GS Options History — May 2010

In May 2010, GS traded between $136.10 and $149.50. ATM implied volatility averaged 45.8%, placing in the 69.5% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 10.9% (HV 20d: 56.6%). Max pain ranged from $145.00 to $160.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2010-05-03: Highest Volume — 284,859 contracts
2010-05-06: Largest IV spike — 17.5% change
2010-05-20: Highest IV Rank — 90.1%
2010-05-20: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$142.95	$136.10	$149.50	$149.50	$144.26
Max Pain	$150.50	$145.00	$160.00	$160.00	$145.00
ATM IV	45.8%	40.6%	53.3%	43.5%	40.6%
Expected Move	13.1%	11.6%	15.3%	12.5%	11.6%
HV 20d	56.6%	40.1%	66.4%	66.3%	40.1%
HV 60d	43.0%	41.0%	45.9%	41.5%	45.2%
IV Rank	69.5%	55.5%	90.1%	63.3%	55.5%
IV Percentile	90.5%	81.3%	99.2%	87.3%	81.3%
Term Structure	0.1%	-2.6%	2.2%	-0.2%	2.2%
VWIV	46.3%	41.2%	53.4%	45.3%	42.0%
Skew 25d	8.6%	6.0%	13.9%	7.6%	8.6%
Skew 10d	18.0%	12.2%	34.4%	15.2%	16.2%
Call IV 25d	42.5%	37.5%	49.5%	40.6%	37.5%
Put IV 25d	51.1%	45.6%	58.9%	48.2%	46.1%
Bid-Ask Spread %	6.97	4.08	18.98	4.08	6.93
Gamma HHI	0.08	0.07	0.19	0.08	0.08
Net GEX	27.5M	-37.1M	78.6M	75.4M	51.8M
Net DEX	822.9M	-297.9M	2.38B	-187.9M	-195.7M
Net VEX	-30.2M	-34.7M	-25.9M	-34.2M	-28.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.46	1.11	0.96	0.93
Total Volume	168,011.2	68,384	284,859	284,859	68,384
Total OI	1,665,410.75	1,340,743	1,837,909	1,646,587	1,384,186

Daily Data (20 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
2010-05-03	$149.50	$160.00	43.5%	12.5%	66.3%	63.3%	45.3%	7.6%	-0.2%	75.4M	-187.9M	-34.2M	0.96	4.08	145,613	139,246	962,883	683,704
2010-05-04	$149.45	$155.00	43.8%	12.6%	66.4%	64.3%	43.9%	6.4%	-1.1%	78.6M	-260.2M	-34.7M	0.63	4.19	153,430	96,368	988,422	692,989
2010-05-05	$148.19	$155.00	42.8%	12.3%	65.6%	61.5%	43.6%	7.8%	-0.2%	73.9M	4.8M	-34.6M	0.46	5.02	123,327	57,026	1,018,038	705,612
2010-05-06	$142.32	$155.00	50.3%	14.4%	65.7%	81.9%	50.2%	6.0%	-2.6%	24.7M	1.17B	-32.6M	0.68	18.98	138,909	94,843	1,002,000	710,304
2010-05-07	$142.99	$150.00	50.2%	14.1%	65.9%	81.5%	50.0%	12.8%	-0.2%	38.6M	877.7M	-33.5M	1.04	4.88	92,161	96,067	1,025,646	715,847
2010-05-10	$143.83	$150.00	49.5%	13.7%	66.2%	79.5%	48.5%	13.9%	-0.6%	35.1M	1.01B	-32.0M	0.82	5.66	86,140	70,529	1,030,775	727,510
2010-05-11	$141.97	$150.00	47.5%	14.0%	65.8%	74.3%	47.4%	11.8%	-1.0%	19.4M	1.32B	-31.0M	0.74	5.13	64,187	47,312	1,042,994	730,932
2010-05-12	$147.20	$150.00	41.0%	12.5%	66.3%	56.5%	44.5%	9.0%	0.5%	72.3M	63.6M	-32.9M	1.11	5.89	63,731	70,923	1,062,411	727,815
2010-05-13	$144.65	$150.00	43.5%	12.5%	66.2%	63.4%	43.9%	7.9%	0.7%	30.3M	864.5M	-30.8M	0.80	5.18	59,222	47,330	1,056,016	717,669
2010-05-14	$143.23	$150.00	41.3%	11.8%	47.1%	57.5%	42.8%	7.4%	1.9%	9.9M	1.28B	-29.8M	1.09	5.47	73,347	79,766	1,060,450	723,622
2010-05-17	$142.64	$150.00	42.7%	12.2%	46.4%	61.2%	44.0%	7.4%	0.8%	-5.7M	1.49B	-29.3M	0.77	7.50	118,578	91,476	1,065,051	746,370
2010-05-18	$137.36	$150.00	48.9%	14.0%	47.4%	78.1%	48.4%	8.4%	0.3%	-26.7M	2.25B	-27.4M	1.02	6.02	99,015	100,971	1,074,245	732,889
2010-05-19	$140.10	$150.00	47.2%	13.5%	48.4%	73.3%	48.0%	9.4%	0.3%	-7.5M	1.82B	-28.4M	0.86	7.93	99,310	85,783	1,084,781	744,160
2010-05-20	$136.10	$150.00	53.3%	15.3%	49.0%	90.1%	53.4%	9.4%	-1.3%	-25.3M	2.38B	-27.5M	0.86	10.14	82,712	70,913	1,087,116	746,714
2010-05-21	$140.62	$150.00	49.1%	14.1%	51.0%	78.5%	48.6%	8.4%	-0.3%	-37.1M	1.46B	-28.0M	0.74	11.64	155,866	115,997	1,088,578	749,331
2010-05-24	$136.69	$150.00	48.7%	14.0%	50.6%	77.5%	47.8%	7.2%	0.1%	16.3M	896.2M	-25.9M	0.57	5.57	71,607	41,087	791,587	549,156
2010-05-25	$142.56	$150.00	45.0%	12.9%	53.2%	67.3%	46.5%	7.9%	0.1%	42.3M	55.7M	-28.2M	0.67	7.87	81,203	54,331	792,948	556,152
2010-05-26	$140.30	$145.00	45.3%	13.0%	52.2%	68.3%	45.5%	7.9%	1.2%	27.8M	441.1M	-27.0M	0.76	7.14	72,785	55,245	799,198	558,192
2010-05-27	$144.95	$145.00	40.6%	11.7%	53.2%	55.6%	41.2%	7.5%	1.4%	55.3M	-297.9M	-28.4M	0.60	4.21	59,824	35,660	808,255	563,667
2010-05-28	$144.26	$145.00	40.6%	11.6%	40.1%	55.5%	42.0%	8.6%	2.2%	51.8M	-195.7M	-28.2M	0.93	6.93	35,384	33,000	817,607	566,579