7826,34018,225377,354410,225
2008-08-25$155.71$165.0045.4%13.0%40.3%41.9%45.3%6.4%0.7%-33.8M1.59B-15.1M0.884.0817,01015,033381,391410,355
2008-08-26$155.91$165.0043.2%12.4%34.9%37.5%42.8%7.3%1.4%-37.7M1.65B-15.0M0.704.3523,00516,142385,055416,390
2008-08-27$155.48$165.0043.0%12.3%32.8%37.0%43.4%6.4%1.4%-37.1M1.66B-14.9M0.984.3415,83615,476392,178418,688
2008-08-28$161.83$165.0043.7%12.5%37.1%38.4%43.8%5.9%-0.4%-28.5M1.18B-15.9M1.055.0228,08629,436395,253423,697
2008-08-29$163.97$165.0041.7%12.0%37.7%34.4%42.6%7.3%0.5%-25.3M994.0M-16.2M0.894.5223,44020,765396,768428,866