GS Options History — November 2009

In November 2009, GS traded between $164.16 and $179.85. ATM implied volatility averaged 31.0%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 2.3% (HV 20d: 33.4%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2009-11-02: Highest Volume — 148,699 contracts
  • 2009-11-12: Largest IV spike — 12.4% change
  • 2009-11-02: Highest IV Rank — 6.3%
  • 2009-11-02: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$173.23$164.16$179.85$170.68$169.66
Max Pain$176.00$170.00$180.00$180.00$170.00
ATM IV31.0%26.7%36.7%36.7%28.6%
Expected Move9.1%7.7%10.5%10.5%8.2%
HV 20d33.4%26.1%36.7%34.6%26.1%
HV 60d29.1%28.6%29.7%29.6%29.6%
IV Rank2.9%0.2%6.3%6.3%1.9%
IV Percentile12.6%0.8%25.4%25.4%6.0%
Term Structure3.6%1.0%5.2%1.0%5.0%
VWIV32.0%26.8%37.4%37.4%29.4%
Skew 25d3.8%1.5%6.3%6.3%2.3%
Skew 10d7.6%3.1%12.6%12.5%4.3%
Call IV 25d30.2%26.0%34.3%34.3%28.1%
Put IV 25d33.9%28.2%40.6%40.6%30.4%
Bid-Ask Spread %6.163.5410.657.824.97
Gamma HHI0.110.070.470.080.08
Net GEX-1.6M-89.3M33.3M-10.0M8.5M
Net DEX-762.4M-1.51B-172.6M-368.5M-395.8M
Net VEX-11.3M-12.7M-10.0M-12.5M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.441.250.910.75
Total Volume79,822.539,384148,699148,69990,234
Total OI783,052.55679,905853,441774,999703,461

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$170.68$180.0036.7%10.5%34.6%6.3%37.4%6.3%1.0%-10.0M-368.5M-12.5M0.917.8277,89870,801344,224430,775
2009-11-03$171.61$180.0035.1%10.1%34.7%5.3%35.6%5.2%1.8%-7.7M-472.8M-12.6M1.049.1044,02145,600348,957432,622
2009-11-04$169.50$175.0035.9%10.3%33.7%5.8%36.4%5.4%1.4%-11.3M-298.2M-12.4M0.805.8245,47336,374352,200433,410
2009-11-05$173.40$180.0031.8%9.1%35.1%3.2%33.0%4.7%2.7%-2.6M-657.9M-12.7M0.724.8433,99024,466355,468437,177
2009-11-06$171.78$180.0031.1%9.9%34.9%2.8%34.7%5.7%3.2%-12.2M-438.4M-12.1M0.667.0824,42716,099355,199440,735
2009-11-09$176.57$175.0029.3%9.2%36.7%1.7%32.4%5.2%3.5%5.7M-1.03B-11.9M0.5510.6549,13726,778358,012442,906
2009-11-10$176.51$180.0029.8%9.2%36.4%2.0%32.5%4.3%3.7%9.3M-1.05B-11.9M0.587.2144,15125,489362,101445,065
2009-11-11$179.85$175.0028.1%9.0%35.7%1.0%31.9%4.3%3.6%33.3M-1.51B-11.7M0.647.3451,17832,770368,693447,857
2009-11-12$178.48$175.0031.6%9.1%35.2%3.1%32.1%3.9%3.4%21.4M-1.31B-11.5M1.256.1736,76946,068369,074448,193
2009-11-13$176.76$175.0032.2%9.2%34.5%3.5%32.1%3.6%3.8%13.3M-1.12B-11.4M0.468.1157,68826,590371,322450,974
2009-11-16$177.25$175.0032.7%9.4%34.5%3.8%32.5%3.7%3.2%17.3M-1.19B-11.1M0.615.7649,13330,154377,432452,053
2009-11-17$176.60$175.0031.0%8.9%34.5%2.8%31.1%3.8%4.3%6.0M-1.06B-11.1M0.547.0152,08628,050377,393455,293
2009-11-18$176.90$175.0030.6%8.8%32.7%2.5%30.6%3.3%4.2%3.5M-1.09B-10.9M0.954.8733,20931,422379,216458,049
2009-11-19$172.83$175.0031.6%9.1%32.2%3.2%32.1%2.9%3.8%-32.1M-546.2M-10.8M0.834.9265,39154,199381,392459,318
2009-11-20$170.01$175.0030.8%8.8%32.1%2.7%31.1%2.5%4.3%-89.3M-287.6M-10.5M0.945.2749,19846,071390,659462,782
2009-11-23$172.00$175.0028.9%8.3%32.5%1.8%28.9%2.4%4.7%11.3M-885.4M-10.3M0.734.6135,28225,754298,859381,046
2009-11-24$171.13$175.0026.7%7.7%32.5%0.2%26.8%2.2%5.2%8.3M-783.9M-10.2M0.694.4623,29216,092302,004386,738
2009-11-25$168.92$175.0027.5%7.9%30.2%0.9%27.9%1.5%5.1%2.6M-580.7M-10.2M0.713.5435,23325,192304,532389,982
2009-11-27$164.16$175.0030.3%8.7%28.2%3.3%30.7%2.1%4.5%-7.7M-172.6M-10.0M0.443.7263,12127,570309,784396,094
2009-11-30$169.66$170.0028.6%8.2%26.1%1.9%29.4%2.3%5.0%8.5M-395.8M-10.3M0.754.9751,47438,760298,846404,615