GS Options History — May 2009

In May 2009, GS traded between $127.08 and $144.65. ATM implied volatility averaged 44.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 12.2% (HV 20d: 56.7%). Max pain ranged from $120.00 to $135.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2009-05-07: Highest Volume — 160,536 contracts
  • 2009-05-11: Largest IV spike — 27.0% change
  • 2009-05-11: Highest IV Rank — 11.4%
  • 2009-05-13: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$137.15$127.08$144.65$127.08$144.57
Max Pain$130.75$120.00$135.00$120.00$135.00
ATM IV44.5%38.4%48.7%44.7%39.9%
Expected Move12.9%11.4%14.1%12.8%11.4%
HV 20d56.7%47.9%71.4%69.3%50.4%
HV 60d82.6%76.0%87.6%87.6%76.0%
IV Rank8.1%4.6%11.4%9.0%4.6%
IV Percentile24.2%11.9%32.5%27.4%11.9%
Term Structure2.5%1.3%4.2%2.4%4.2%
VWIV45.5%40.5%49.8%43.8%40.5%
Skew 25d7.5%4.5%9.6%7.8%5.3%
Skew 10d13.9%8.2%18.0%15.3%8.2%
Call IV 25d41.4%37.5%45.6%40.3%37.5%
Put IV 25d48.9%42.8%53.5%48.2%42.8%
Bid-Ask Spread %5.083.276.425.803.82
Gamma HHI0.140.080.510.110.11
Net GEX36.0M19.1M70.8M30.5M29.0M
Net DEX-1.77B-2.48B-1.21B-1.33B-1.80B
Net VEX-11.8M-12.2M-11.4M-11.5M-12.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.551.471.200.98
Total Volume106,923.245,467160,53686,28863,747
Total OI823,949.2696,762938,159839,417779,546

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$127.08$120.0044.7%12.8%69.3%9.0%43.8%7.8%2.4%30.5M-1.33B-11.5M1.205.8039,23147,057398,695440,722
2009-05-04$134.16$125.0045.2%13.0%70.1%9.3%47.5%9.6%1.7%46.5M-2.00B-11.4M0.745.4272,46453,692399,768447,601
2009-05-05$135.20$125.0046.0%13.3%69.3%9.8%46.9%8.7%1.4%49.7M-2.11B-11.6M0.755.3155,15541,551409,233452,747
2009-05-06$139.22$125.0045.4%13.0%69.5%9.4%46.5%8.1%1.8%53.8M-2.48B-11.7M0.695.7290,99162,405407,200458,751
2009-05-07$133.73$130.0048.4%13.8%71.4%11.2%48.8%9.0%1.3%38.9M-1.88B-11.9M0.855.2086,77673,760409,851470,241
2009-05-08$139.59$130.0038.4%12.6%67.5%5.2%45.9%7.9%2.6%56.3M-2.46B-11.7M0.905.4767,96161,004416,504472,814
2009-05-11$135.78$130.0048.7%13.6%66.7%11.4%47.4%7.9%1.8%44.7M-2.06B-11.5M0.936.2356,03752,368417,977482,343
2009-05-12$135.41$130.0046.3%13.7%47.9%10.0%47.5%8.8%2.3%46.8M-2.02B-11.8M1.066.0567,95972,165427,681485,478
2009-05-13$129.26$130.0046.6%14.1%48.7%10.1%49.8%8.0%2.0%24.4M-1.35B-11.6M0.995.8368,86468,391428,734492,492
2009-05-14$133.60$130.0046.4%13.3%49.8%10.0%47.9%8.2%2.7%48.3M-1.88B-11.7M0.915.7073,72866,880435,236495,493
2009-05-15$134.40$130.0044.6%12.8%49.7%7.5%45.5%7.1%2.6%70.8M-1.87B-11.4M1.155.4163,10572,577433,206504,953
2009-05-18$143.15$130.0042.1%12.1%49.6%6.0%44.1%7.0%2.7%21.9M-1.78B-11.7M1.093.2748,94053,444311,425385,337
2009-05-19$141.15$135.0044.2%12.7%48.6%7.3%44.3%7.1%2.4%21.7M-1.71B-11.9M1.253.5335,45044,332323,404398,003
2009-05-20$136.44$135.0045.1%12.9%50.8%7.8%44.9%4.5%1.8%19.1M-1.38B-11.8M0.554.2979,33243,948330,865403,347
2009-05-21$137.16$135.0045.1%12.9%50.6%7.8%45.3%5.8%3.2%20.1M-1.26B-12.2M1.474.4035,89752,796323,133410,901
2009-05-22$136.35$135.0043.3%12.4%50.3%6.7%43.4%6.3%3.6%19.9M-1.21B-12.1M1.156.4221,11724,350326,986418,495
2009-05-26$142.05$135.0043.2%12.4%51.7%6.6%43.9%7.5%2.6%26.9M-1.61B-11.9M1.034.9726,43427,319330,003421,109
2009-05-27$140.01$135.0044.5%12.8%52.2%7.4%44.1%7.5%2.8%23.2M-1.47B-12.1M0.994.2750,85650,102329,966427,528
2009-05-28$144.65$135.0041.8%12.0%50.4%5.7%42.6%8.2%3.7%28.3M-1.80B-12.1M0.844.5235,96030,319336,233434,983
2009-05-29$144.57$135.0039.9%11.4%50.4%4.6%40.5%5.3%4.2%29.0M-1.80B-12.0M0.983.8232,23931,508339,898439,648