GS Options History — July 2010

In July 2010, GS traded between $131.08 and $152.58. ATM implied volatility averaged 31.1%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.2% (HV 20d: 26.9%). Max pain ranged from $135.00 to $145.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.68.

Notable Days

2010-07-16: Highest Volume — 279,480 contracts
2010-07-12: Largest IV spike — 20.0% change
2010-07-15: Highest IV Rank — 52.9%
2010-07-06: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$142.54	$131.08	$152.58	$131.14	$150.82
Max Pain	$140.24	$135.00	$145.00	$145.00	$145.00
ATM IV	31.1%	24.1%	38.9%	38.9%	27.2%
Expected Move	9.2%	6.9%	11.5%	11.2%	7.5%
HV 20d	26.9%	24.0%	30.0%	25.9%	25.4%
HV 60d	39.3%	30.6%	46.5%	46.2%	31.5%
IV Rank	31.5%	11.9%	52.9%	50.9%	21.1%
IV Percentile	43.6%	5.6%	81.0%	79.8%	19.8%
Term Structure	1.7%	-2.6%	5.8%	4.0%	2.5%
VWIV	32.2%	25.2%	40.3%	38.6%	25.8%
Skew 25d	5.1%	3.4%	7.3%	6.1%	4.2%
Skew 10d	10.4%	6.1%	16.1%	13.9%	8.2%
Call IV 25d	29.8%	23.0%	36.8%	36.8%	24.4%
Put IV 25d	34.9%	27.0%	43.4%	42.9%	28.6%
Bid-Ask Spread %	5.30	3.20	15.05	4.74	4.52
Gamma HHI	0.08	0.07	0.15	0.07	0.10
Net GEX	43.1M	-6.4M	87.6M	-6.4M	74.1M
Net DEX	-201.4M	-1.67B	1.47B	1.44B	-1.39B
Net VEX	-20.2M	-21.4M	-18.7M	-19.6M	-20.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.42	0.85	0.61	0.54
Total Volume	85,781.381	26,702	279,480	78,941	79,395
Total OI	1,071,523.619	836,709	1,277,294	1,183,213	946,036

Daily Data (21 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
2010-07-01	$131.14	$145.00	38.9%	11.2%	25.9%	50.9%	38.6%	6.1%	4.0%	-6.4M	1.44B	-19.6M	0.61	4.74	48,977	29,964	656,171	527,042
2010-07-02	$131.08	$145.00	35.3%	10.1%	25.7%	41.0%	35.4%	3.9%	5.8%	-6.0M	1.47B	-19.1M	0.59	4.95	28,659	16,876	663,122	532,203
2010-07-06	$132.26	$135.00	36.1%	11.5%	24.8%	43.1%	40.3%	7.3%	-0.1%	-2.4M	1.38B	-18.7M	0.82	5.18	30,079	24,594	670,020	532,883
2010-07-07	$135.83	$135.00	32.0%	10.5%	26.8%	32.2%	36.0%	7.0%	0.9%	16.6M	925.2M	-19.2M	0.75	4.76	38,843	29,074	670,816	532,457
2010-07-08	$135.46	$135.00	30.9%	10.3%	26.7%	29.2%	36.8%	6.9%	0.7%	13.7M	1.02B	-18.9M	0.69	5.44	35,552	24,510	677,715	533,913
2010-07-09	$138.06	$135.00	28.9%	9.7%	26.3%	23.8%	33.5%	6.7%	1.3%	32.1M	627.4M	-19.2M	0.68	5.67	47,230	32,235	680,923	535,514
2010-07-12	$137.25	$135.00	34.7%	10.1%	26.0%	39.4%	35.4%	5.8%	1.0%	27.7M	720.0M	-18.9M	0.85	6.41	22,839	19,334	684,966	538,303
2010-07-13	$140.25	$135.00	32.3%	9.8%	26.2%	32.8%	33.7%	6.1%	0.9%	50.1M	222.0M	-19.4M	0.60	4.25	60,056	36,135	691,285	541,632
2010-07-14	$139.06	$135.00	35.5%	10.2%	25.0%	46.3%	36.4%	6.0%	0.9%	35.1M	435.4M	-19.4M	0.74	5.54	30,250	22,382	687,938	542,757
2010-07-15	$145.22	$135.00	37.7%	10.8%	29.2%	52.9%	37.9%	4.3%	-2.6%	73.3M	-777.3M	-20.6M	0.42	15.05	153,358	64,734	695,374	548,401
2010-07-16	$146.17	$140.00	34.9%	10.0%	29.2%	44.3%	34.7%	4.8%	1.4%	80.4M	-1.03B	-21.4M	0.67	4.42	167,180	112,300	712,915	564,379
2010-07-19	$145.68	$140.00	33.7%	9.7%	29.3%	40.8%	33.9%	5.6%	-0.2%	39.0M	-773.0M	-20.9M	0.76	7.60	60,296	45,635	449,064	387,645
2010-07-20	$148.91	$140.00	27.2%	7.8%	30.0%	21.1%	28.3%	3.9%	1.9%	55.6M	-1.14B	-21.2M	0.66	3.20	86,417	56,793	470,665	403,345
2010-07-21	$146.99	$140.00	27.9%	8.0%	29.1%	23.2%	27.3%	3.6%	3.1%	51.1M	-934.3M	-21.4M	0.70	4.03	47,797	33,493	483,585	413,150
2010-07-22	$146.55	$145.00	30.9%	8.9%	29.2%	32.4%	31.0%	5.9%	1.1%	50.0M	-841.2M	-21.2M	0.81	6.80	40,547	32,973	491,744	414,720
2010-07-23	$147.38	$145.00	27.4%	7.8%	29.2%	21.7%	27.4%	4.6%	2.9%	57.7M	-973.3M	-21.3M	0.80	4.13	20,363	16,204	498,185	418,527
2010-07-26	$148.20	$145.00	24.1%	6.9%	27.0%	11.9%	25.2%	3.9%	4.0%	61.1M	-1.05B	-20.8M	0.63	3.24	20,243	12,691	497,403	420,771
2010-07-27	$147.23	$145.00	26.0%	7.5%	25.7%	17.6%	25.8%	3.5%	3.0%	55.3M	-976.2M	-20.8M	0.81	3.64	25,084	20,304	500,296	423,616
2010-07-28	$147.20	$145.00	26.9%	7.7%	24.0%	20.4%	26.2%	3.4%	2.7%	59.7M	-923.1M	-20.3M	0.55	3.42	17,239	9,463	503,626	427,197
2010-07-29	$152.58	$145.00	25.3%	7.2%	24.7%	15.4%	26.9%	4.3%	1.2%	87.6M	-1.67B	-21.1M	0.63	4.28	62,253	39,058	505,568	426,124
2010-07-30	$150.82	$145.00	27.2%	7.5%	25.4%	21.1%	25.8%	4.2%	2.5%	74.1M	-1.39B	-20.9M	0.54	4.52	51,396	27,999	508,165	437,871