GS Options History — March 2010

In March 2010, GS traded between $156.54 and $177.90. ATM implied volatility averaged 25.0%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.4% (HV 20d: 20.6%). Max pain ranged from $155.00 to $170.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.88.

Notable Days

2010-03-15: Highest Volume — 142,372 contracts
2010-03-11: Largest IV spike — 14.6% change
2010-03-11: Highest IV Rank — 6.9%
2010-03-10: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$171.04	$156.54	$177.90	$156.54	$170.63
Max Pain	$166.09	$155.00	$170.00	$155.00	$170.00
ATM IV	25.0%	23.2%	27.8%	25.9%	23.9%
Expected Move	7.4%	6.7%	8.2%	7.4%	6.8%
HV 20d	20.6%	18.4%	26.4%	26.0%	20.6%
HV 60d	27.6%	26.9%	28.4%	27.5%	26.9%
IV Rank	2.3%	0.0%	6.9%	0.8%	1.2%
IV Percentile	3.2%	0.0%	11.5%	2.0%	1.6%
Term Structure	1.7%	-0.7%	4.3%	3.4%	4.0%
VWIV	26.3%	23.8%	29.0%	26.1%	24.2%
Skew 25d	3.5%	1.4%	5.4%	3.4%	1.8%
Skew 10d	7.4%	3.0%	11.2%	8.7%	5.0%
Call IV 25d	24.4%	22.8%	26.4%	24.3%	23.6%
Put IV 25d	27.9%	25.0%	31.3%	27.7%	25.5%
Bid-Ask Spread %	3.99	2.74	6.34	4.45	3.47
Gamma HHI	0.11	0.08	0.19	0.08	0.09
Net GEX	46.3M	-983.3K	80.8M	-983.3K	4.3M
Net DEX	-1.20B	-2.39B	350.7M	350.7M	-489.1M
Net VEX	-17.3M	-18.6M	-16.7M	-16.7M	-17.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.57	1.43	0.75	0.57
Total Volume	83,445.304	41,075	142,372	41,075	51,662
Total OI	764,410.522	671,514	860,799	725,239	738,554

Daily Data (23 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
2010-03-01	$156.54	$155.00	25.9%	7.4%	26.0%	0.8%	26.1%	3.4%	3.4%	-983.3K	350.7M	-16.7M	0.75	4.45	23,446	17,629	323,786	401,453
2010-03-02	$158.75	$155.00	24.5%	7.0%	24.4%	0.0%	25.6%	4.4%	4.3%	13.4M	83.3M	-16.9M	0.74	4.15	42,957	31,621	325,058	404,673
2010-03-03	$157.72	$155.00	24.5%	7.0%	23.0%	0.0%	25.5%	3.3%	4.3%	5.0M	227.6M	-16.9M	0.70	3.82	27,152	19,063	332,722	410,559
2010-03-04	$163.61	$155.00	23.5%	6.8%	26.4%	0.0%	24.9%	3.5%	4.0%	49.9M	-641.7M	-17.2M	0.70	2.74	77,227	53,704	336,111	412,554
2010-03-05	$167.18	$165.00	24.2%	8.2%	21.4%	0.8%	28.3%	4.4%	0.1%	71.3M	-1.21B	-17.7M	0.70	6.34	72,531	50,738	348,216	419,930
2010-03-08	$169.84	$165.00	24.5%	8.2%	20.7%	1.1%	29.0%	4.9%	-0.5%	77.7M	-1.50B	-17.6M	0.68	3.87	64,161	43,449	346,609	422,336
2010-03-09	$168.85	$165.00	23.2%	8.1%	19.0%	0.0%	28.7%	4.9%	-0.2%	65.7M	-1.24B	-17.6M	0.97	5.48	57,043	55,532	346,920	425,223
2010-03-10	$171.94	$165.00	24.3%	8.2%	19.5%	1.6%	28.8%	5.4%	-0.7%	74.7M	-1.62B	-17.7M	1.17	4.29	56,461	66,240	347,979	433,831
2010-03-11	$173.51	$170.00	27.8%	8.0%	19.5%	6.9%	28.8%	4.5%	-0.1%	68.5M	-1.75B	-18.3M	0.71	4.12	49,282	35,239	348,017	462,487
2010-03-12	$174.96	$170.00	27.7%	7.9%	19.5%	6.7%	28.5%	4.5%	0.4%	76.4M	-2.01B	-18.6M	0.91	4.42	66,194	60,010	352,682	465,441
2010-03-15	$173.53	$170.00	27.3%	7.8%	20.0%	6.1%	28.2%	4.2%	0.1%	61.5M	-1.71B	-17.9M	1.41	4.25	59,106	83,266	354,558	467,168
2010-03-16	$176.19	$165.00	26.4%	7.6%	19.4%	4.7%	26.6%	4.3%	1.1%	80.8M	-2.18B	-17.1M	0.87	3.76	55,346	48,002	354,591	483,625
2010-03-17	$176.64	$165.00	26.2%	7.5%	19.3%	4.4%	26.4%	4.2%	1.0%	79.4M	-2.27B	-17.7M	0.85	4.75	46,701	39,615	356,859	498,238
2010-03-18	$177.45	$170.00	25.6%	7.3%	18.4%	3.6%	25.5%	4.0%	1.5%	80.2M	-2.39B	-17.3M	1.13	3.19	29,636	33,617	355,715	501,812
2010-03-19	$177.90	$170.00	24.2%	6.9%	18.4%	1.4%	25.7%	4.6%	1.6%	77.9M	-2.30B	-17.4M	0.83	4.39	33,864	28,005	352,455	508,344
2010-03-22	$176.16	$170.00	25.6%	7.3%	19.3%	3.6%	26.2%	3.5%	0.6%	34.7M	-1.22B	-17.0M	1.43	4.18	25,277	36,091	278,676	392,838
2010-03-23	$174.83	$170.00	24.6%	7.0%	19.8%	2.2%	25.0%	1.7%	0.6%	31.0M	-1.10B	-16.7M	0.94	3.70	33,922	32,031	284,577	404,903
2010-03-24	$174.41	$170.00	25.1%	7.2%	19.9%	3.1%	25.4%	1.6%	0.5%	30.4M	-1.07B	-16.8M	0.89	3.02	23,015	20,425	291,538	408,072
2010-03-25	$174.90	$170.00	24.7%	7.1%	18.9%	2.4%	24.9%	2.6%	1.7%	30.5M	-1.09B	-17.1M	0.66	4.11	49,943	32,872	294,695	413,817
2010-03-26	$172.87	$170.00	23.2%	6.7%	19.8%	0.0%	23.8%	2.1%	4.0%	21.2M	-844.4M	-17.3M	0.86	3.29	41,917	36,195	301,373	414,065
2010-03-29	$174.05	$170.00	23.6%	6.8%	19.7%	0.6%	24.2%	2.3%	3.3%	25.1M	-934.4M	-17.3M	0.96	3.10	24,994	24,026	306,983	419,458
2010-03-30	$171.38	$170.00	24.0%	6.9%	20.7%	1.3%	24.1%	1.4%	3.8%	6.8M	-616.1M	-17.0M	0.80	2.88	33,333	26,702	309,944	421,997
2010-03-31	$170.63	$170.00	23.9%	6.8%	20.6%	1.2%	24.2%	1.8%	4.0%	4.3M	-489.1M	-17.0M	0.57	3.47	32,821	18,841	314,008	424,546