GS Options History — January 2010

In January 2010, GS traded between $148.72 and $177.67. ATM implied volatility averaged 30.6%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.5% (HV 20d: 26.1%). Max pain ranged from $160.00 to $170.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.75.

Notable Days

2010-01-21: Highest Volume — 419,840 contracts
2010-01-21: Largest IV spike — 14.7% change
2010-01-22: Highest IV Rank — 13.8%
2010-01-22: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$164.56	$148.72	$177.67	$173.08	$148.72
Max Pain	$165.53	$160.00	$170.00	$160.00	$160.00
ATM IV	30.6%	25.2%	36.8%	29.4%	35.7%
Expected Move	9.1%	8.1%	10.6%	8.4%	10.2%
HV 20d	26.1%	22.3%	32.7%	23.8%	32.7%
HV 60d	28.4%	26.7%	29.8%	28.4%	27.3%
IV Rank	6.1%	0.0%	13.8%	3.3%	12.5%
IV Percentile	22.3%	0.0%	47.2%	14.3%	46.0%
Term Structure	-0.0%	-1.0%	1.4%	1.4%	-0.3%
VWIV	32.0%	28.3%	37.1%	29.8%	36.2%
Skew 25d	2.5%	0.3%	4.3%	3.0%	3.5%
Skew 10d	5.1%	0.6%	9.0%	5.8%	9.0%
Call IV 25d	30.9%	28.1%	36.0%	28.1%	35.1%
Put IV 25d	33.4%	28.4%	38.7%	31.1%	38.7%
Bid-Ask Spread %	5.38	2.95	10.42	4.30	6.59
Gamma HHI	0.15	0.08	0.57	0.14	0.08
Net GEX	10.8M	-159.3M	86.2M	52.8M	-23.4M
Net DEX	-265.6M	-1.92B	1.35B	-1.37B	1.35B
Net VEX	-12.8M	-17.7M	-10.6M	-10.7M	-17.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.41	1.76	0.70	0.47
Total Volume	136,966.684	73,270	419,840	90,556	131,397
Total OI	756,857.053	455,214	941,091	773,294	838,704

Daily Data (19 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
2010-01-04	$173.08	$160.00	29.4%	8.4%	23.8%	3.3%	29.8%	3.0%	1.4%	52.8M	-1.37B	-10.7M	0.70	4.30	53,414	37,142	344,688	428,606
2010-01-05	$176.14	$165.00	25.7%	8.7%	23.8%	0.0%	30.4%	3.5%	0.2%	65.3M	-1.66B	-10.6M	0.60	6.36	77,437	46,780	346,512	436,674
2010-01-06	$174.26	$165.00	25.9%	8.6%	22.7%	0.2%	30.3%	2.7%	0.3%	68.6M	-1.53B	-11.0M	0.61	6.08	49,410	30,286	362,567	444,351
2010-01-07	$177.67	$165.00	25.9%	8.4%	22.7%	0.2%	30.1%	2.8%	0.2%	86.2M	-1.92B	-10.9M	0.48	4.25	64,349	30,888	365,745	447,471
2010-01-08	$174.31	$170.00	25.2%	8.5%	22.4%	0.0%	29.8%	2.4%	0.3%	69.6M	-1.48B	-10.8M	0.62	3.14	45,216	28,054	368,309	453,625
2010-01-11	$171.56	$170.00	28.5%	8.8%	23.3%	3.6%	30.9%	1.9%	0.2%	42.9M	-1.01B	-10.7M	0.53	3.45	73,762	38,964	377,164	458,970
2010-01-12	$167.82	$170.00	29.4%	9.0%	24.7%	4.6%	31.6%	2.2%	-0.4%	5.8M	-458.9M	-10.8M	1.06	3.50	52,139	55,425	388,562	467,488
2010-01-13	$169.07	$170.00	29.9%	8.9%	24.8%	5.2%	31.2%	2.0%	-0.2%	12.4M	-593.0M	-11.0M	0.72	3.77	52,154	37,507	395,773	477,876
2010-01-14	$168.53	$170.00	31.9%	9.1%	23.6%	7.4%	31.7%	1.8%	-0.5%	9.9M	-543.1M	-11.3M	0.41	3.27	90,437	36,875	404,160	485,467
2010-01-15	$165.21	$170.00	29.6%	8.5%	24.3%	4.8%	29.8%	0.3%	0.4%	-159.3M	-254.3M	-11.6M	1.09	3.49	64,875	70,868	452,287	488,804
2010-01-19	$166.86	$165.00	29.0%	8.3%	22.7%	4.2%	29.3%	0.4%	-0.5%	15.7M	-215.0M	-11.9M	0.41	2.95	54,578	22,259	216,530	238,684
2010-01-20	$167.79	$165.00	28.3%	8.1%	22.3%	3.4%	28.3%	0.4%	-0.9%	30.1M	-398.3M	-12.2M	0.56	6.47	61,869	34,847	248,632	245,816
2010-01-21	$160.87	$165.00	32.4%	9.3%	26.6%	8.5%	32.7%	2.8%	-0.3%	5.8M	168.3M	-12.1M	0.96	6.60	214,713	205,127	256,944	258,244
2010-01-22	$154.12	$165.00	36.8%	10.6%	30.4%	13.8%	37.1%	2.6%	-1.0%	-5.4M	685.7M	-14.3M	0.81	6.38	113,048	91,689	329,893	323,189
2010-01-25	$154.98	$165.00	34.3%	9.8%	30.5%	10.8%	34.6%	4.3%	-0.1%	221.4K	593.2M	-14.6M	1.76	10.42	72,822	128,326	352,939	336,946
2010-01-26	$150.88	$165.00	36.1%	10.3%	31.6%	12.9%	36.3%	3.3%	0.4%	-28.2M	1.35B	-16.5M	0.84	5.02	73,473	61,635	355,318	404,246
2010-01-27	$151.50	$160.00	35.6%	10.2%	31.7%	12.3%	35.8%	3.9%	-0.3%	-26.6M	1.26B	-16.7M	0.99	7.42	85,493	84,513	366,873	409,746
2010-01-28	$153.29	$160.00	32.0%	9.2%	32.2%	8.1%	32.8%	3.5%	0.6%	-16.6M	979.1M	-17.2M	0.55	8.66	84,148	46,448	388,126	414,355
2010-01-29	$148.72	$160.00	35.7%	10.2%	32.7%	12.5%	36.2%	3.5%	-0.3%	-23.4M	1.35B	-17.7M	0.47	6.59	89,653	41,744	416,946	421,758