GS Options History — April 2010

In April 2010, GS traded between $145.20 and $184.92. ATM implied volatility averaged 31.1%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 5.7% (HV 20d: 36.8%). Max pain ranged from $160.00 to $175.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-04-30: Highest Volume — 721,028 contracts
  • 2010-04-16: Largest IV spike — 71.2% change
  • 2010-04-30: Highest IV Rank — 84.5%
  • 2010-04-30: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.88$145.20$184.92$170.22$145.20
Max Pain$169.05$160.00$175.00$170.00$160.00
ATM IV31.1%20.2%51.3%22.6%51.3%
Expected Move9.4%6.5%14.7%6.5%14.7%
HV 20d36.8%15.2%65.6%16.7%65.6%
HV 60d32.3%26.1%41.9%26.6%41.9%
IV Rank26.5%0.0%84.5%0.0%84.5%
IV Percentile39.3%0.0%97.6%0.0%97.6%
Term Structure-0.3%-5.4%4.9%4.9%-2.6%
VWIV33.2%22.9%51.3%22.9%51.3%
Skew 25d4.3%1.0%10.2%1.0%10.2%
Skew 10d8.7%1.9%23.1%1.9%23.1%
Call IV 25d31.1%22.7%47.0%22.7%47.0%
Put IV 25d35.4%23.7%57.2%23.7%57.2%
Bid-Ask Spread %5.402.2710.242.273.73
Gamma HHI0.120.070.270.100.07
Net GEX42.2M-78.9M128.6M8.9M11.4M
Net DEX-705.0M-2.72B1.27B-538.1M1.27B
Net VEX-21.1M-31.3M-15.9M-16.7M-28.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.461.270.650.63
Total Volume203,640.28638,512721,02839,405721,028
Total OI957,561.714752,4091,412,094752,4091,412,094

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$170.22$170.0022.6%6.5%16.7%0.0%22.9%1.0%4.9%8.9M-538.1M-16.7M0.652.2723,85915,546323,298429,111
2010-04-05$173.16$175.0022.6%7.4%16.1%0.1%26.2%3.7%0.6%25.3M-897.5M-16.4M0.544.3138,17120,481325,442431,081
2010-04-06$172.90$170.0022.1%7.4%15.2%0.0%26.5%3.9%0.5%21.4M-870.1M-16.3M0.736.5022,20916,303327,138433,074
2010-04-07$176.36$175.0022.6%7.4%16.4%0.9%26.1%3.5%0.2%60.8M-1.43B-16.1M0.644.5658,43237,529328,299435,709
2010-04-08$179.50$175.0023.2%7.7%16.3%1.8%29.1%4.3%-0.1%83.8M-1.89B-16.6M1.275.4664,34181,847328,299435,709
2010-04-09$179.12$175.0020.8%7.8%16.2%0.0%27.7%3.5%-0.0%65.9M-1.68B-17.0M0.755.9550,17837,817327,392478,566
2010-04-12$177.84$175.0024.6%8.1%16.2%7.1%28.8%3.1%-0.5%46.3M-1.45B-17.0M0.603.6329,76417,712332,196488,663
2010-04-13$179.25$175.0022.3%7.8%16.1%2.7%27.9%3.4%-0.1%67.9M-1.71B-16.6M0.505.0139,58419,678337,510488,483
2010-04-14$184.92$175.0020.2%7.5%18.6%0.0%26.6%3.4%-0.2%128.6M-2.72B-15.9M0.7010.2485,86859,777339,050488,864
2010-04-15$184.27$175.0026.1%7.5%18.8%13.7%26.3%2.8%0.2%111.0M-2.49B-16.6M0.505.0641,98421,147341,968495,783
2010-04-16$160.70$175.0044.6%12.8%52.7%58.2%44.2%6.3%-5.4%-78.9M1.23B-17.4M0.757.89398,564300,863344,991498,300
2010-04-19$163.32$170.0038.9%11.2%53.2%44.6%38.1%4.5%-3.0%6.2M-158.5M-20.7M0.468.78229,043105,131339,918420,974
2010-04-20$159.98$165.0036.9%10.6%53.5%39.7%37.1%4.0%-1.2%18.1M-23.3M-22.8M0.805.13146,447116,698440,171483,799
2010-04-21$158.93$165.0035.6%10.2%53.5%40.5%36.4%3.3%-0.5%26.6M-83.4M-24.6M0.974.98110,239107,048502,727525,341
2010-04-22$159.05$165.0034.9%10.0%53.5%38.6%35.6%3.3%-0.3%28.8M-145.5M-25.8M0.636.3194,69859,809527,979555,686
2010-04-23$157.40$165.0035.2%10.1%53.5%40.3%35.4%3.0%0.3%27.7M-36.0M-26.0M0.994.7457,25056,508550,937553,052
2010-04-26$152.03$165.0039.9%11.4%54.5%52.9%39.7%5.7%-0.7%-7.1M890.6M-24.8M0.513.62212,597107,823551,009566,327
2010-04-27$153.04$160.0038.5%11.0%54.5%49.1%40.0%6.2%-0.0%40.7M195.9M-27.3M0.925.67135,443124,376666,103581,744
2010-04-28$157.01$160.0036.8%10.6%55.5%45.3%37.6%5.4%0.3%76.6M-733.6M-28.9M0.664.24140,13493,000690,433604,038
2010-04-29$160.24$160.0033.3%9.6%56.2%35.8%34.6%5.0%1.3%116.3M-1.54B-31.3M0.705.22104,58772,933748,530629,008
2010-04-30$145.20$160.0051.3%14.7%65.6%84.5%51.3%10.2%-2.6%11.4M1.27B-28.5M0.633.73441,059279,969776,069636,025