GS Options History — January 2009

In January 2009, GS traded between $59.20 and $88.78. ATM implied volatility averaged 75.9%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 11.2% (HV 20d: 87.2%). Max pain ranged from $75.00 to $100.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.29.

Notable Days

2009-01-28: Highest Volume — 184,013 contracts
2009-01-20: Largest IV spike — 49.4% change
2009-01-20: Highest IV Rank — 51.7%
2009-01-20: Largest Expected Move — 33.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.74	$59.20	$88.78	$86.76	$80.73
Max Pain	$81.00	$75.00	$100.00	$100.00	$75.00
ATM IV	75.9%	59.5%	115.4%	61.1%	81.4%
Expected Move	21.7%	17.5%	33.1%	17.5%	23.3%
HV 20d	87.2%	52.1%	119.2%	74.8%	118.8%
HV 60d	111.9%	102.8%	120.7%	120.6%	116.9%
IV Rank	27.9%	18.0%	51.7%	18.9%	31.2%
IV Percentile	74.1%	65.5%	91.3%	68.7%	77.0%
Term Structure	2.8%	-9.7%	7.3%	1.5%	3.5%
VWIV	78.2%	61.5%	115.5%	61.5%	80.7%
Skew 25d	23.3%	13.7%	40.9%	13.7%	24.8%
Skew 10d	43.7%	24.1%	80.2%	24.1%	46.3%
Call IV 25d	64.7%	54.0%	93.8%	54.0%	68.0%
Put IV 25d	88.0%	67.7%	134.7%	67.7%	92.8%
Bid-Ask Spread %	4.76	3.37	6.58	4.03	5.18
Gamma HHI	0.11	0.07	0.17	0.16	0.08
Net GEX	481.5K	-7.3M	8.5M	7.3M	2.8M
Net DEX	626.9M	-184.5M	1.27B	654.1M	113.8M
Net VEX	-5.6M	-7.5M	-3.7M	-5.1M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.80	2.15	1.36	1.39
Total Volume	104,164.55	47,364	184,013	54,284	97,793
Total OI	947,837.05	505,867	1,206,290	1,092,419	841,697

Daily Data (20 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
2009-01-02	$86.76	$100.00	61.1%	17.5%	74.8%	18.9%	61.5%	13.7%	1.5%	7.3M	654.1M	-5.1M	1.36	4.03	23,031	31,253	589,825	502,594
2009-01-05	$88.78	$85.00	66.2%	18.0%	73.9%	22.0%	67.7%	18.9%	5.0%	8.5M	510.6M	-5.4M	0.84	6.58	60,940	51,383	592,502	504,230
2009-01-06	$88.71	$85.00	63.5%	18.3%	73.0%	20.4%	63.8%	18.9%	6.2%	8.5M	520.4M	-5.7M	1.17	4.56	41,277	48,271	601,068	518,213
2009-01-07	$84.50	$85.00	64.8%	18.9%	70.2%	21.2%	66.5%	18.0%	6.1%	4.5M	785.1M	-5.4M	1.17	5.23	21,785	25,579	604,149	526,202
2009-01-08	$85.41	$85.00	61.6%	19.0%	66.2%	19.2%	69.6%	17.4%	7.3%	6.1M	714.7M	-5.4M	1.55	5.47	29,204	45,266	605,343	527,097
2009-01-09	$83.92	$85.00	59.5%	19.1%	66.2%	18.0%	67.7%	17.2%	6.9%	3.4M	839.9M	-5.4M	1.33	5.64	24,547	32,768	607,835	537,050
2009-01-12	$77.67	$85.00	78.3%	20.2%	72.0%	29.3%	69.7%	17.7%	6.9%	-3.7M	1.14B	-4.8M	1.55	4.80	38,840	60,334	609,141	540,197
2009-01-13	$77.92	$85.00	71.5%	19.7%	70.8%	25.2%	72.4%	19.1%	7.1%	-5.2M	1.14B	-4.8M	1.07	4.79	58,469	62,295	614,133	543,151
2009-01-14	$75.69	$85.00	78.3%	21.9%	71.4%	29.3%	76.3%	18.6%	3.7%	-6.0M	1.14B	-4.6M	1.01	4.97	44,439	44,813	619,033	540,120
2009-01-15	$73.83	$80.00	78.1%	22.4%	53.9%	29.2%	82.3%	24.9%	1.9%	-7.3M	1.26B	-4.6M	1.35	4.53	65,367	88,290	623,467	554,011
2009-01-16	$73.05	$80.00	77.2%	22.1%	52.1%	28.7%	80.8%	25.8%	3.5%	-4.8M	1.27B	-4.7M	1.50	4.11	44,068	66,112	645,893	560,397
2009-01-20	$59.20	$80.00	115.4%	33.1%	89.3%	51.7%	115.5%	40.9%	-9.7%	-3.7M	591.4M	-3.7M	2.15	5.68	48,753	104,957	231,588	274,279
2009-01-21	$69.90	$75.00	90.2%	25.9%	110.0%	36.5%	100.0%	35.8%	-1.0%	-4.1M	506.5M	-4.8M	1.44	5.20	67,679	97,567	248,188	321,756
2009-01-22	$71.03	$75.00	92.1%	26.4%	109.2%	37.6%	92.2%	29.9%	-0.5%	-3.2M	417.3M	-5.6M	1.46	4.41	60,414	88,499	273,992	372,298
2009-01-23	$74.91	$75.00	83.0%	23.8%	110.8%	32.1%	87.8%	28.9%	1.5%	-2.0M	389.0M	-6.4M	1.14	4.42	40,542	46,410	296,076	421,875
2009-01-26	$74.20	$75.00	81.1%	23.3%	110.6%	31.0%	80.0%	25.9%	2.6%	-3.0M	436.2M	-6.4M	0.96	3.38	41,149	39,310	302,678	442,253
2009-01-27	$78.26	$75.00	72.3%	20.7%	112.3%	25.7%	76.6%	24.3%	3.3%	246.6K	265.1M	-6.7M	1.07	3.37	34,815	37,348	314,755	448,227
2009-01-28	$87.70	$75.00	69.9%	20.0%	119.2%	24.2%	74.5%	22.0%	-0.8%	6.4M	-184.5M	-7.3M	0.80	4.38	102,416	81,597	320,529	456,478
2009-01-29	$82.72	$75.00	73.4%	21.0%	118.9%	26.3%	78.6%	22.7%	0.9%	4.8M	23.5M	-7.5M	1.52	4.52	34,042	51,669	349,501	474,920
2009-01-30	$80.73	$75.00	81.4%	23.3%	118.8%	31.2%	80.7%	24.8%	3.5%	2.8M	113.8M	-7.5M	1.39	5.18	40,879	56,914	354,851	486,846