GS Options History — October 2010

In October 2010, GS traded between $146.57 and $163.24. ATM implied volatility averaged 25.1%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.1% (HV 20d: 21.1%). 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 19 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2010-10-19: Highest Volume — 160,402 contracts
  • 2010-10-14: Largest IV spike — 35.1% change
  • 2010-10-18: Highest IV Rank — 28.6%
  • 2010-10-18: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$154.77$146.57$163.24$147.70$161.13
Max Pain$149.05$145.00$150.00$150.00$150.00
ATM IV25.1%21.3%29.7%25.0%25.9%
Expected Move7.5%6.6%8.5%6.8%6.9%
HV 20d21.1%19.0%28.2%28.2%20.1%
HV 60d24.2%23.4%25.5%25.5%23.6%
IV Rank15.0%3.3%28.6%14.7%17.1%
IV Percentile17.5%0.8%52.0%11.5%23.4%
Term Structure0.9%-1.6%4.2%4.2%1.3%
VWIV26.7%23.7%30.5%24.6%24.3%
Skew 25d3.3%1.5%4.4%1.5%2.6%
Skew 10d6.6%4.0%8.7%4.0%6.4%
Call IV 25d25.2%22.7%28.7%24.0%23.0%
Put IV 25d28.5%25.3%32.5%25.5%25.6%
Bid-Ask Spread %5.853.789.285.126.74
Gamma HHI0.130.100.190.100.11
Net GEX76.2M22.8M111.5M34.1M86.6M
Net DEX-1.14B-2.01B-101.3M-337.4M-1.68B
Net VEX-14.9M-15.6M-14.4M-14.9M-15.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.431.050.460.66
Total Volume62,868.85726,672160,40256,03142,154
Total OI856,146.19704,384972,972936,464783,034

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$147.70$150.0025.0%6.8%28.2%14.7%24.6%1.5%4.2%34.1M-337.4M-14.9M0.465.1238,44717,584485,352451,112
2010-10-04$146.57$145.0029.4%8.5%21.4%27.8%30.5%4.2%1.0%22.8M-101.3M-14.4M0.803.7820,34916,226482,253448,684
2010-10-05$149.57$145.0027.6%8.2%21.9%22.4%28.4%4.4%0.9%53.6M-585.6M-15.0M0.496.0242,87521,179485,290452,987
2010-10-06$150.84$145.0024.0%8.2%21.4%11.7%28.6%3.9%1.0%69.7M-871.1M-15.2M0.525.8340,29220,994488,737452,564
2010-10-07$151.11$145.0023.9%8.1%21.1%11.1%28.5%4.1%1.0%76.1M-882.7M-14.8M0.725.4325,21118,155492,000454,327
2010-10-08$152.66$150.0021.3%7.7%21.2%3.3%26.9%4.1%1.0%83.2M-1.09B-14.9M0.484.9337,53818,073493,063457,032
2010-10-11$152.20$150.0024.4%8.0%19.0%12.9%27.8%3.6%0.4%87.6M-1.00B-14.4M0.856.1114,38412,288501,831452,905
2010-10-12$155.21$150.0024.4%7.8%19.8%12.8%27.5%3.3%0.1%111.3M-1.53B-14.8M0.574.7247,05126,649496,186453,661
2010-10-13$154.73$150.0021.5%7.8%19.9%4.0%27.7%3.1%0.1%111.5M-1.41B-14.7M0.615.7036,46522,169498,811457,225
2010-10-14$151.59$150.0029.0%8.3%21.3%26.7%29.1%3.5%-0.1%72.3M-855.4M-14.6M0.805.4042,28333,740502,016458,944
2010-10-15$150.69$150.0028.0%8.0%21.2%23.6%27.8%3.5%0.3%78.4M-812.8M-14.4M0.935.0639,69036,953508,704464,268
2010-10-18$153.70$150.0029.7%8.5%22.2%28.6%30.4%3.9%-1.6%50.5M-836.4M-14.7M0.618.5544,93527,580368,880335,504
2010-10-19$156.72$150.0026.6%7.6%23.1%19.3%26.7%4.2%0.3%71.6M-1.27B-15.4M0.505.11107,13253,270388,323345,625
2010-10-20$159.60$150.0024.2%6.9%22.0%12.1%24.7%2.9%1.1%90.8M-1.62B-15.3M0.437.0968,24229,666395,794354,251
2010-10-21$159.30$150.0023.9%6.8%20.0%11.2%24.8%3.0%1.6%92.6M-1.59B-15.6M1.059.2828,31829,796406,997360,183
2010-10-22$157.76$150.0023.2%6.6%20.2%9.0%23.7%2.6%1.7%67.1M-1.30B-15.1M0.676.9621,43814,348408,103363,755
2010-10-25$157.39$150.0024.9%7.1%19.8%14.2%24.8%2.5%1.1%69.1M-1.20B-15.0M0.655.4126,47117,125391,127354,926
2010-10-26$158.29$150.0023.7%6.8%19.4%10.7%24.3%2.9%1.1%75.7M-1.31B-14.9M0.494.6719,7149,736396,918358,778
2010-10-27$160.15$150.0024.2%6.9%19.3%12.3%25.0%3.4%1.0%91.2M-1.56B-14.8M0.615.4135,47921,533397,698360,854
2010-10-28$163.24$150.0023.4%6.7%19.8%9.7%24.6%3.3%1.1%105.1M-2.01B-15.3M0.545.5261,62133,093404,113366,255
2010-10-29$161.13$150.0025.9%6.9%20.1%17.1%24.3%2.6%1.3%86.6M-1.68B-15.2M0.666.7425,32116,833407,311375,723