GS Options History — April 2009

In April 2009, GS traded between $110.29 and $130.15. ATM implied volatility averaged 63.2%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 21.6% (HV 20d: 84.8%). Max pain ranged from $95.00 to $120.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2009-04-14: Highest Volume — 396,807 contracts
2009-04-09: Largest IV drop — 15.5% change
2009-04-07: Highest IV Rank — 28.7%
2009-04-01: Largest Expected Move — 22.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.06	$110.29	$130.15	$110.29	$128.50
Max Pain	$112.14	$95.00	$120.00	$95.00	$120.00
ATM IV	63.2%	44.5%	77.3%	77.1%	44.5%
Expected Move	17.8%	12.7%	22.1%	22.1%	12.7%
HV 20d	84.8%	69.8%	102.3%	102.3%	69.8%
HV 60d	97.3%	88.0%	107.3%	104.0%	88.2%
IV Rank	20.2%	8.9%	28.7%	28.6%	8.9%
IV Percentile	45.0%	27.0%	61.9%	61.1%	27.0%
Term Structure	-0.4%	-6.2%	3.5%	0.9%	3.5%
VWIV	62.7%	45.7%	78.2%	78.2%	45.7%
Skew 25d	11.5%	7.5%	17.4%	14.2%	7.5%
Skew 10d	21.5%	14.1%	33.1%	29.1%	14.1%
Call IV 25d	56.4%	42.4%	69.6%	69.6%	42.4%
Put IV 25d	67.9%	49.9%	83.8%	83.8%	49.9%
Bid-Ask Spread %	5.14	3.70	7.04	3.82	4.26
Gamma HHI	0.12	0.06	0.64	0.07	0.10
Net GEX	27.7M	8.9M	92.3M	15.4M	29.7M
Net DEX	-1.56B	-3.33B	-588.1M	-1.21B	-1.43B
Net VEX	-11.5M	-12.1M	-10.5M	-11.4M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.63	1.30	1.05	0.92
Total Volume	139,397.905	53,879	396,807	102,870	87,052
Total OI	984,605.143	678,975	1,294,478	1,020,241	826,656

Daily Data (21 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
2009-04-01	$110.29	$95.00	77.1%	22.1%	102.3%	28.6%	78.2%	14.2%	0.9%	15.4M	-1.21B	-11.4M	1.05	3.82	50,232	52,638	447,818	572,423
2009-04-02	$114.22	$95.00	74.5%	21.3%	100.3%	27.0%	75.5%	16.7%	-2.9%	20.4M	-1.51B	-11.5M	0.87	4.31	68,809	60,126	457,397	580,055
2009-04-03	$119.40	$110.00	67.3%	18.8%	94.3%	22.7%	70.9%	17.4%	-0.6%	27.3M	-2.00B	-11.8M	1.30	5.55	50,620	65,823	468,887	591,726
2009-04-06	$116.65	$110.00	76.3%	20.0%	94.3%	28.1%	68.7%	16.1%	-1.6%	25.3M	-1.77B	-11.7M	1.22	5.69	41,753	50,851	480,711	607,564
2009-04-07	$116.08	$110.00	77.3%	20.1%	83.4%	28.7%	69.2%	14.2%	-0.5%	24.5M	-1.74B	-11.7M	1.00	7.04	56,156	56,387	483,918	613,507
2009-04-08	$114.75	$110.00	74.6%	19.8%	80.2%	27.1%	69.1%	13.1%	-1.5%	25.2M	-1.61B	-11.6M	0.64	5.85	62,524	39,970	498,091	622,358
2009-04-09	$124.33	$110.00	63.0%	18.1%	82.8%	20.1%	65.0%	11.8%	-1.1%	40.8M	-2.72B	-11.8M	0.73	5.79	84,921	62,313	510,930	622,969
2009-04-13	$130.15	$115.00	72.7%	20.9%	83.6%	25.9%	73.7%	10.4%	-6.2%	41.4M	-3.33B	-11.9M	0.65	4.05	223,419	145,940	517,201	628,944
2009-04-14	$115.11	$115.00	70.2%	20.1%	94.2%	24.4%	68.7%	9.1%	-1.8%	20.0M	-1.52B	-11.4M	0.78	5.57	222,308	174,499	568,892	674,136
2009-04-15	$121.19	$115.00	63.1%	18.1%	94.1%	20.2%	63.4%	8.6%	0.2%	40.2M	-2.20B	-12.1M	0.63	4.81	136,601	86,214	596,844	697,634
2009-04-16	$121.19	$115.00	59.5%	17.1%	92.2%	18.0%	59.5%	8.1%	0.8%	47.6M	-2.15B	-11.2M	0.66	6.32	95,361	62,641	586,196	680,960
2009-04-17	$120.60	$115.00	56.5%	16.2%	89.1%	16.1%	56.9%	9.4%	0.5%	92.3M	-2.17B	-10.7M	0.76	6.53	88,741	67,262	589,269	681,847
2009-04-20	$115.01	$115.00	62.2%	17.8%	90.8%	19.6%	62.5%	12.4%	-1.4%	8.9M	-588.1M	-10.5M	1.15	5.83	45,834	52,844	324,722	354,253
2009-04-21	$120.36	$115.00	58.4%	16.7%	78.0%	17.3%	59.4%	13.7%	0.1%	13.2M	-882.9M	-11.2M	1.05	4.27	59,238	62,035	339,617	370,713
2009-04-22	$120.49	$115.00	58.4%	16.7%	77.8%	17.3%	57.6%	11.6%	-1.1%	14.9M	-893.9M	-11.4M	0.98	6.16	69,964	68,258	353,191	385,031
2009-04-23	$122.81	$115.00	54.1%	15.5%	77.8%	14.7%	56.8%	10.2%	0.4%	17.9M	-1.03B	-11.6M	1.26	5.11	28,691	36,119	364,237	398,023
2009-04-24	$121.30	$115.00	55.7%	16.0%	77.9%	15.7%	55.4%	10.5%	0.4%	16.4M	-961.8M	-11.5M	1.24	4.28	41,287	51,398	366,205	405,933
2009-04-27	$120.90	$115.00	57.4%	16.5%	76.6%	16.7%	57.5%	9.9%	-0.6%	15.5M	-884.6M	-11.6M	0.96	4.19	33,745	32,379	373,613	416,867
2009-04-28	$120.67	$115.00	54.3%	15.6%	70.8%	14.8%	54.6%	8.6%	1.2%	15.9M	-868.1M	-11.6M	1.11	4.80	25,579	28,300	382,010	420,801
2009-04-29	$127.18	$115.00	49.5%	14.2%	70.7%	11.9%	49.4%	8.7%	1.8%	28.5M	-1.38B	-11.8M	0.86	3.70	53,055	45,469	387,072	427,487
2009-04-30	$128.50	$120.00	44.5%	12.7%	69.8%	8.9%	45.7%	7.5%	3.5%	29.7M	-1.43B	-11.6M	0.92	4.26	45,372	41,680	391,231	435,425