GS Options History — June 2010

In June 2010, GS traded between $131.27 and $144.83. ATM implied volatility averaged 38.1%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 4.6% (HV 20d: 33.5%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2010-06-10: Highest Volume — 205,687 contracts
2010-06-18: Largest IV drop — 12.0% change
2010-06-10: Highest IV Rank — 68.6%
2010-06-09: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$137.39	$131.27	$144.83	$141.86	$131.27
Max Pain	$149.77	$145.00	$155.00	$145.00	$145.00
ATM IV	38.1%	31.6%	45.5%	44.8%	38.5%
Expected Move	11.1%	9.0%	13.1%	12.8%	11.0%
HV 20d	33.5%	25.2%	39.8%	38.9%	25.8%
HV 60d	45.5%	44.9%	46.5%	45.0%	46.5%
IV Rank	48.6%	30.9%	68.6%	66.9%	49.8%
IV Percentile	73.1%	47.2%	92.1%	90.9%	79.0%
Term Structure	1.5%	-1.4%	4.0%	1.0%	3.0%
VWIV	39.0%	32.6%	45.7%	43.9%	38.6%
Skew 25d	6.9%	4.5%	10.7%	9.0%	6.1%
Skew 10d	14.5%	9.2%	23.3%	16.6%	14.3%
Call IV 25d	36.2%	30.6%	42.1%	40.3%	36.8%
Put IV 25d	43.1%	35.5%	51.7%	49.3%	42.8%
Bid-Ask Spread %	4.43	3.08	6.49	3.41	4.16
Gamma HHI	0.07	0.06	0.10	0.07	0.07
Net GEX	200.8K	-32.8M	45.6M	29.9M	-6.6M
Net DEX	980.6M	-149.1M	1.71B	290.1M	1.48B
Net VEX	-22.5M	-27.0M	-19.3M	-26.6M	-19.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.50	1.34	0.92	0.85
Total Volume	83,390.636	44,869	205,687	49,152	49,129
Total OI	1,338,772.273	1,096,787	1,517,490	1,391,016	1,178,873

Daily Data (22 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
2010-06-01	$141.86	$145.00	44.8%	12.8%	38.9%	66.9%	43.9%	9.0%	1.0%	29.9M	290.1M	-26.6M	0.92	3.41	25,605	23,547	817,587	573,429
2010-06-02	$144.83	$145.00	39.5%	11.3%	39.8%	52.6%	39.7%	7.8%	1.8%	45.6M	-149.1M	-27.0M	0.66	3.63	44,200	29,264	819,148	576,983
2010-06-03	$144.04	$145.00	37.3%	10.7%	39.8%	46.6%	38.4%	7.2%	2.8%	33.1M	67.0M	-26.6M	0.81	3.08	31,508	25,397	824,628	577,897
2010-06-04	$142.25	$155.00	40.4%	12.4%	37.3%	55.0%	42.5%	9.5%	0.0%	23.4M	295.5M	-25.9M	0.85	3.72	63,712	54,343	823,263	577,753
2010-06-07	$138.68	$155.00	40.9%	12.5%	38.3%	56.4%	44.0%	9.0%	0.0%	-2.4M	920.8M	-24.2M	1.34	5.01	50,207	67,118	829,343	586,100
2010-06-08	$137.78	$155.00	39.1%	12.3%	38.2%	51.3%	44.4%	9.7%	0.9%	-15.4M	1.13B	-23.6M	1.18	4.03	61,709	72,618	829,927	587,014
2010-06-09	$136.80	$155.00	42.2%	13.1%	38.1%	59.7%	44.3%	10.7%	-1.4%	-18.6M	1.28B	-23.3M	0.64	5.85	59,982	38,598	835,088	600,639
2010-06-10	$133.77	$155.00	45.5%	13.0%	35.9%	68.6%	45.7%	9.6%	-1.0%	-30.5M	1.70B	-22.5M	0.86	3.76	110,581	95,106	848,009	603,734
2010-06-11	$135.64	$150.00	42.8%	12.3%	36.2%	61.4%	43.7%	8.5%	0.5%	-25.5M	1.39B	-23.2M	0.89	4.03	48,718	43,455	866,181	616,073
2010-06-14	$133.44	$150.00	43.1%	12.4%	36.4%	62.3%	43.8%	7.0%	-0.4%	-32.8M	1.71B	-21.8M	1.00	3.76	41,043	40,894	873,142	618,712
2010-06-15	$136.90	$150.00	40.4%	11.6%	37.8%	54.9%	39.7%	6.7%	0.5%	-17.1M	1.21B	-22.5M	0.58	5.08	49,272	28,590	878,617	622,256
2010-06-16	$137.06	$150.00	37.6%	10.8%	35.4%	47.2%	37.8%	5.6%	1.3%	-14.9M	1.26B	-21.5M	0.92	4.29	37,697	34,565	886,274	622,061
2010-06-17	$137.32	$150.00	35.9%	10.3%	34.7%	42.6%	35.7%	4.5%	1.7%	-9.3M	1.24B	-21.7M	0.72	4.50	47,237	34,245	888,893	622,206
2010-06-18	$138.18	$150.00	31.6%	9.0%	33.1%	30.9%	32.6%	4.9%	3.1%	5.3M	1.16B	-21.2M	0.96	6.49	42,063	40,570	895,888	621,602
2010-06-21	$137.74	$150.00	33.9%	9.7%	30.9%	37.3%	35.0%	5.4%	1.6%	8.5M	774.1M	-21.1M	0.75	4.29	37,127	27,835	607,472	489,315
2010-06-22	$134.79	$150.00	34.8%	10.0%	30.2%	39.6%	35.6%	5.2%	1.6%	3.8K	1.08B	-20.5M	0.87	3.30	29,243	25,507	614,245	494,199
2010-06-23	$135.07	$150.00	33.2%	9.5%	25.7%	35.4%	34.1%	4.8%	2.5%	2.4M	1.08B	-20.0M	0.73	4.78	28,012	20,559	619,457	503,226
2010-06-24	$134.98	$150.00	33.7%	9.7%	25.2%	36.9%	35.1%	5.0%	3.6%	485.9K	1.12B	-20.1M	0.64	4.86	45,456	29,291	623,197	509,011
2010-06-25	$139.66	$150.00	32.4%	9.3%	25.5%	33.3%	33.3%	5.1%	3.9%	18.5M	439.6M	-21.9M	0.55	5.57	58,101	31,955	636,744	516,296
2010-06-28	$136.66	$145.00	33.2%	9.5%	26.4%	35.4%	33.1%	5.0%	4.0%	9.3M	939.0M	-20.2M	0.50	4.17	29,960	14,909	646,797	520,656
2010-06-29	$133.76	$145.00	37.1%	10.6%	26.8%	45.9%	37.7%	5.5%	3.0%	869.8K	1.15B	-20.1M	0.86	5.67	35,358	30,308	649,856	521,199
2010-06-30	$131.27	$145.00	38.5%	11.0%	25.8%	49.8%	38.6%	6.1%	3.0%	-6.6M	1.48B	-19.3M	0.85	4.16	26,603	22,526	653,129	525,744