GS Options History — October 2009

In October 2009, GS traded between $170.17 and $192.28. ATM implied volatility averaged 36.5%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 8.9% (HV 20d: 27.6%). Max pain ranged from $165.00 to $190.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2009-10-14: Highest Volume — 184,975 contracts
  • 2009-10-15: Largest IV drop — 41.0% change
  • 2009-10-14: Highest IV Rank — 16.4%
  • 2009-10-02: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$183.42$170.17$192.28$178.99$170.17
Max Pain$182.73$165.00$190.00$165.00$180.00
ATM IV36.5%27.4%53.2%40.5%36.7%
Expected Move9.5%7.9%11.7%11.6%10.5%
HV 20d27.6%23.2%37.6%23.7%37.6%
HV 60d26.2%24.7%29.9%27.1%29.9%
IV Rank6.0%0.5%16.4%8.3%6.3%
IV Percentile19.4%1.2%44.8%26.6%25.0%
Term Structure0.7%-3.7%3.1%-3.4%0.8%
VWIV33.5%27.9%41.3%41.3%36.8%
Skew 25d2.1%-0.1%5.9%2.9%5.9%
Skew 10d4.1%-0.3%11.5%7.3%11.5%
Call IV 25d32.5%27.3%40.0%40.0%34.4%
Put IV 25d34.6%28.5%43.1%42.9%40.3%
Bid-Ask Spread %5.602.099.782.749.78
Gamma HHI0.110.080.220.090.08
Net GEX33.4M-12.4M81.7M28.7M-12.4M
Net DEX-2.06B-3.67B-289.0M-2.02B-289.0M
Net VEX-11.2M-12.4M-10.4M-11.4M-12.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.531.140.971.08
Total Volume98,465.36458,953184,97575,806132,805
Total OI777,462623,751927,587777,477752,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$178.99$165.0040.5%11.6%23.7%8.3%41.3%2.9%-3.4%28.7M-2.02B-11.4M0.972.7438,48837,318335,206442,271
2009-10-02$179.61$165.0040.9%11.7%23.2%8.5%41.3%3.3%-3.7%32.0M-2.13B-11.3M0.652.0947,23130,474341,404451,558
2009-10-05$186.47$185.0040.3%10.5%25.8%8.2%36.6%3.9%0.1%51.5M-2.87B-11.0M0.694.8039,40727,311346,956456,323
2009-10-06$186.98$185.0040.0%10.4%24.9%7.9%36.3%3.9%0.2%51.7M-2.89B-11.1M0.807.4060,99548,546352,213463,345
2009-10-07$190.48$185.0040.0%10.0%24.9%8.0%35.7%3.8%0.7%62.0M-3.28B-11.1M0.766.0750,14138,282360,029470,540
2009-10-08$188.17$185.0041.9%10.0%24.4%9.1%35.3%2.2%0.2%54.6M-3.00B-11.1M1.045.1256,88359,255360,664475,037
2009-10-09$189.30$185.0039.4%9.7%24.3%7.6%34.3%2.1%1.0%59.0M-3.10B-11.2M0.836.2132,44926,907368,356489,264
2009-10-12$190.15$185.0050.2%10.2%23.8%14.0%36.5%2.3%-0.0%61.5M-3.22B-10.9M0.725.8334,20424,749371,202492,687
2009-10-13$187.23$185.0052.4%10.2%24.5%16.0%35.8%2.1%-0.1%55.4M-2.87B-10.9M0.954.2046,06843,741375,630497,711
2009-10-14$192.28$185.0053.2%10.1%25.4%16.4%35.3%2.4%-1.1%81.7M-3.67B-10.6M0.538.31121,29763,678386,333508,142
2009-10-15$188.63$190.0031.4%9.0%26.5%3.0%31.8%1.2%1.9%72.2M-3.00B-10.4M0.554.96115,51563,506396,988517,654
2009-10-16$184.37$185.0029.8%8.6%27.8%2.0%30.1%-0.1%3.1%41.5M-2.25B-10.4M0.574.8692,35152,671408,273519,314
2009-10-19$185.50$185.0028.9%8.3%27.8%1.4%29.3%1.1%1.3%23.2M-1.60B-10.7M1.135.0430,82734,811274,004349,747
2009-10-20$184.96$185.0027.9%8.0%27.1%0.8%28.3%1.3%1.4%21.7M-1.55B-10.8M1.145.1128,66832,585280,043359,709
2009-10-21$179.26$185.0028.3%8.1%29.1%1.1%28.5%0.1%1.1%8.8M-1.13B-10.8M0.955.4645,51443,235285,548368,552
2009-10-22$183.69$185.0027.4%7.9%30.5%0.5%27.9%1.2%1.6%18.8M-1.48B-11.3M1.013.9037,20537,400295,014382,816
2009-10-23$180.36$185.0030.2%8.7%30.4%2.3%30.5%0.5%2.0%8.8M-1.22B-11.7M0.999.3844,55244,006297,826387,483
2009-10-26$179.37$185.0030.4%8.7%29.8%2.4%30.8%1.4%2.0%5.1M-1.11B-11.9M0.916.7249,97745,692305,006394,501
2009-10-27$178.61$185.0030.3%8.7%29.7%2.3%30.6%1.4%2.2%4.2M-1.03B-12.1M0.734.9838,89828,366312,436400,441
2009-10-28$172.16$180.0035.2%10.1%32.2%5.3%35.4%1.6%1.1%-8.7M-508.6M-11.9M0.956.1672,62369,155316,787402,700
2009-10-29$178.58$180.0028.5%8.2%33.6%1.2%29.1%1.7%2.6%12.6M-1.13B-12.3M0.804.0854,76043,692333,320418,451
2009-10-30$170.17$180.0036.7%10.5%37.6%6.3%36.8%5.9%0.8%-12.4M-289.0M-12.4M1.089.7863,87268,933332,093420,587