GS Options History — March 2009

In March 2009, GS traded between $73.95 and $112.95. ATM implied volatility averaged 85.2%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded below realized volatility by 15.9% (HV 20d: 101.0%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.06.

Notable Days

2009-03-13: Highest Volume — 210,444 contracts
2009-03-10: Largest IV drop — 15.1% change
2009-03-06: Highest IV Rank — 48.1%
2009-03-06: Largest Expected Move — 30.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.19	$73.95	$112.95	$86.27	$106.02
Max Pain	$90.68	$85.00	$95.00	$85.00	$95.00
ATM IV	85.2%	72.5%	109.4%	91.2%	77.4%
Expected Move	24.3%	20.8%	30.7%	26.1%	22.2%
HV 20d	101.0%	90.8%	112.6%	91.3%	102.2%
HV 60d	99.5%	95.2%	103.8%	96.0%	103.8%
IV Rank	33.5%	25.8%	48.1%	37.1%	28.8%
IV Percentile	71.0%	55.2%	87.7%	80.6%	62.3%
Term Structure	-3.2%	-11.1%	3.4%	1.6%	0.4%
VWIV	85.6%	75.7%	105.6%	89.9%	77.8%
Skew 25d	22.6%	14.3%	32.0%	22.5%	14.3%
Skew 10d	44.1%	27.7%	61.8%	45.5%	27.7%
Call IV 25d	73.0%	64.4%	88.4%	77.8%	69.6%
Put IV 25d	95.6%	83.9%	120.4%	100.2%	83.9%
Bid-Ask Spread %	6.08	4.14	10.33	5.41	4.22
Gamma HHI	0.10	0.06	0.19	0.08	0.07
Net GEX	12.8M	-7.8M	44.6M	2.3M	10.9M
Net DEX	-596.1M	-1.74B	697.9M	17.8M	-871.4M
Net VEX	-9.4M	-11.2M	-7.2M	-8.7M	-10.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.66	1.72	1.24	0.93
Total Volume	138,929.455	77,580	210,444	91,362	94,587
Total OI	1,006,839.955	835,745	1,157,001	927,617	995,578

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
2009-03-02	$86.27	$85.00	91.2%	26.1%	91.3%	37.1%	89.9%	22.5%	1.6%	2.3M	17.8M	-8.7M	1.24	5.41	40,705	50,657	389,012	538,605
2009-03-03	$82.37	$85.00	96.5%	27.7%	92.2%	40.3%	93.1%	25.6%	1.4%	-539.3K	217.1M	-8.4M	1.02	5.69	59,223	60,136	396,491	543,930
2009-03-04	$85.47	$85.00	87.4%	25.1%	93.1%	34.8%	87.0%	24.7%	3.4%	2.2M	73.5M	-8.6M	1.01	6.27	49,593	49,931	404,714	552,058
2009-03-05	$81.72	$85.00	98.5%	28.2%	91.7%	41.5%	96.7%	27.3%	2.4%	-489.2K	236.4M	-8.4M	1.09	5.39	53,974	58,855	412,416	556,328
2009-03-06	$75.65	$90.00	109.4%	30.7%	92.6%	48.1%	105.6%	32.0%	-11.1%	-5.2M	570.3M	-7.8M	1.24	10.33	67,810	84,059	420,905	560,690
2009-03-09	$73.95	$90.00	108.1%	29.3%	90.8%	47.3%	99.3%	31.1%	-10.2%	-7.8M	697.9M	-7.2M	1.12	5.44	46,639	52,428	430,059	570,408
2009-03-10	$85.28	$90.00	91.7%	26.4%	106.1%	37.4%	90.0%	25.8%	-7.8%	3.5M	2.9M	-8.3M	0.66	5.82	100,162	66,285	431,668	579,351
2009-03-11	$92.39	$90.00	86.4%	25.0%	106.8%	34.2%	89.2%	24.7%	-6.9%	14.8M	-529.3M	-8.9M	0.91	4.98	97,226	88,891	442,486	586,006
2009-03-12	$97.25	$90.00	81.3%	23.3%	107.0%	31.1%	85.0%	24.6%	-5.5%	23.4M	-943.9M	-9.2M	0.93	6.30	80,374	74,569	451,428	602,207
2009-03-13	$98.80	$90.00	76.3%	21.9%	107.1%	28.1%	80.8%	21.9%	-4.6%	25.9M	-1.07B	-9.4M	1.25	5.09	93,628	116,816	463,437	614,927
2009-03-16	$93.90	$90.00	82.7%	23.7%	108.7%	31.9%	84.4%	22.2%	-7.7%	16.5M	-540.6M	-8.8M	1.04	6.05	84,266	87,816	475,732	631,000
2009-03-17	$98.99	$90.00	74.8%	21.4%	101.0%	27.2%	79.5%	21.0%	-3.1%	31.3M	-1.04B	-9.3M	1.03	5.50	70,338	72,561	490,742	633,140
2009-03-18	$105.25	$90.00	75.0%	21.5%	102.4%	27.3%	79.3%	20.3%	-4.7%	44.6M	-1.74B	-9.5M	0.85	7.32	101,802	86,207	492,818	648,902
2009-03-19	$99.30	$90.00	82.1%	23.5%	105.3%	31.6%	85.2%	20.9%	-7.2%	29.1M	-1.09B	-9.3M	1.01	8.00	88,759	89,400	488,754	655,069
2009-03-20	$97.32	$90.00	89.8%	25.8%	105.4%	36.3%	87.8%	23.3%	-8.1%	18.2M	-833.1M	-9.4M	1.24	6.85	79,069	97,926	488,324	668,677
2009-03-23	$111.93	$95.00	77.8%	22.3%	112.6%	29.0%	80.0%	20.4%	-1.0%	12.2M	-1.18B	-9.8M	0.84	7.33	90,694	76,392	362,638	473,107
2009-03-24	$110.84	$95.00	78.1%	22.4%	101.3%	29.2%	77.1%	21.5%	-0.7%	12.1M	-1.14B	-10.1M	0.89	6.01	76,377	67,862	380,521	496,115
2009-03-25	$112.95	$95.00	72.5%	20.8%	100.2%	25.8%	76.3%	20.0%	0.5%	14.9M	-1.30B	-10.8M	1.09	6.81	70,955	76,996	403,268	518,392
2009-03-26	$111.99	$95.00	76.2%	21.8%	100.3%	28.0%	75.7%	19.8%	-0.4%	14.9M	-1.24B	-11.2M	1.11	6.47	38,667	42,781	417,649	532,492
2009-03-27	$108.08	$95.00	76.2%	21.9%	101.3%	28.1%	79.4%	17.9%	0.4%	11.9M	-979.0M	-11.2M	1.72	4.33	28,574	49,006	423,020	544,244
2009-03-30	$100.46	$95.00	84.1%	24.1%	103.0%	32.8%	84.0%	16.0%	-1.6%	5.9M	-426.8M	-10.5M	1.16	4.14	43,223	50,229	428,383	554,788
2009-03-31	$106.02	$95.00	77.4%	22.2%	102.2%	28.8%	77.8%	14.3%	0.4%	10.9M	-871.4M	-10.8M	0.93	4.22	49,060	45,527	434,908	560,670