GS Options History — July 2009 In July 2009, GS traded between $138.55 and $165.45. ATM implied volatility averaged 38.3%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.6% (HV 20d: 35.8%). Max pain ranged from $130.00 to $150.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.03.
Notable Days 2009-07-13 : Highest Volume — 244,675 contracts2009-07-14 : Largest IV drop — 37.5% change2009-07-13 : Highest IV Rank — 14.0%2009-07-10 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $154.16 $138.55 $165.45 $147.32 $163.30 Max Pain $144.77 $130.00 $150.00 $130.00 $150.00 ATM IV 38.3% 27.2% 57.0% 40.2% 27.2% Expected Move 10.6% 7.8% 14.1% 11.5% 7.8% HV 20d 35.8% 30.2% 41.5% 34.0% 34.0% HV 60d 42.9% 38.4% 51.8% 51.4% 38.4% IV Rank 4.1% 0.0% 14.0% 3.7% 0.0% IV Percentile 11.4% 0.0% 38.9% 10.7% 0.0% Term Structure 1.6% -2.0% 4.3% -0.7% 4.3% VWIV 37.9% 28.1% 50.6% 40.0% 28.1% Skew 25d 5.2% 3.1% 8.6% 4.7% 3.4% Skew 10d 9.8% 5.2% 16.7% 10.0% 6.8% Call IV 25d 34.7% 26.2% 45.2% 37.6% 26.2% Put IV 25d 39.9% 29.6% 53.7% 42.3% 29.6% Bid-Ask Spread % 4.49 2.42 6.76 2.42 3.17 Gamma HHI 0.12 0.08 0.25 0.13 0.12 Net GEX 38.1M 10.4M 99.8M 35.4M 35.0M Net DEX -1.89B -3.21B -979.5M -1.79B -1.85B Net VEX -10.9M -11.6M -10.3M -11.2M -10.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.67 1.50 1.06 0.81 Total Volume 90,791.955 39,528 244,675 43,939 39,528 Total OI 792,228.227 597,865 999,678 819,869 710,158
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 2009-07-01 $147.32 $130.00 40.2% 11.5% 34.0% 3.7% 40.0% 4.7% -0.7% 35.4M -1.79B -11.2M 1.06 2.42 21,378 22,561 358,079 461,790 2009-07-02 $143.49 $130.00 41.6% 11.9% 30.2% 4.6% 42.2% 3.1% -2.0% 27.5M -1.49B -10.8M 1.12 2.53 24,706 27,615 360,099 465,592 2009-07-06 $146.46 $145.00 47.7% 12.1% 31.2% 8.4% 43.0% 5.9% 0.6% 35.4M -1.75B -10.9M 1.18 4.35 27,064 31,801 364,618 468,124 2009-07-07 $142.54 $145.00 48.9% 12.5% 32.6% 8.9% 44.3% 5.6% 0.4% 24.1M -1.38B -10.8M 0.99 4.53 26,454 26,248 368,042 476,121 2009-07-08 $138.55 $145.00 53.3% 13.6% 33.7% 11.6% 48.0% 6.9% -0.1% 10.4M -979.5M -10.8M 1.00 5.16 81,937 82,110 370,382 480,350 2009-07-09 $143.21 $140.00 53.3% 14.1% 35.7% 11.7% 50.6% 8.6% -1.1% 26.3M -1.51B -11.6M 1.12 3.56 54,815 61,309 382,569 495,266 2009-07-10 $141.87 $140.00 54.9% 14.1% 35.6% 12.6% 50.1% 7.9% -1.3% 16.8M -1.26B -11.6M 1.11 4.86 37,849 42,191 387,573 513,395 2009-07-13 $149.44 $140.00 57.0% 12.9% 40.3% 14.0% 45.5% 5.6% -0.0% 52.0M -2.19B -11.3M 0.67 6.03 146,087 98,588 394,191 523,756 2009-07-14 $149.66 $140.00 35.6% 11.2% 39.6% 0.7% 40.0% 5.3% 2.9% 78.6M -2.25B -11.0M 0.90 3.27 117,835 106,148 421,119 551,278 2009-07-15 $155.26 $145.00 30.4% 10.7% 41.5% 0.0% 38.7% 6.2% 2.9% 99.8M -3.01B -11.1M 0.94 5.90 101,477 95,457 430,074 563,229 2009-07-16 $156.84 $145.00 36.9% 10.6% 39.4% 4.0% 37.9% 7.1% 3.1% 95.5M -3.21B -11.1M 1.03 6.76 61,507 63,211 429,000 570,678 2009-07-17 $156.84 $145.00 34.3% 9.8% 38.8% 2.3% 34.9% 5.9% 4.2% 24.9M -3.12B -10.4M 0.98 6.62 41,917 41,017 416,351 564,565 2009-07-20 $160.03 $145.00 33.0% 9.5% 39.2% 1.6% 33.7% 5.0% 1.6% 25.7M -1.63B -10.3M 0.78 5.50 40,502 31,410 268,225 329,640 2009-07-21 $159.80 $150.00 31.2% 8.9% 34.8% 0.4% 32.4% 4.8% 1.9% 29.2M -1.64B -10.6M 1.04 3.73 22,525 23,436 283,239 340,688 2009-07-22 $160.46 $150.00 31.0% 8.9% 33.8% 0.4% 32.6% 4.6% 2.4% 31.6M -1.71B -10.8M 1.50 3.49 20,572 30,864 288,899 346,584 2009-07-23 $165.45 $150.00 32.0% 9.2% 34.8% 0.9% 33.4% 5.2% 1.7% 35.8M -2.05B -10.6M 0.78 4.90 48,847 38,048 291,441 353,194 2009-07-24 $164.72 $150.00 29.7% 8.5% 35.0% 0.0% 31.0% 4.0% 3.1% 35.1M -1.96B -10.9M 0.95 4.22 26,994 25,722 294,202 362,360 2009-07-27 $163.87 $150.00 31.8% 9.1% 35.1% 1.2% 32.9% 4.4% 2.2% 32.2M -1.87B -10.9M 1.34 4.58 19,425 26,049 298,077 371,097 2009-07-28 $160.54 $150.00 31.6% 9.1% 35.9% 1.1% 31.8% 3.9% 3.1% 28.1M -1.65B -11.0M 0.99 5.29 26,825 26,662 301,507 381,055 2009-07-29 $159.44 $150.00 31.3% 9.0% 35.6% 1.0% 32.0% 3.2% 3.4% 25.3M -1.55B -11.2M 1.34 3.48 18,849 25,190 306,818 387,258 2009-07-30 $162.42 $150.00 29.9% 8.6% 35.9% 0.1% 29.9% 3.5% 3.1% 34.3M -1.81B -10.9M 1.11 4.36 30,680 34,013 308,720 389,618 2009-07-31 $163.30 $150.00 27.2% 7.8% 34.0% 0.0% 28.1% 3.4% 4.3% 35.0M -1.85B -10.8M 0.81 3.17 21,804 17,724 311,440 398,718
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