GS Options History — September 2010

In September 2010, GS traded between $139.74 and $154.37. ATM implied volatility averaged 27.1%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.8% (HV 20d: 27.9%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2010-09-03: Highest Volume — 132,305 contracts
  • 2010-09-07: Largest IV spike — 19.0% change
  • 2010-09-07: Highest IV Rank — 35.4%
  • 2010-09-07: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$147.87$139.74$154.37$139.74$144.58
Max Pain$148.10$145.00$150.00$145.00$150.00
ATM IV27.1%24.8%31.9%30.1%25.9%
Expected Move7.6%7.1%8.4%7.7%7.3%
HV 20d27.9%19.5%30.1%19.5%27.3%
HV 60d26.1%24.9%26.9%25.0%25.1%
IV Rank21.0%14.0%35.4%29.9%17.4%
IV Percentile25.8%10.7%54.8%45.2%19.0%
Term Structure3.3%2.1%4.4%3.7%4.2%
VWIV27.1%25.2%30.2%28.1%26.1%
Skew 25d3.8%1.9%6.3%4.4%2.5%
Skew 10d8.3%4.9%14.1%8.7%6.4%
Call IV 25d25.4%23.2%27.3%25.6%25.1%
Put IV 25d29.2%27.2%33.4%30.1%27.6%
Bid-Ask Spread %4.743.687.203.905.06
Gamma HHI0.110.080.220.080.09
Net GEX50.0M6.9M116.7M7.9M20.2M
Net DEX-526.2M-1.64B433.3M427.9M110.9M
Net VEX-16.0M-17.2M-14.4M-15.9M-14.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.441.130.960.97
Total Volume56,670.1930,603132,30551,57555,202
Total OI910,773.667845,097949,622896,709923,770

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$139.74$145.0030.1%7.7%19.5%29.9%28.1%4.4%3.7%7.9M427.9M-15.9M0.963.9026,33225,243468,384428,325
2010-09-02$139.78$145.0025.4%7.4%19.6%15.8%26.7%3.4%4.2%6.9M433.3M-16.0M0.723.7017,80612,797472,559437,524
2010-09-03$147.29$145.0026.8%8.2%28.4%20.1%28.3%5.3%3.4%44.8M-590.5M-17.2M0.634.0081,40650,899475,565438,912
2010-09-07$145.21$145.0031.9%8.4%28.6%35.4%30.2%5.5%2.8%37.5M-252.8M-16.7M1.135.2223,80326,811481,904439,928
2010-09-08$147.54$145.0026.2%8.2%29.3%18.1%30.0%6.3%2.8%51.8M-552.8M-17.0M0.753.6843,64932,544482,641443,849
2010-09-09$149.14$145.0028.2%8.1%27.6%24.3%28.4%5.1%2.5%71.2M-819.3M-17.0M0.963.9630,17628,927492,814446,806
2010-09-10$150.39$145.0027.1%7.8%27.8%20.7%26.9%5.0%3.4%116.7M-1.06B-17.2M0.584.4426,83715,696497,194452,428
2010-09-13$154.37$145.0025.7%7.4%29.0%16.8%26.6%4.5%3.3%99.7M-1.64B-16.9M0.996.6833,14532,838490,137443,684
2010-09-14$152.53$150.0026.0%7.5%29.4%17.7%26.9%3.5%3.1%89.0M-1.32B-16.7M0.743.7025,41518,931491,653448,221
2010-09-15$152.56$150.0024.8%7.1%29.3%14.0%26.1%3.1%4.0%92.0M-1.28B-16.4M0.805.8029,01023,299491,045449,421
2010-09-16$152.23$150.0025.5%7.3%29.4%16.2%25.3%3.6%4.0%80.3M-1.18B-16.3M0.685.0219,44213,128490,081453,189
2010-09-17$150.98$150.0025.0%7.2%29.0%14.6%25.3%4.0%4.4%68.4M-935.3M-15.9M0.804.3229,85323,789490,359454,968
2010-09-20$151.90$150.0025.4%7.3%28.9%15.8%25.2%4.8%3.5%53.3M-867.6M-15.7M0.444.7532,41214,322441,744403,353
2010-09-21$151.40$150.0025.6%7.3%28.7%16.3%25.5%3.2%3.8%56.2M-850.8M-15.9M0.747.2033,51724,933446,129406,739
2010-09-22$148.07$150.0026.4%7.6%29.0%18.8%27.2%3.1%2.9%38.5M-393.1M-15.6M0.814.6438,28530,827452,235412,810
2010-09-23$144.91$150.0028.0%8.0%30.1%23.8%28.4%3.6%2.1%17.3M10.7M-15.1M0.885.3147,35341,543452,892418,662
2010-09-24$147.28$150.0025.5%7.6%29.6%16.1%26.2%2.9%2.3%35.2M-291.7M-15.3M0.695.0724,70017,076467,946430,908
2010-09-27$146.00$150.0030.1%7.8%29.2%29.9%27.5%2.2%2.6%29.0M-165.7M-15.0M0.784.6321,88817,160464,722427,731
2010-09-28$145.01$150.0030.1%7.5%28.0%29.9%26.8%1.9%3.3%20.5M5.8M-14.9M0.763.8824,62418,751469,759433,275
2010-09-29$144.42$150.0030.2%7.4%28.1%30.2%26.7%2.3%3.6%13.6M150.1M-14.4M0.734.6032,28823,417473,640438,341
2010-09-30$144.58$150.0025.9%7.3%27.3%17.4%26.1%2.5%4.2%20.2M110.9M-14.5M0.975.0628,08727,115481,846441,924