GS Options History — December 2009

In December 2009, GS traded between $160.93 and $168.84. ATM implied volatility averaged 29.7%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.7% (HV 20d: 26.0%). Max pain ranged from $160.00 to $170.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2009-12-10: Highest Volume — 94,644 contracts
  • 2009-12-10: Largest IV spike — 25.0% change
  • 2009-12-14: Highest IV Rank — 8.2%
  • 2009-12-08: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$164.99$160.93$168.84$167.63$168.84
Max Pain$162.95$160.00$170.00$170.00$160.00
ATM IV29.7%26.6%33.9%29.0%29.9%
Expected Move8.8%7.6%9.7%8.3%8.6%
HV 20d26.0%22.2%28.0%26.4%23.0%
HV 60d29.2%28.0%29.8%29.7%28.1%
IV Rank3.5%0.0%8.2%2.2%3.8%
IV Percentile12.4%0.4%29.0%8.3%17.1%
Term Structure1.7%0.3%4.3%4.1%0.8%
VWIV30.9%27.1%33.9%29.5%30.6%
Skew 25d2.7%0.4%4.1%1.2%0.4%
Skew 10d5.4%0.8%7.9%2.7%0.8%
Call IV 25d29.7%25.9%32.4%29.2%30.7%
Put IV 25d32.4%28.3%36.0%30.4%31.1%
Bid-Ask Spread %3.311.985.793.693.40
Gamma HHI0.120.090.290.090.11
Net GEX3.6M-46.6M27.6M3.7M27.6M
Net DEX-217.1M-886.3M337.3M-269.4M-886.3M
Net VEX-10.3M-10.8M-9.7M-10.3M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.451.280.590.45
Total Volume63,792.40930,39194,64475,95977,550
Total OI752,423.364679,084811,914714,838759,237

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$167.63$170.0029.0%8.3%26.4%2.2%29.5%1.2%4.1%3.7M-269.4M-10.3M0.593.6947,85228,107306,321408,517
2009-12-02$166.66$170.0028.9%8.3%26.3%2.2%29.0%1.0%4.3%1.5M-216.3M-10.6M0.724.1132,27123,079316,251414,698
2009-12-03$164.30$170.0029.4%8.4%26.4%3.0%29.8%1.5%4.3%-5.5M1.7M-10.5M0.763.5638,54029,210320,054418,426
2009-12-04$167.24$165.0027.4%9.4%25.9%0.9%32.9%4.0%2.5%8.3M-306.1M-10.6M0.815.7942,88334,804326,244423,881
2009-12-07$163.85$165.0028.7%9.5%26.6%2.3%33.6%3.9%2.1%-8.4M55.6M-10.2M0.804.8726,71421,405328,777424,588
2009-12-08$161.84$165.0029.5%9.7%24.3%3.2%33.7%4.1%1.7%-16.3M248.2M-9.8M0.854.9745,86238,819331,876424,296
2009-12-09$166.44$165.0027.1%9.4%26.9%0.7%32.8%3.8%2.0%9.9M-274.3M-10.4M0.564.2756,86031,822339,504430,295
2009-12-10$166.73$160.0033.9%9.7%25.7%8.1%33.6%3.9%1.1%15.1M-372.3M-10.3M0.583.4659,86434,780340,411429,331
2009-12-11$166.00$160.0033.3%9.5%25.7%7.6%33.5%3.4%1.9%16.6M-312.5M-10.8M0.783.4427,59921,488351,010438,406
2009-12-14$166.10$160.0033.8%9.7%25.6%8.2%33.9%3.5%1.1%13.9M-268.4M-10.5M0.692.1827,84819,306351,271438,412
2009-12-15$162.74$160.0033.3%9.5%26.2%7.6%33.6%3.2%1.2%-13.7M121.9M-10.1M0.533.4739,80121,214352,638440,546
2009-12-16$164.99$160.0031.7%9.1%27.0%5.8%32.0%3.0%1.4%18.5M-202.4M-10.2M0.822.3341,08433,602357,920442,993
2009-12-17$160.93$165.0033.6%9.6%28.0%7.9%33.3%3.1%0.4%-46.6M337.3M-9.8M0.632.5652,08333,017355,820445,273
2009-12-18$163.19$160.0030.5%8.7%27.8%4.5%31.2%3.0%1.6%4.8M-1.7M-10.1M1.282.6729,07937,151368,902443,012
2009-12-21$165.45$160.0029.0%8.3%27.9%2.8%29.2%3.2%0.3%7.8M-400.2M-9.7M0.501.9838,67319,520290,685388,399
2009-12-22$164.60$160.0028.0%8.0%27.5%1.6%28.5%2.8%0.4%8.6M-375.8M-9.8M0.862.5620,99118,054306,174392,564
2009-12-23$163.63$165.0026.6%7.6%27.5%0.1%27.1%3.1%1.5%3.7M-186.1M-10.0M0.642.8539,74325,553312,005399,071
2009-12-24$163.97$165.0026.6%7.6%27.3%0.0%27.5%2.5%1.4%3.9M-286.5M-10.6M0.782.9717,03513,356316,803405,783
2009-12-28$163.76$160.0028.0%8.0%25.3%1.7%28.6%2.5%0.8%4.5M-281.7M-10.3M0.632.4325,88316,323321,057408,044
2009-12-29$164.12$160.0027.1%7.8%22.2%0.6%27.8%2.1%1.2%4.4M-278.7M-10.1M0.872.3627,14523,629324,809411,857
2009-12-30$166.70$160.0028.2%8.1%22.6%1.8%28.7%1.2%0.9%18.2M-621.5M-10.5M0.692.9737,75826,076328,954418,199
2009-12-31$168.84$160.0029.9%8.6%23.0%3.8%30.6%0.4%0.8%27.6M-886.3M-10.8M0.453.4053,31824,232335,731423,506