GS Options History — September 2009

In September 2009, GS traded between $158.54 and $185.52. ATM implied volatility averaged 33.7%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 9.0% (HV 20d: 24.7%). Max pain ranged from $150.00 to $165.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2009-09-10: Highest Volume — 130,428 contracts
2009-09-10: Largest IV spike — 23.5% change
2009-09-28: Highest IV Rank — 7.1%
2009-09-28: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$175.90	$158.54	$185.52	$160.17	$184.35
Max Pain	$156.43	$150.00	$165.00	$160.00	$165.00
ATM IV	33.7%	26.5%	38.5%	32.8%	37.1%
Expected Move	10.0%	8.3%	11.0%	9.4%	10.6%
HV 20d	24.7%	20.6%	27.1%	27.1%	20.6%
HV 60d	29.4%	27.1%	31.3%	30.7%	27.1%
IV Rank	4.2%	0.0%	7.1%	3.7%	6.3%
IV Percentile	13.5%	0.0%	22.6%	9.1%	21.4%
Term Structure	0.2%	-2.8%	8.6%	5.6%	-2.2%
VWIV	35.6%	29.2%	38.8%	33.2%	38.0%
Skew 25d	3.7%	0.9%	5.8%	3.7%	2.8%
Skew 10d	7.4%	2.4%	11.5%	7.4%	5.7%
Call IV 25d	33.6%	27.2%	37.8%	31.5%	36.4%
Put IV 25d	37.2%	31.0%	39.8%	35.2%	39.2%
Bid-Ask Spread %	4.38	2.59	8.72	8.08	3.30
Gamma HHI	0.14	0.09	0.25	0.09	0.11
Net GEX	45.2M	8.0M	75.8M	14.1M	44.2M
Net DEX	-2.32B	-3.38B	-884.8M	-1.05B	-2.60B
Net VEX	-10.2M	-11.1M	-9.4M	-11.0M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.55	1.48	1.48	0.88
Total Volume	71,216.81	38,844	130,428	67,625	71,529
Total OI	739,866.143	675,393	804,971	700,917	764,780

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
2009-09-01	$160.17	$160.00	32.8%	9.4%	27.1%	3.7%	33.2%	3.7%	5.6%	14.1M	-1.05B	-11.0M	1.48	8.08	27,278	40,347	300,449	400,468
2009-09-02	$158.54	$160.00	29.8%	8.5%	25.9%	1.9%	30.6%	4.0%	8.0%	8.0M	-884.8M	-11.0M	0.89	5.69	26,286	23,297	304,628	404,866
2009-09-03	$161.66	$160.00	28.8%	8.3%	26.9%	1.3%	29.2%	3.8%	8.6%	20.9M	-1.20B	-11.1M	1.12	5.40	19,765	22,042	309,319	410,927
2009-09-04	$162.97	$150.00	26.5%	10.1%	26.3%	0.0%	36.1%	5.5%	2.1%	24.4M	-1.29B	-10.8M	1.03	4.54	22,623	23,283	308,150	414,917
2009-09-08	$167.22	$150.00	29.7%	10.5%	26.7%	1.8%	37.5%	5.8%	1.0%	40.2M	-1.74B	-10.2M	1.08	5.52	27,792	29,890	307,964	418,514
2009-09-09	$170.27	$150.00	27.9%	10.1%	27.1%	0.8%	36.5%	5.7%	1.6%	54.2M	-2.11B	-10.3M	1.04	4.75	32,024	33,446	311,466	423,475
2009-09-10	$174.87	$150.00	34.5%	9.9%	26.9%	4.7%	36.4%	5.3%	0.6%	57.9M	-2.52B	-10.1M	1.04	4.83	63,884	66,544	314,201	426,873
2009-09-11	$174.70	$150.00	32.8%	9.4%	26.9%	3.7%	33.5%	5.3%	0.8%	57.4M	-2.47B	-10.0M	0.71	4.44	64,007	45,169	319,622	433,828
2009-09-14	$177.71	$150.00	33.5%	9.6%	26.9%	4.1%	35.0%	5.5%	-0.1%	73.0M	-2.89B	-9.6M	0.72	3.69	42,761	30,604	332,821	438,929
2009-09-15	$176.66	$150.00	35.2%	10.1%	23.1%	5.1%	35.7%	5.6%	-1.2%	63.5M	-2.74B	-9.8M	0.93	4.03	37,693	35,112	335,329	443,594
2009-09-16	$179.87	$155.00	34.8%	10.0%	22.9%	4.9%	35.6%	3.9%	-2.4%	71.7M	-3.14B	-9.4M	0.83	2.83	51,766	43,011	338,844	448,999
2009-09-17	$181.46	$155.00	35.6%	10.2%	22.7%	5.3%	35.9%	3.9%	-2.8%	74.4M	-3.29B	-9.7M	0.73	8.72	65,408	47,718	342,107	457,362
2009-09-18	$183.18	$155.00	34.0%	9.7%	22.5%	4.4%	35.1%	3.8%	-1.5%	75.8M	-3.38B	-9.6M	0.71	3.46	40,436	28,561	343,748	461,223
2009-09-21	$182.39	$155.00	34.5%	9.9%	22.8%	4.7%	35.5%	2.5%	-1.7%	40.2M	-2.49B	-9.5M	1.29	3.19	18,741	24,108	289,620	385,773
2009-09-22	$185.52	$160.00	35.6%	10.2%	22.7%	5.3%	36.1%	1.3%	-2.4%	41.1M	-2.72B	-9.6M	0.75	3.02	31,503	23,494	293,557	392,959
2009-09-23	$183.64	$160.00	35.7%	10.2%	23.3%	5.4%	36.1%	0.9%	-2.2%	39.5M	-2.57B	-9.9M	0.55	3.98	54,667	30,286	299,380	402,527
2009-09-24	$183.06	$160.00	36.3%	10.4%	23.5%	5.8%	37.1%	1.4%	-2.0%	36.5M	-2.44B	-10.4M	0.74	2.59	40,432	29,913	307,768	411,111
2009-09-25	$179.50	$160.00	37.4%	10.7%	24.8%	6.4%	38.2%	2.3%	-1.3%	31.8M	-2.14B	-10.7M	1.04	3.26	45,492	47,212	312,184	418,506
2009-09-28	$182.50	$165.00	38.5%	11.0%	25.0%	7.1%	38.8%	2.0%	-2.6%	38.7M	-2.44B	-10.7M	0.77	2.63	22,003	16,841	323,738	426,574
2009-09-29	$183.58	$165.00	37.2%	10.7%	25.0%	6.3%	37.8%	2.5%	-2.4%	42.2M	-2.53B	-10.6M	0.89	3.98	25,659	22,926	326,526	429,563
2009-09-30	$184.35	$165.00	37.1%	10.6%	20.6%	6.3%	38.0%	2.8%	-2.2%	44.2M	-2.60B	-10.6M	0.88	3.30	37,959	33,570	330,594	434,186