GS Options History — November 2008

In November 2008, GS traded between $52.00 and $95.00. ATM implied volatility averaged 126.8%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 36.0%. IV traded above realized volatility by 18.1% (HV 20d: 108.7%). Max pain ranged from $70.00 to $105.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.13.

Notable Days

2008-11-10: Highest Volume — 215,903 contracts
2008-11-10: Largest IV spike — 26.9% change
2008-11-20: Highest IV Rank — 95.8%
2008-11-20: Largest Expected Move — 54.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.53	$52.00	$95.00	$89.09	$78.99
Max Pain	$86.58	$70.00	$105.00	$105.00	$75.00
ATM IV	126.8%	87.6%	188.4%	101.4%	103.4%
Expected Move	36.0%	25.1%	54.0%	29.1%	29.6%
HV 20d	108.7%	84.7%	133.7%	130.1%	132.7%
HV 60d	112.9%	104.2%	126.6%	104.2%	126.6%
IV Rank	58.6%	34.9%	95.8%	43.3%	44.5%
IV Percentile	96.0%	87.7%	99.6%	94.4%	90.5%
Term Structure	-7.5%	-24.9%	6.1%	4.1%	-3.1%
VWIV	127.0%	90.3%	183.1%	105.3%	110.3%
Skew 25d	43.9%	27.0%	77.6%	35.1%	33.8%
Skew 10d	91.8%	56.9%	164.8%	77.3%	67.2%
Call IV 25d	101.7%	74.4%	137.8%	86.6%	90.1%
Put IV 25d	145.6%	105.9%	215.5%	121.7%	123.9%
Bid-Ask Spread %	8.53	5.84	15.48	7.22	9.43
Gamma HHI	0.09	0.07	0.13	0.07	0.07
Net GEX	-8.6M	-12.0M	-1.9M	-9.4M	-1.9M
Net DEX	1.67B	938.6M	2.01B	1.61B	938.6M
Net VEX	-6.1M	-8.7M	-4.2M	-8.4M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.73	1.90	1.27	1.10
Total Volume	129,422.842	41,329	215,903	76,882	41,329
Total OI	1,185,654.211	1,042,605	1,383,082	1,042,605	1,148,533

Daily Data (19 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
2008-11-03	$89.09	$105.00	101.4%	29.1%	130.1%	43.3%	105.3%	35.1%	4.1%	-9.4M	1.61B	-8.4M	1.27	7.22	33,866	43,016	531,069	511,536
2008-11-04	$95.00	$105.00	87.6%	25.1%	131.2%	34.9%	90.3%	31.5%	6.1%	-8.0M	1.51B	-8.7M	0.74	6.29	40,024	29,620	538,677	515,893
2008-11-05	$87.43	$105.00	102.2%	29.3%	133.7%	43.7%	104.2%	27.0%	4.0%	-10.1M	1.68B	-7.9M	1.23	7.42	23,836	29,304	545,435	520,998
2008-11-06	$80.72	$105.00	112.5%	32.2%	131.3%	49.9%	112.6%	34.6%	1.5%	-12.0M	1.85B	-7.0M	1.90	9.23	42,062	79,788	547,118	527,846
2008-11-07	$77.78	$95.00	110.0%	32.4%	123.9%	48.5%	120.8%	38.7%	-10.8%	-12.0M	1.89B	-6.6M	1.01	10.48	81,185	82,063	555,506	533,172
2008-11-10	$71.21	$95.00	139.6%	35.2%	92.6%	66.4%	117.3%	40.9%	-12.1%	-11.9M	2.01B	-5.7M	1.02	7.71	106,775	109,128	582,246	550,864
2008-11-11	$74.68	$85.00	125.8%	34.0%	84.7%	58.0%	119.9%	42.3%	-14.5%	-9.0M	1.83B	-6.4M	1.25	7.80	86,849	108,190	624,314	568,412
2008-11-12	$66.79	$85.00	143.1%	39.7%	87.9%	68.5%	138.6%	47.4%	-18.6%	-9.9M	1.92B	-5.5M	1.10	5.88	70,576	77,477	638,990	583,526
2008-11-13	$69.99	$85.00	127.1%	36.4%	91.4%	58.8%	139.7%	49.6%	-12.4%	-9.2M	1.84B	-5.9M	1.34	8.68	84,179	113,134	653,955	590,316
2008-11-14	$66.73	$85.00	133.1%	38.2%	90.5%	62.4%	127.2%	47.5%	-12.8%	-10.0M	1.89B	-5.6M	0.94	5.99	49,815	46,935	669,919	609,040
2008-11-17	$62.49	$85.00	142.5%	40.9%	85.2%	68.1%	137.6%	46.1%	-14.5%	-11.4M	1.94B	-4.9M	1.08	6.95	37,907	40,916	675,545	620,017
2008-11-18	$62.03	$80.00	141.2%	40.5%	84.9%	67.3%	134.1%	50.9%	-9.9%	-11.9M	1.94B	-4.8M	1.22	5.84	51,103	62,261	681,485	622,923
2008-11-19	$55.18	$80.00	159.5%	45.7%	89.7%	78.4%	167.0%	55.6%	-14.7%	-10.4M	1.88B	-4.3M	1.16	15.48	67,690	78,246	685,471	622,275
2008-11-20	$52.00	$80.00	188.4%	54.0%	89.8%	95.8%	183.1%	77.6%	-24.9%	-9.0M	1.83B	-4.2M	1.26	11.62	93,493	117,734	708,079	638,608
2008-11-21	$53.31	$80.00	152.6%	43.7%	90.9%	74.2%	163.4%	59.4%	-5.5%	-6.1M	1.80B	-4.5M	1.29	10.66	72,397	93,518	726,038	657,044
2008-11-24	$67.42	$75.00	130.0%	37.3%	129.4%	60.6%	127.6%	46.3%	-6.2%	-5.0M	1.24B	-5.9M	0.73	8.22	90,185	66,071	548,940	532,067
2008-11-25	$71.78	$70.00	110.6%	31.7%	132.2%	48.8%	113.4%	41.0%	0.9%	-3.8M	1.17B	-6.4M	1.08	7.94	51,967	56,252	573,573	554,864
2008-11-26	$76.50	$70.00	99.0%	28.4%	133.6%	41.8%	100.5%	29.2%	0.3%	-3.0M	1.03B	-6.5M	0.74	9.20	57,468	42,675	578,129	555,007
2008-11-28	$78.99	$75.00	103.4%	29.6%	132.7%	44.5%	110.3%	33.8%	-3.1%	-1.9M	938.6M	-6.9M	1.10	9.43	19,724	21,605	588,612	559,921