GS Options History — December 2008

In December 2008, GS traded between $65.00 and $84.39. ATM implied volatility averaged 94.4%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 26.2%. IV traded below realized volatility by 33.3% (HV 20d: 127.7%). Max pain ranged from $70.00 to $105.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.18.

Notable Days

2008-12-16: Highest Volume — 198,156 contracts
2008-12-11: Largest IV drop — 21.1% change
2008-12-01: Highest IV Rank — 66.2%
2008-12-01: Largest Expected Move — 40.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.93	$65.00	$84.39	$65.76	$84.39
Max Pain	$95.00	$70.00	$105.00	$75.00	$100.00
ATM IV	94.4%	64.4%	139.4%	139.4%	64.4%
Expected Move	26.2%	18.5%	40.0%	40.0%	18.5%
HV 20d	127.7%	76.5%	146.3%	146.3%	76.5%
HV 60d	126.3%	120.1%	133.7%	131.3%	121.2%
IV Rank	39.1%	20.9%	66.2%	66.2%	20.9%
IV Percentile	82.8%	69.4%	96.0%	96.0%	69.4%
Term Structure	-4.5%	-17.5%	2.4%	-14.3%	0.1%
VWIV	93.5%	67.5%	139.1%	136.1%	68.5%
Skew 25d	29.1%	16.4%	57.0%	56.5%	18.1%
Skew 10d	57.1%	31.1%	116.3%	116.3%	34.8%
Call IV 25d	76.7%	57.3%	110.9%	110.9%	57.5%
Put IV 25d	105.8%	74.7%	167.4%	167.4%	75.7%
Bid-Ask Spread %	5.87	3.13	9.38	7.52	3.25
Gamma HHI	0.11	0.07	0.38	0.09	0.12
Net GEX	202.4K	-5.9M	13.0M	-4.7M	4.8M
Net DEX	1.05B	540.6M	1.43B	1.30B	744.6M
Net VEX	-5.4M	-6.4M	-4.6M	-5.5M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.78	1.71	1.11	1.01
Total Volume	88,473.636	10,055	198,156	113,634	73,396
Total OI	1,221,251.545	1,053,203	1,401,265	1,162,150	1,076,223

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
2008-12-01	$65.76	$75.00	139.4%	40.0%	146.3%	66.2%	136.1%	56.5%	-14.3%	-4.7M	1.30B	-5.5M	1.11	7.52	53,922	59,712	594,472	567,678
2008-12-02	$65.00	$70.00	136.0%	39.0%	146.1%	64.2%	139.1%	57.0%	-13.9%	-4.8M	1.33B	-5.4M	1.06	6.51	70,644	74,862	603,173	577,276
2008-12-03	$68.95	$70.00	122.5%	35.1%	145.7%	56.0%	130.2%	48.5%	-15.7%	-3.5M	1.19B	-5.8M	1.54	5.43	41,377	63,910	628,571	588,101
2008-12-04	$67.53	$70.00	121.1%	34.7%	143.6%	55.2%	125.2%	47.2%	-17.5%	-4.2M	1.25B	-5.6M	1.18	8.13	26,247	30,938	636,174	600,017
2008-12-05	$70.72	$105.00	117.1%	28.4%	142.7%	52.7%	108.3%	38.2%	-6.5%	-3.1M	1.17B	-5.8M	1.19	7.11	32,678	38,825	639,693	602,365
2008-12-08	$77.15	$100.00	110.7%	28.0%	146.0%	48.9%	95.8%	32.0%	-8.6%	161.3K	852.6M	-6.4M	0.78	7.90	61,034	47,431	646,285	612,418
2008-12-09	$72.77	$100.00	110.8%	27.3%	144.0%	48.9%	101.7%	33.8%	-6.0%	-1.9M	1.09B	-5.8M	1.36	7.51	40,871	55,584	656,348	618,427
2008-12-10	$71.53	$100.00	117.7%	28.0%	143.0%	53.1%	93.7%	30.4%	-6.2%	-3.3M	1.18B	-5.6M	1.48	9.38	34,737	51,577	665,342	630,752
2008-12-11	$69.71	$100.00	92.8%	26.6%	137.5%	38.1%	92.3%	26.9%	-2.3%	-4.1M	1.27B	-5.3M	1.09	7.35	54,729	59,651	676,808	640,878
2008-12-12	$67.74	$100.00	91.1%	26.1%	136.8%	37.1%	95.8%	29.5%	-1.3%	-5.5M	1.38B	-5.1M	1.32	5.37	41,443	54,762	687,914	649,569
2008-12-15	$66.46	$100.00	103.1%	29.6%	135.9%	44.3%	105.0%	33.7%	-10.3%	-5.9M	1.43B	-4.8M	1.71	8.26	56,575	96,941	693,155	654,323
2008-12-16	$76.00	$100.00	82.5%	23.6%	141.5%	31.8%	84.2%	20.3%	0.6%	5.4M	843.4M	-5.5M	1.33	5.54	84,986	113,170	704,843	668,250
2008-12-17	$78.78	$100.00	79.7%	22.8%	141.7%	30.1%	82.0%	18.2%	-0.3%	9.2M	624.2M	-5.9M	0.91	5.86	65,354	59,242	713,826	683,787
2008-12-18	$80.05	$100.00	76.2%	21.9%	133.2%	28.1%	77.6%	19.4%	0.5%	11.2M	551.3M	-5.8M	1.12	4.94	36,292	40,741	712,042	686,802
2008-12-19	$80.73	$100.00	71.1%	20.4%	130.1%	24.9%	73.9%	19.3%	2.4%	13.0M	540.6M	-5.3M	0.93	6.92	61,104	56,732	711,925	689,340
2008-12-22	$77.00	$100.00	78.7%	22.6%	132.4%	29.5%	80.6%	22.9%	-2.3%	-89.7K	1.07B	-5.1M	1.36	4.70	22,916	31,281	570,012	483,595
2008-12-23	$75.20	$100.00	75.9%	21.8%	105.4%	27.9%	77.5%	19.2%	0.2%	-637.1K	1.10B	-4.9M	0.85	4.15	21,720	18,404	569,639	483,564
2008-12-24	$76.44	$100.00	73.2%	21.0%	103.3%	26.2%	73.5%	18.6%	0.8%	-179.9K	1.09B	-4.9M	1.39	3.38	4,208	5,847	572,039	488,949
2008-12-26	$75.97	$100.00	72.6%	20.8%	100.8%	25.8%	73.1%	16.8%	1.1%	-353.5K	1.10B	-4.7M	1.11	3.13	8,957	9,928	571,153	487,269
2008-12-29	$76.56	$100.00	73.6%	21.1%	100.2%	26.5%	75.8%	16.4%	-0.5%	103.7K	1.09B	-4.6M	1.45	3.59	11,791	17,066	572,273	489,450
2008-12-30	$82.06	$100.00	67.4%	19.3%	76.8%	22.7%	67.5%	17.5%	0.4%	2.8M	880.4M	-5.0M	0.79	3.22	30,715	24,120	574,442	488,372
2008-12-31	$84.39	$100.00	64.4%	18.5%	76.5%	20.9%	68.5%	18.1%	0.1%	4.8M	744.6M	-5.3M	1.01	3.25	36,497	36,899	583,238	492,985