GS Options History — September 2008

In September 2008, GS traded between $108.00 and $169.73. ATM implied volatility averaged 75.5%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 3.2% (HV 20d: 72.3%). Max pain ranged from $150.00 to $175.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2008-09-17: Highest Volume — 585,545 contracts
  • 2008-09-17: Largest IV spike — 74.1% change
  • 2008-09-15: Highest IV Rank — 100.0%
  • 2008-09-17: Largest Expected Move — 42.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.86$108.00$169.73$165.32$128.00
Max Pain$163.10$150.00$175.00$165.00$150.00
ATM IV75.5%44.5%148.6%46.0%75.0%
Expected Move21.3%12.8%42.6%13.2%21.5%
HV 20d72.3%37.2%122.2%37.4%122.2%
HV 60d58.9%45.3%79.8%45.8%79.8%
IV Rank60.1%28.1%100.0%43.3%40.2%
IV Percentile92.6%68.3%100.0%74.2%96.8%
Term Structure-12.4%-47.5%-1.3%-2.4%-7.4%
VWIV76.0%46.0%150.8%46.3%78.5%
Skew 25d25.3%7.5%86.0%8.3%15.6%
Skew 10d49.7%13.5%154.7%15.8%32.3%
Call IV 25d63.6%39.8%119.0%41.9%70.9%
Put IV 25d88.9%49.5%205.0%50.2%86.4%
Bid-Ask Spread %15.214.7231.275.3130.97
Gamma HHI0.060.040.080.070.05
Net GEX-26.4M-47.2M-9.7M-23.5M-15.8M
Net DEX1.91B446.5M3.96B870.4M2.03B
Net VEX-14.3M-16.3M-10.3M-16.1M-13.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.672.800.671.12
Total Volume157,497.33334,745585,54537,49065,773
Total OI1,008,209.619837,2251,297,371837,2251,164,211

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$165.32$165.0046.0%13.2%37.4%43.3%46.3%8.3%-2.4%-23.5M870.4M-16.1M0.675.3122,48715,003401,072436,153
2008-09-03$167.61$165.0044.5%12.8%37.2%40.1%47.0%8.4%-2.2%-18.8M658.9M-16.3M0.774.7219,60115,144401,137438,196
2008-09-04$160.90$165.0050.3%14.4%39.5%52.1%49.6%7.5%-3.4%-33.7M1.35B-15.5M0.954.8521,50020,440403,972440,881
2008-09-05$163.24$175.0047.2%12.8%37.7%45.7%46.0%9.2%-1.3%-28.5M1.05B-15.8M0.948.3519,65618,534407,335445,722
2008-09-08$169.73$170.0049.8%13.0%39.7%51.0%46.3%11.5%-3.2%-12.3M446.5M-16.3M1.158.1941,35247,418413,368446,808
2008-09-09$161.67$170.0059.8%14.1%42.7%71.7%51.1%10.5%-4.4%-32.9M1.26B-15.4M2.808.4320,77258,158415,083455,018
2008-09-10$157.59$170.0058.8%14.0%37.9%69.6%49.4%11.4%-3.9%-44.2M1.68B-14.7M2.019.7433,25866,734417,613463,621
2008-09-11$157.03$170.0052.9%15.2%37.7%57.4%54.0%12.9%-4.2%-38.2M1.45B-15.4M1.5712.9557,68190,342423,521469,149
2008-09-12$154.21$170.0056.3%16.2%37.8%64.6%58.1%11.6%-7.7%-43.3M1.85B-15.2M1.209.0238,09645,873439,097493,296
2008-09-15$135.50$170.0083.9%24.0%58.3%100.0%77.5%32.1%-18.3%-39.9M2.89B-12.7M1.6012.49158,205253,848445,625488,262
2008-09-16$133.01$165.0085.4%24.5%58.3%100.0%92.6%45.9%-23.1%-47.2M3.33B-13.6M1.448.30139,957201,895484,754573,886
2008-09-17$114.50$165.00148.6%42.6%76.8%100.0%150.8%86.0%-41.9%-33.0M3.96B-10.3M1.2830.43256,315329,230516,496606,214
2008-09-18$108.00$160.00138.6%39.7%77.9%91.9%145.3%63.3%-47.5%-25.0M3.50B-11.3M1.0528.86196,502205,505580,260655,277
2008-09-19$129.80$160.00101.1%29.0%106.1%61.6%106.0%44.3%-25.4%-20.5M2.57B-14.1M0.6831.27130,68989,375624,862672,509
2008-09-22$120.78$160.00104.6%30.0%107.7%64.4%103.7%37.5%-19.0%-18.4M2.38B-12.2M1.0417.6748,38250,498484,964543,183
2008-09-23$125.05$160.0089.5%25.7%109.0%52.2%97.1%35.9%-6.6%-19.1M2.31B-13.0M0.9521.3944,14641,729501,816550,510
2008-09-24$133.00$155.0072.7%20.9%111.9%38.6%75.3%15.2%-9.0%-18.1M1.93B-13.1M0.9715.0382,55179,877507,278545,605
2008-09-25$135.50$155.0060.2%17.3%112.3%28.5%63.4%13.9%-4.5%-17.0M1.65B-14.0M1.049.0252,61754,657536,261578,396
2008-09-26$137.99$155.0059.8%17.1%111.4%28.1%64.7%14.7%-7.2%-16.2M1.49B-14.9M0.8012.7541,91933,385549,498594,768
2008-09-29$120.70$150.00101.5%29.1%119.6%61.9%93.2%36.6%-18.6%-9.7M1.50B-15.8M0.9029.6651,72446,616558,841597,884
2008-09-30$128.00$150.0075.0%21.5%122.2%40.2%78.5%15.6%-7.4%-15.8M2.03B-13.8M1.1230.9730,98834,785564,661599,550