GS Options History — June 2009

In June 2009, GS traded between $137.01 and $149.47. ATM implied volatility averaged 41.6%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 2.5% (HV 20d: 39.1%). Max pain ranged from $120.00 to $135.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.10.

Notable Days

2009-06-17: Highest Volume — 130,886 contracts
2009-06-22: Largest IV spike — 16.5% change
2009-06-17: Highest IV Rank — 8.8%
2009-06-17: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$144.78	$137.01	$149.47	$144.33	$147.44
Max Pain	$126.82	$120.00	$135.00	$135.00	$130.00
ATM IV	41.6%	36.3%	46.7%	41.8%	39.1%
Expected Move	12.2%	10.4%	13.4%	12.0%	11.2%
HV 20d	39.1%	32.4%	50.1%	50.1%	34.1%
HV 60d	61.3%	51.7%	75.2%	75.2%	51.7%
IV Rank	5.5%	1.3%	8.8%	5.8%	3.0%
IV Percentile	15.3%	2.8%	32.1%	15.5%	7.5%
Term Structure	0.4%	-2.4%	4.3%	3.1%	0.6%
VWIV	43.3%	36.3%	48.0%	42.5%	39.1%
Skew 25d	6.6%	4.6%	8.6%	6.5%	4.9%
Skew 10d	13.0%	9.7%	17.5%	11.8%	9.7%
Call IV 25d	39.5%	33.2%	43.6%	38.8%	36.3%
Put IV 25d	46.1%	38.8%	50.9%	45.4%	41.2%
Bid-Ask Spread %	3.40	2.07	4.70	4.70	2.07
Gamma HHI	0.13	0.10	0.16	0.11	0.13
Net GEX	28.9M	-13.7M	44.0M	31.0M	38.0M
Net DEX	-1.74B	-2.29B	-1.05B	-1.84B	-1.82B
Net VEX	-11.4M	-12.4M	-10.6M	-11.8M	-11.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.75	1.47	0.80	1.39
Total Volume	77,314.864	51,130	130,886	88,617	56,321
Total OI	838,191.727	731,133	913,159	791,064	808,772

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
2009-06-01	$144.33	$135.00	41.8%	12.0%	50.1%	5.8%	42.5%	6.5%	3.1%	31.0M	-1.84B	-11.8M	0.80	4.70	49,183	39,434	347,395	443,669
2009-06-02	$143.13	$135.00	44.3%	12.7%	47.0%	7.3%	46.1%	7.0%	2.4%	27.9M	-1.70B	-12.0M	1.20	3.36	35,965	43,053	351,934	447,451
2009-06-03	$142.15	$135.00	44.4%	12.7%	47.1%	7.3%	43.7%	6.4%	3.6%	26.3M	-1.65B	-12.1M	1.13	2.79	32,556	36,812	360,384	457,591
2009-06-04	$149.47	$135.00	40.8%	11.7%	49.2%	5.2%	43.3%	8.0%	4.3%	44.0M	-2.29B	-12.2M	1.06	3.51	62,351	65,861	372,513	464,172
2009-06-05	$149.01	$120.00	40.0%	12.9%	46.5%	4.6%	45.4%	8.2%	-1.2%	38.1M	-2.24B	-12.4M	0.94	4.33	44,010	41,290	374,456	475,504
2009-06-08	$148.35	$120.00	41.5%	13.3%	44.4%	5.6%	48.0%	8.2%	-2.4%	37.1M	-2.13B	-12.1M	1.47	4.42	27,159	39,915	376,353	482,738
2009-06-09	$149.31	$120.00	38.9%	12.6%	42.9%	4.0%	45.4%	7.7%	-1.3%	40.4M	-2.22B	-11.9M	1.11	3.99	35,697	39,586	378,434	491,026
2009-06-10	$146.68	$120.00	42.3%	13.0%	43.6%	6.1%	46.1%	6.9%	-2.1%	32.7M	-1.96B	-11.9M	1.29	4.16	37,416	48,303	382,049	498,124
2009-06-11	$145.15	$125.00	44.0%	12.6%	39.8%	7.1%	44.0%	6.6%	-1.4%	29.9M	-1.80B	-11.7M	0.95	3.28	43,656	41,504	385,190	503,532
2009-06-12	$145.64	$125.00	42.4%	12.2%	38.5%	6.1%	42.6%	6.0%	-0.3%	31.3M	-1.82B	-11.5M	0.75	3.48	31,912	23,986	387,197	506,214
2009-06-15	$143.01	$125.00	44.1%	12.6%	39.3%	7.2%	44.5%	6.8%	-1.0%	20.5M	-1.58B	-11.2M	0.81	3.32	41,043	33,167	388,224	507,933
2009-06-16	$144.16	$125.00	44.4%	12.7%	32.4%	7.4%	46.6%	8.6%	-1.0%	27.6M	-1.67B	-11.3M	1.34	3.85	39,823	53,370	392,608	508,563
2009-06-17	$139.73	$125.00	46.7%	13.4%	33.9%	8.8%	47.1%	7.2%	-1.9%	-13.7M	-1.09B	-11.2M	1.19	3.10	59,665	71,221	393,278	518,254
2009-06-18	$143.09	$125.00	42.4%	12.2%	32.5%	6.1%	44.2%	7.5%	0.5%	22.8M	-1.59B	-11.0M	1.30	3.75	36,018	46,976	397,147	516,012
2009-06-19	$143.13	$125.00	38.9%	11.1%	32.5%	4.0%	40.3%	6.4%	2.1%	26.3M	-1.64B	-10.6M	1.08	3.87	32,521	35,268	393,040	517,427
2009-06-22	$137.01	$125.00	45.3%	13.0%	36.3%	7.9%	45.2%	4.6%	-1.5%	16.7M	-1.05B	-10.6M	1.35	3.02	33,539	45,163	319,760	411,373
2009-06-23	$141.19	$125.00	43.3%	12.4%	34.9%	6.6%	44.1%	5.8%	-0.3%	22.2M	-1.31B	-11.1M	1.22	2.79	25,993	31,587	332,123	423,566
2009-06-24	$142.65	$125.00	39.4%	11.3%	34.6%	4.2%	40.9%	5.8%	1.2%	25.0M	-1.43B	-11.0M	1.26	2.79	28,848	36,294	334,250	431,069
2009-06-25	$144.43	$130.00	37.1%	10.6%	32.9%	2.8%	38.2%	5.5%	2.1%	30.8M	-1.57B	-11.0M	0.92	3.26	26,638	24,492	340,219	436,418
2009-06-26	$146.74	$130.00	36.3%	10.4%	33.4%	1.3%	36.3%	5.7%	2.8%	37.8M	-1.81B	-11.1M	0.85	2.47	35,136	29,737	345,199	440,052
2009-06-29	$149.36	$130.00	37.7%	10.8%	33.9%	2.2%	38.3%	5.7%	0.5%	43.0M	-2.03B	-11.0M	0.85	2.46	31,638	26,820	352,182	446,823
2009-06-30	$147.44	$130.00	39.1%	11.2%	34.1%	3.0%	39.1%	4.9%	0.6%	38.0M	-1.82B	-11.0M	1.39	2.07	23,577	32,744	356,844	451,928