GS Options History — August 2009

In August 2009, GS traded between $157.25 and $168.64. ATM implied volatility averaged 31.0%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.4% (HV 20d: 26.6%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2009-08-20: Highest Volume — 128,588 contracts
  • 2009-08-12: Largest IV drop — 16.4% change
  • 2009-08-17: Highest IV Rank — 5.6%
  • 2009-08-11: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.37$157.25$168.64$164.10$165.46
Max Pain$159.29$155.00$165.00$155.00$160.00
ATM IV31.0%26.6%36.6%29.2%28.1%
Expected Move9.1%7.6%10.6%8.4%8.1%
HV 20d26.6%24.1%33.6%33.6%24.6%
HV 60d33.1%29.9%37.4%37.4%29.9%
IV Rank2.3%0.0%5.6%1.2%0.9%
IV Percentile3.8%0.0%9.5%0.4%1.6%
Term Structure4.5%2.8%7.3%3.4%7.2%
VWIV32.3%27.7%38.3%29.8%29.0%
Skew 25d4.6%2.7%6.0%4.1%2.7%
Skew 10d9.1%5.4%12.1%7.6%5.4%
Call IV 25d29.8%25.5%35.3%27.6%27.3%
Put IV 25d34.4%28.8%39.9%31.7%30.0%
Bid-Ask Spread %4.813.406.963.796.94
Gamma HHI0.140.090.370.120.12
Net GEX30.4M-5.2M67.1M38.4M31.6M
Net DEX-1.61B-2.35B-1.00B-1.92B-1.55B
Net VEX-10.9M-11.7M-10.3M-10.8M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.321.280.941.19
Total Volume63,372.76237,363128,58848,94445,999
Total OI744,442.19638,561811,146718,686695,133

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$164.10$155.0029.2%8.4%33.6%1.2%29.8%4.1%3.4%38.4M-1.92B-10.8M0.943.7925,23623,708315,542403,144
2009-08-04$165.17$155.0028.1%8.0%31.3%0.5%28.8%3.7%4.2%42.5M-2.01B-10.8M0.893.5226,40723,447318,988405,870
2009-08-05$168.64$155.0027.8%8.0%28.6%0.3%29.4%3.4%3.6%50.5M-2.35B-10.7M0.833.5237,17230,877321,333411,613
2009-08-06$166.75$155.0030.5%8.7%28.1%2.0%30.7%3.9%4.0%38.0M-2.07B-11.3M0.963.6136,05934,470320,480416,622
2009-08-07$163.65$165.0031.2%10.0%29.1%2.4%35.5%5.4%3.1%32.0M-1.80B-11.3M0.923.7048,11144,085325,731423,156
2009-08-10$160.36$160.0034.9%10.6%25.3%4.6%38.3%4.4%2.8%25.4M-1.52B-11.5M1.213.7534,15641,184337,724430,427
2009-08-11$159.22$160.0034.7%10.6%25.6%4.4%37.4%4.5%3.2%17.8M-1.33B-11.7M1.284.1729,39337,542340,356440,051
2009-08-12$163.76$160.0029.0%9.7%24.3%1.1%34.4%5.9%3.9%28.1M-1.72B-11.7M0.684.9343,52929,809342,821452,352
2009-08-13$164.48$160.0032.8%9.4%24.1%3.3%33.7%6.0%4.5%35.9M-1.81B-11.5M0.666.3030,55920,269343,456451,010
2009-08-14$162.73$160.0033.0%9.5%24.6%3.4%34.1%5.1%4.2%30.0M-1.63B-11.4M0.715.7428,49420,167343,218450,606
2009-08-17$157.25$160.0036.6%10.5%26.7%5.6%36.1%5.3%3.7%-5.2M-1.00B-11.1M0.815.6044,94336,575347,230452,870
2009-08-18$160.48$160.0034.2%9.8%27.7%4.2%34.5%5.2%4.8%18.4M-1.36B-11.1M0.756.6723,79117,796351,820458,262
2009-08-19$159.93$160.0033.5%9.6%27.7%3.8%34.0%4.3%4.2%13.8M-1.34B-10.7M1.006.9633,31233,344350,620456,624
2009-08-20$162.33$160.0033.0%9.5%25.9%3.4%33.0%5.0%4.1%38.6M-1.62B-10.6M0.325.0097,62730,961351,190459,956
2009-08-21$163.51$160.0030.9%8.9%26.0%2.2%31.7%5.0%4.4%67.1M-1.47B-10.5M0.514.3860,70130,822328,709464,449
2009-08-24$162.58$160.0030.1%8.6%26.0%1.7%31.1%4.6%4.8%21.2M-1.33B-10.3M1.024.8725,47126,011272,741365,820
2009-08-25$164.94$160.0030.0%8.6%25.4%1.7%31.1%5.5%4.8%26.7M-1.47B-10.3M1.145.0225,65829,248280,483374,723
2009-08-26$165.95$160.0028.7%8.2%25.3%0.9%29.4%5.4%5.6%28.3M-1.54B-10.6M0.823.4024,55420,079286,667380,909
2009-08-27$165.02$160.0028.3%8.1%24.6%0.6%28.8%3.9%6.2%28.0M-1.49B-10.8M1.034.4118,42118,942291,751384,845
2009-08-28$164.42$160.0026.6%7.6%24.6%0.0%27.7%3.3%7.3%30.6M-1.49B-10.4M1.144.8319,59822,301295,123388,861
2009-08-31$165.46$160.0028.1%8.1%24.6%0.9%29.0%2.7%7.2%31.6M-1.55B-10.7M1.196.9420,99625,003299,147395,986