GS Options History — February 2010

In February 2010, GS traded between $150.68 and $158.33. ATM implied volatility averaged 30.4%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.6% (HV 20d: 34.0%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.83.

Notable Days

  • 2010-02-05: Highest Volume — 137,455 contracts
  • 2010-02-04: Largest IV spike — 18.3% change
  • 2010-02-04: Highest IV Rank — 14.7%
  • 2010-02-04: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.18$150.68$158.33$153.13$156.35
Max Pain$156.05$155.00$160.00$160.00$155.00
ATM IV30.4%25.3%37.6%32.4%25.3%
Expected Move8.8%7.2%10.8%9.3%7.2%
HV 20d34.0%28.3%36.9%34.4%28.5%
HV 60d28.9%27.6%29.5%28.1%27.6%
IV Rank6.1%0.0%14.7%8.5%0.0%
IV Percentile22.7%0.4%52.8%33.3%0.4%
Term Structure1.8%0.2%3.6%0.5%3.6%
VWIV31.1%25.4%37.8%33.6%25.4%
Skew 25d5.4%3.4%7.8%4.3%3.9%
Skew 10d11.3%6.8%16.1%9.2%9.9%
Call IV 25d28.9%23.6%36.2%31.8%23.6%
Put IV 25d34.3%27.5%41.4%36.1%27.5%
Bid-Ask Spread %5.624.397.755.134.83
Gamma HHI0.080.070.110.080.08
Net GEX2.8M-15.0M27.2M-3.0M-3.2M
Net DEX539.5M121.9M1.09B814.6M349.2M
Net VEX-17.7M-18.9M-16.6M-18.2M-17.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.671.050.700.82
Total Volume87,101.63248,577137,45596,35548,577
Total OI854,569.579667,781953,450860,823717,461

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$153.13$160.0032.4%9.3%34.4%8.5%33.6%4.3%0.5%-3.0M814.6M-18.2M0.705.1356,67339,682432,629428,194
2010-02-02$156.94$160.0031.4%9.0%34.4%7.3%31.8%4.5%0.6%17.5M340.6M-18.6M0.804.6957,71746,092435,494428,174
2010-02-03$157.23$160.0031.8%9.1%33.4%7.8%31.7%4.6%1.1%15.6M308.5M-18.5M0.765.8753,33140,445437,688433,926
2010-02-04$150.68$160.0037.6%10.8%35.9%14.7%37.8%4.7%0.2%-15.0M1.09B-18.1M0.774.3964,38249,395440,049436,179
2010-02-05$154.16$155.0032.6%10.2%36.3%8.7%36.0%7.5%1.3%3.4M624.6M-18.9M0.735.2079,27358,182449,023441,045
2010-02-08$151.10$155.0035.9%10.6%36.3%12.7%36.9%7.2%0.7%-10.4M1.02B-18.4M0.677.7538,04425,536467,895447,331
2010-02-09$152.49$155.0034.1%10.2%36.6%10.5%34.5%7.7%0.7%-4.1M907.1M-18.4M0.675.1764,27843,047475,456448,399
2010-02-10$153.63$155.0029.6%9.4%36.4%5.2%33.6%7.8%1.5%-129.7K718.1M-18.2M0.835.8348,96740,576472,864452,131
2010-02-11$154.05$155.0031.9%9.2%36.2%8.0%32.9%7.5%2.0%-690.6K729.2M-18.0M0.755.9641,00330,926474,575455,044
2010-02-12$153.93$155.0031.0%8.9%36.2%6.8%31.4%7.2%2.1%-6.8M802.9M-17.9M0.895.6442,30637,562477,696459,514
2010-02-16$157.40$155.0030.8%8.8%36.9%6.6%30.9%5.9%1.7%24.1M203.3M-17.6M0.687.2056,77038,562477,406461,276
2010-02-17$157.26$155.0030.6%8.8%36.7%6.4%30.4%5.5%1.7%27.2M219.2M-17.7M1.036.8339,23640,270482,960462,860
2010-02-18$155.73$155.0028.5%8.2%36.6%3.9%28.6%5.2%2.9%-1.3M554.0M-16.9M1.036.9646,84048,458479,759466,696
2010-02-19$156.18$155.0027.3%7.8%33.7%2.5%27.4%4.7%2.7%2.2M496.0M-17.0M0.955.9042,85340,653481,453471,997
2010-02-22$156.71$155.0026.5%7.6%29.9%1.5%26.8%3.8%2.9%729.3K289.4M-16.7M1.054.4724,11625,350296,020371,761
2010-02-23$156.70$155.0027.9%8.0%29.9%3.1%27.8%3.4%2.4%-960.5K292.4M-16.7M0.725.3656,56840,682298,675378,316
2010-02-24$158.33$155.0025.5%7.3%28.3%0.3%26.4%3.5%2.5%8.3M121.9M-16.9M0.904.5631,27628,031310,456383,672
2010-02-25$156.44$155.0026.1%7.5%28.7%1.0%26.4%4.0%2.9%-982.3K372.8M-16.6M1.035.0443,96545,307315,217387,531
2010-02-26$156.35$155.0025.3%7.2%28.5%0.0%25.4%3.9%3.6%-3.2M349.2M-17.0M0.824.8326,62921,948319,185398,276