GS Options History — August 2010

In August 2010, GS traded between $136.66 and $156.41. ATM implied volatility averaged 27.7%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 4.9% (HV 20d: 22.8%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2010-08-04: Highest Volume — 132,897 contracts
  • 2010-08-30: Largest IV spike — 32.0% change
  • 2010-08-31: Highest IV Rank — 50.7%
  • 2010-08-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$148.22$136.66$156.41$152.74$136.93
Max Pain$148.64$145.00$150.00$145.00$145.00
ATM IV27.7%23.8%37.0%29.7%37.0%
Expected Move7.7%6.6%8.8%7.0%8.7%
HV 20d22.8%19.4%27.1%25.3%19.6%
HV 60d27.6%24.7%30.7%30.5%24.7%
IV Rank22.8%10.9%50.7%28.7%50.7%
IV Percentile26.1%4.8%77.8%38.9%77.8%
Term Structure3.4%1.7%5.3%2.2%3.3%
VWIV27.3%24.0%30.1%26.0%30.1%
Skew 25d4.7%2.4%6.0%5.1%3.5%
Skew 10d9.5%5.8%12.3%9.3%8.0%
Call IV 25d25.2%22.5%28.7%23.5%28.7%
Put IV 25d29.8%25.0%32.8%28.5%32.2%
Bid-Ask Spread %5.083.309.184.994.08
Gamma HHI0.100.070.170.110.07
Net GEX57.2M-15.2M139.3M82.7M-3.2M
Net DEX-855.9M-2.30B715.1M-1.64B705.2M
Net VEX-18.7M-20.8M-15.7M-20.3M-15.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.421.460.640.67
Total Volume53,735.31831,755132,89748,20141,630
Total OI934,608835,586996,728939,114893,078

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$152.74$145.0029.7%7.0%25.3%28.7%26.0%5.1%2.2%82.7M-1.64B-20.3M0.644.9929,38518,816504,653434,461
2010-08-03$153.19$145.0027.2%6.6%25.4%21.2%25.1%4.6%2.7%87.7M-1.68B-20.4M0.764.4526,24919,954509,627434,653
2010-08-04$156.41$145.0026.5%7.0%24.9%19.1%25.2%2.9%1.7%112.5M-2.30B-20.7M0.423.3093,73539,162512,648434,218
2010-08-05$155.92$145.0024.4%6.7%24.9%12.8%24.0%2.4%1.9%114.2M-2.20B-20.8M0.574.0046,59626,432520,083439,149
2010-08-06$155.18$150.0023.9%7.4%24.8%11.4%26.4%4.8%2.4%139.3M-2.11B-20.5M0.799.1837,34729,451525,363441,204
2010-08-09$155.40$150.0026.4%7.4%24.5%18.9%26.3%4.9%2.1%104.4M-2.02B-20.0M0.734.9818,38613,369517,287438,251
2010-08-10$153.90$150.0025.6%7.3%24.4%16.4%26.6%4.8%3.0%94.0M-1.75B-20.0M0.875.8122,21919,375517,594440,447
2010-08-11$149.25$150.0027.0%8.2%27.1%20.5%29.2%4.9%3.2%63.0M-1.03B-19.9M1.255.3526,90133,558520,467445,018
2010-08-12$149.42$150.0028.4%8.1%22.7%24.8%28.9%4.9%3.5%60.9M-1.02B-19.6M0.646.7521,16013,479522,224449,954
2010-08-13$148.08$150.0027.9%8.0%22.9%23.4%28.6%4.7%3.8%58.8M-816.4M-19.0M0.955.6219,64518,759524,507449,434
2010-08-16$147.76$150.0027.8%8.0%22.8%22.9%28.6%5.0%3.7%53.4M-746.0M-18.7M0.836.2422,41518,500522,667449,757
2010-08-17$148.59$150.0027.9%8.0%21.5%23.2%28.8%5.8%4.0%63.7M-893.5M-18.6M0.717.4124,31417,158522,461450,652
2010-08-18$149.20$150.0027.2%7.8%21.0%21.2%28.2%6.0%3.6%73.1M-1.00B-18.9M1.463.9921,34731,153525,379452,260
2010-08-19$147.05$150.0028.7%8.2%21.7%25.9%28.2%5.7%3.3%46.1M-584.4M-18.4M0.734.3432,38123,595526,989466,460
2010-08-20$148.24$150.0023.8%6.8%21.8%10.9%24.7%5.2%5.3%53.4M-717.5M-18.5M1.064.0124,74226,287526,098470,630
2010-08-23$146.74$150.0025.6%7.3%22.0%16.3%25.4%4.5%4.5%30.0M-344.9M-17.8M0.943.9226,15324,593438,772396,814
2010-08-24$143.95$150.0026.9%7.7%22.9%20.4%28.0%4.9%3.8%18.3M-34.4M-17.5M0.944.8828,90527,194447,064405,434
2010-08-25$144.68$150.0026.4%7.6%23.0%18.9%26.8%4.7%3.9%19.5M-103.8M-17.8M0.525.9528,59714,908451,308410,091
2010-08-26$141.81$150.0028.2%8.1%19.4%24.3%28.1%4.5%4.5%7.6M251.7M-16.9M0.984.3322,41821,914453,809411,897
2010-08-27$139.75$150.0027.2%7.8%19.6%21.3%27.9%4.2%4.8%-15.2M495.2M-16.6M0.724.3548,28534,960459,343417,134
2010-08-30$136.66$145.0035.9%8.8%19.7%47.6%29.9%4.6%3.3%-4.8M715.1M-15.7M0.843.7525,45821,292462,263419,774
2010-08-31$136.93$145.0037.0%8.7%19.6%50.7%30.1%3.5%3.3%-3.2M705.2M-15.8M0.674.0824,99616,634466,046427,032