GS Options History — October 2008

In October 2008, GS traded between $88.80 and $134.50. ATM implied volatility averaged 99.2%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded below realized volatility by 34.5% (HV 20d: 133.7%). Max pain ranged from $110.00 to $150.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.17.

Notable Days

2008-10-10: Highest Volume — 246,580 contracts
2008-10-09: Largest IV spike — 54.5% change
2008-10-09: Highest IV Rank — 100.0%
2008-10-10: Largest Expected Move — 38.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.63	$88.80	$134.50	$134.50	$92.50
Max Pain	$124.57	$110.00	$150.00	$150.00	$110.00
ATM IV	99.2%	64.5%	195.3%	71.8%	102.8%
Expected Move	25.4%	18.5%	38.9%	20.6%	29.5%
HV 20d	133.7%	121.9%	159.5%	123.9%	130.0%
HV 60d	94.5%	80.0%	104.3%	80.3%	104.3%
IV Rank	46.8%	20.9%	100.0%	37.2%	44.1%
IV Percentile	95.8%	89.7%	100.0%	95.6%	95.2%
Term Structure	-7.1%	-26.0%	3.0%	-11.9%	1.0%
VWIV	90.4%	64.6%	138.7%	75.0%	102.9%
Skew 25d	32.1%	11.8%	63.5%	11.8%	35.1%
Skew 10d	69.3%	23.4%	157.9%	23.4%	73.8%
Call IV 25d	73.9%	50.0%	101.6%	69.4%	82.4%
Put IV 25d	106.0%	76.9%	165.2%	81.2%	117.5%
Bid-Ask Spread %	14.41	6.68	33.98	9.95	8.91
Gamma HHI	0.06	0.05	0.07	0.05	0.07
Net GEX	-9.1M	-16.9M	1.0M	-12.5M	-9.3M
Net DEX	1.95B	865.9M	2.97B	1.62B	1.57B
Net VEX	-11.0M	-14.7M	-8.4M	-14.7M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.78	1.77	0.86	0.88
Total Volume	113,983.609	40,185	246,580	68,611	84,244
Total OI	1,113,037.478	847,972	1,350,316	1,176,284	1,023,225

Daily Data (23 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
2008-10-01	$134.50	$150.00	71.8%	20.6%	123.9%	37.2%	75.0%	11.8%	-11.9%	-12.5M	1.62B	-14.7M	0.86	9.95	36,852	31,759	571,436	604,848
2008-10-02	$131.54	$150.00	78.3%	22.4%	123.5%	42.3%	79.3%	14.2%	-11.8%	-12.8M	1.85B	-14.5M	0.91	18.30	21,015	19,170	579,041	610,430
2008-10-03	$128.00	$150.00	75.7%	21.7%	123.3%	40.1%	78.0%	17.9%	-7.4%	-13.0M	2.03B	-13.8M	0.82	16.95	67,022	54,955	580,654	608,331
2008-10-06	$124.00	$130.00	87.7%	21.8%	121.9%	50.0%	80.0%	32.2%	-9.3%	-12.0M	1.90B	-13.9M	1.20	16.91	41,536	49,820	586,993	616,902
2008-10-07	$115.00	$130.00	110.6%	26.0%	123.3%	68.5%	89.4%	35.1%	-15.1%	-15.8M	2.62B	-12.2M	1.15	14.27	39,554	45,643	590,849	617,989
2008-10-08	$113.00	$130.00	102.9%	25.4%	123.2%	61.7%	93.4%	34.1%	-16.0%	-16.9M	2.75B	-11.4M	1.08	22.33	37,352	40,524	598,424	624,085
2008-10-09	$101.35	$130.00	159.0%	33.7%	127.3%	100.0%	107.3%	61.6%	-22.1%	-15.7M	2.97B	-10.4M	1.47	30.69	57,647	84,914	606,818	622,457
2008-10-10	$88.80	$125.00	195.3%	38.9%	133.2%	100.0%	138.7%	63.5%	-26.0%	-13.1M	2.76B	-9.5M	1.77	33.98	89,089	157,491	617,121	633,481
2008-10-13	$111.00	$120.00	132.4%	28.0%	154.5%	62.0%	96.8%	44.1%	-14.4%	-10.3M	2.42B	-11.3M	1.02	11.16	85,975	87,381	637,993	664,260
2008-10-14	$122.90	$120.00	94.2%	18.8%	159.5%	38.9%	71.8%	30.2%	-4.7%	-7.5M	1.93B	-11.8M	1.21	7.89	88,723	106,934	642,271	679,081
2008-10-15	$113.15	$120.00	113.6%	23.1%	153.0%	50.7%	81.5%	27.0%	-7.0%	-15.1M	2.61B	-10.9M	1.14	17.19	47,546	54,020	648,503	679,237
2008-10-16	$112.40	$120.00	85.5%	24.5%	151.5%	33.6%	84.1%	27.7%	-5.8%	-11.8M	2.61B	-11.0M	1.43	16.62	58,982	84,617	655,607	680,073
2008-10-17	$114.30	$120.00	72.9%	20.9%	135.7%	26.0%	76.0%	24.0%	-0.9%	-2.3M	2.51B	-10.9M	1.04	14.82	56,217	58,457	666,103	684,213
2008-10-20	$121.50	$120.00	64.5%	18.5%	135.3%	20.9%	64.6%	26.9%	-0.2%	1.0M	865.9M	-11.3M	1.12	10.24	37,528	42,174	432,904	415,068
2008-10-21	$121.35	$120.00	65.9%	18.9%	134.7%	21.8%	67.0%	23.8%	1.6%	-468.9K	1.15B	-11.2M	0.78	8.48	29,406	22,990	446,212	439,720
2008-10-22	$115.06	$120.00	71.7%	20.6%	133.8%	25.3%	73.8%	22.6%	3.0%	-1.9M	1.27B	-10.9M	1.49	11.14	24,475	36,425	455,929	443,549
2008-10-23	$108.58	$120.00	81.3%	23.3%	134.6%	31.1%	84.6%	29.3%	0.3%	-5.0M	1.46B	-10.5M	1.38	14.84	43,905	60,376	455,803	449,971
2008-10-24	$100.40	$120.00	96.6%	27.7%	136.1%	40.3%	100.1%	31.0%	-1.7%	-7.8M	1.65B	-9.3M	1.42	16.50	29,998	42,583	461,233	453,408
2008-10-27	$92.88	$120.00	108.8%	31.2%	131.0%	47.7%	111.4%	36.5%	-4.5%	-7.8M	1.70B	-8.4M	1.00	7.79	42,142	42,069	468,191	449,965
2008-10-28	$93.57	$120.00	103.3%	29.6%	128.5%	44.4%	108.6%	36.7%	-3.4%	-7.5M	1.58B	-8.4M	1.18	6.92	95,623	112,620	478,858	447,295
2008-10-29	$97.66	$110.00	92.9%	26.6%	128.1%	38.1%	102.4%	33.8%	-1.3%	-5.1M	1.44B	-9.1M	1.43	8.91	56,997	81,437	504,724	467,084
2008-10-30	$91.11	$110.00	114.9%	32.9%	129.5%	51.4%	111.9%	40.2%	-6.1%	-7.8M	1.54B	-8.7M	1.16	6.68	61,707	71,729	511,728	487,795
2008-10-31	$92.50	$110.00	102.8%	29.5%	130.0%	44.1%	102.9%	35.1%	1.0%	-9.3M	1.57B	-8.7M	0.88	8.91	44,821	39,423	519,874	503,351