GS Options History — February 2009

In February 2009, GS traded between $80.07 and $97.89. ATM implied volatility averaged 81.2%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded below realized volatility by 28.0% (HV 20d: 109.2%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.16.

Notable Days

  • 2009-02-19: Highest Volume — 1,155,870 contracts
  • 2009-02-17: Largest IV spike — 18.7% change
  • 2009-02-23: Highest IV Rank — 40.6%
  • 2009-02-23: Largest Expected Move — 27.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.78$80.07$97.89$83.57$91.08
Max Pain$79.74$75.00$85.00$75.00$85.00
ATM IV81.2%68.6%96.9%85.7%80.4%
Expected Move23.3%20.9%27.8%24.6%23.1%
HV 20d109.2%84.3%129.1%119.0%89.4%
HV 60d109.4%95.3%116.3%116.3%95.3%
IV Rank31.1%23.4%40.6%33.8%30.6%
IV Percentile74.5%63.1%82.9%79.0%71.8%
Term Structure2.1%-1.4%5.8%0.5%5.8%
VWIV85.4%75.2%95.6%94.4%86.1%
Skew 25d23.9%18.3%28.4%28.4%18.3%
Skew 10d46.8%36.6%55.1%51.2%36.6%
Call IV 25d70.0%61.7%83.8%73.7%70.9%
Put IV 25d93.9%84.7%108.6%102.0%89.2%
Bid-Ask Spread %5.513.467.243.467.04
Gamma HHI0.100.070.160.090.08
Net GEX9.6M-2.9M27.4M5.3M6.0M
Net DEX-331.0M-979.6M325.9M-54.6M-246.1M
Net VEX-8.7M-9.3M-7.8M-7.9M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.072.091.572.09
Total Volume184,342.21174,2461,155,87082,74574,246
Total OI986,144.263853,0381,136,787853,038938,090

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$83.57$75.0085.7%24.6%119.0%33.8%94.4%28.4%0.5%5.3M-54.6M-7.9M1.573.4632,17550,570362,977490,061
2009-02-03$82.81$75.0082.1%23.5%118.7%31.6%88.9%25.6%0.8%4.4M10.7M-7.8M1.505.9733,66550,334368,880504,130
2009-02-04$87.97$75.0076.2%21.8%120.8%28.0%83.5%25.1%3.8%9.8M-320.3M-8.2M1.774.3760,416107,219378,355521,150
2009-02-05$92.85$75.0076.4%21.9%120.9%28.2%82.9%21.9%0.2%11.5M-591.3M-8.8M1.074.6890,78496,816382,258557,088
2009-02-06$96.57$80.0076.5%22.5%121.5%28.2%84.7%27.5%-1.4%16.3M-868.6M-8.9M0.753.8588,60266,800397,118568,128
2009-02-09$97.89$80.0077.3%20.9%121.2%28.7%81.2%25.3%0.2%17.8M-970.2M-8.9M1.224.2959,93273,376413,371587,934
2009-02-10$90.40$80.0080.6%22.7%121.4%30.7%79.8%26.9%1.9%11.7M-406.9M-8.6M0.976.3974,88172,708420,108597,152
2009-02-11$94.71$80.0068.6%21.7%122.2%23.4%82.3%24.7%1.9%20.0M-711.4M-9.0M0.725.1767,24248,671437,620606,288
2009-02-12$95.58$80.0078.7%22.6%121.3%29.6%86.4%25.1%2.2%26.6M-957.2M-9.3M1.145.8144,46250,858470,223616,481
2009-02-13$96.45$80.0074.0%21.2%120.6%26.7%75.2%23.0%3.0%27.4M-979.6M-9.1M1.036.7958,69560,379456,234622,067
2009-02-17$85.71$80.0087.8%25.2%129.1%35.1%88.3%26.9%-0.0%4.1M7.8M-8.5M1.414.6576,642107,940468,307635,952
2009-02-18$84.50$80.0086.3%24.7%100.8%34.1%89.8%25.9%1.6%993.6K89.5M-8.3M1.354.9078,185105,527473,724645,242
2009-02-19$86.01$80.0082.2%23.6%84.3%31.6%83.5%22.4%4.3%4.0M-38.6M-8.4M0.075.681,077,63278,238480,965655,822
2009-02-20$84.59$80.0086.3%24.7%84.8%34.1%92.0%23.7%2.7%3.3M251.4M-8.5M1.547.2493,216143,245456,931669,901
2009-02-23$80.07$80.0096.9%27.8%85.9%40.6%95.6%24.8%0.0%-2.9M325.9M-8.2M1.406.0533,58647,093348,839506,477
2009-02-24$92.98$80.0083.1%23.8%100.1%32.2%87.4%22.0%3.1%5.3M-347.2M-9.2M0.826.2360,00449,003357,965515,285
2009-02-25$89.92$85.0083.3%23.9%100.0%32.3%82.7%18.7%4.1%3.8M-172.3M-9.1M0.766.7259,02344,667368,980530,135
2009-02-26$92.15$85.0080.4%23.0%92.1%30.6%78.4%18.6%4.6%6.8M-309.3M-9.3M0.845.4846,61839,052386,315540,188
2009-02-27$91.08$85.0080.4%23.1%89.4%30.6%86.1%18.3%5.8%6.0M-246.1M-9.3M2.097.0423,99150,255391,248546,842