GS Options History — November 2010

In November 2010, GS traded between $156.14 and $171.07. ATM implied volatility averaged 27.9%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.3% (HV 20d: 21.6%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2010-11-05: Highest Volume — 143,161 contracts
2010-11-30: Largest IV spike — 29.0% change
2010-11-30: Highest IV Rank — 53.2%
2010-11-30: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$164.05	$156.14	$171.07	$161.57	$156.14
Max Pain	$159.29	$155.00	$165.00	$155.00	$160.00
ATM IV	27.9%	23.3%	37.8%	31.6%	37.8%
Expected Move	7.6%	6.6%	9.8%	7.5%	9.8%
HV 20d	21.6%	18.8%	25.1%	19.6%	25.1%
HV 60d	23.7%	22.2%	24.2%	23.6%	22.2%
IV Rank	23.2%	9.5%	53.2%	34.6%	53.2%
IV Percentile	39.4%	5.2%	85.3%	62.7%	85.3%
Term Structure	1.2%	-1.0%	3.1%	0.2%	-1.0%
VWIV	27.0%	23.1%	34.5%	26.7%	34.5%
Skew 25d	3.7%	2.4%	5.0%	3.0%	4.6%
Skew 10d	8.3%	4.5%	11.6%	7.7%	8.3%
Call IV 25d	25.4%	21.9%	31.9%	25.1%	31.9%
Put IV 25d	29.1%	25.3%	36.6%	28.1%	36.6%
Bid-Ask Spread %	6.39	3.74	12.00	6.02	7.03
Gamma HHI	0.12	0.09	0.14	0.11	0.09
Net GEX	86.6M	33.8M	129.0M	87.1M	33.8M
Net DEX	-1.79B	-3.10B	-492.7M	-1.68B	-492.7M
Net VEX	-14.6M	-15.3M	-13.7M	-15.2M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.40	1.05	0.65	1.05
Total Volume	59,829.143	24,242	143,161	39,027	57,993
Total OI	789,803.19	714,783	821,218	772,178	776,642

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
2010-11-01	$161.57	$155.00	31.6%	7.5%	19.6%	34.6%	26.7%	3.0%	0.2%	87.1M	-1.68B	-15.2M	0.65	6.02	23,650	15,377	402,895	369,283
2010-11-02	$162.82	$155.00	30.9%	6.8%	18.8%	32.5%	25.3%	3.5%	1.0%	92.5M	-1.80B	-15.3M	0.56	5.64	19,262	10,827	405,497	372,963
2010-11-03	$162.63	$155.00	29.9%	6.6%	18.8%	29.3%	24.2%	2.4%	1.1%	94.8M	-1.77B	-14.8M	0.40	5.30	24,869	9,939	408,695	374,640
2010-11-04	$166.39	$155.00	24.4%	6.7%	19.9%	12.8%	24.5%	3.1%	1.3%	129.0M	-2.36B	-14.9M	0.50	5.63	46,057	23,055	413,684	376,257
2010-11-05	$171.07	$160.00	25.1%	6.7%	21.5%	14.7%	23.6%	3.0%	1.3%	117.5M	-3.10B	-14.7M	0.54	12.00	92,768	50,393	418,119	380,331
2010-11-08	$169.20	$160.00	26.1%	6.9%	22.1%	18.0%	24.9%	2.4%	2.0%	114.7M	-2.70B	-14.7M	0.57	5.72	38,709	22,145	411,322	380,675
2010-11-09	$166.55	$160.00	30.5%	7.3%	22.6%	31.2%	25.4%	2.9%	1.7%	98.8M	-2.25B	-15.0M	0.65	7.51	43,026	28,083	417,547	387,065
2010-11-10	$167.22	$160.00	24.8%	7.4%	22.5%	14.0%	25.7%	3.4%	1.6%	109.5M	-2.32B	-14.9M	0.63	6.59	33,154	20,789	419,775	391,245
2010-11-11	$167.71	$160.00	24.9%	7.1%	20.6%	14.3%	25.5%	3.6%	1.8%	115.3M	-2.37B	-14.9M	0.58	6.68	22,299	12,915	421,704	394,171
2010-11-12	$165.83	$160.00	27.2%	7.8%	21.0%	21.1%	27.4%	3.9%	1.3%	99.7M	-2.05B	-15.1M	0.74	7.46	35,745	26,588	422,759	396,279
2010-11-15	$167.22	$160.00	26.4%	7.6%	20.3%	18.8%	26.1%	3.4%	1.8%	112.6M	-2.28B	-15.0M	0.65	7.00	34,331	22,466	413,396	391,709
2010-11-16	$165.10	$160.00	27.3%	7.8%	20.3%	21.5%	27.8%	4.4%	1.7%	96.4M	-1.92B	-15.1M	1.00	7.73	37,763	37,758	414,789	394,994
2010-11-17	$164.89	$160.00	26.4%	7.6%	19.5%	18.7%	26.7%	3.9%	1.9%	95.1M	-1.90B	-14.9M	0.54	6.75	31,536	17,036	417,585	400,244
2010-11-18	$167.35	$160.00	24.8%	7.1%	20.0%	14.1%	25.0%	4.5%	2.4%	112.3M	-2.22B	-14.4M	0.53	7.80	35,412	18,907	415,962	402,934
2010-11-19	$166.67	$160.00	23.3%	6.7%	19.6%	9.5%	23.1%	3.4%	3.1%	78.4M	-2.17B	-14.4M	0.69	8.10	26,550	18,351	415,288	405,930
2010-11-22	$161.05	$165.00	29.4%	8.4%	23.6%	27.9%	29.9%	4.4%	0.3%	55.8M	-1.06B	-13.7M	1.02	3.97	64,384	65,456	365,336	349,447
2010-11-23	$157.78	$160.00	29.6%	8.5%	24.8%	28.5%	30.6%	5.0%	0.2%	39.7M	-661.1M	-14.2M	1.00	4.27	34,982	35,095	382,362	369,320
2010-11-24	$160.26	$160.00	28.2%	8.1%	25.0%	24.3%	28.5%	4.2%	1.0%	45.8M	-924.2M	-14.3M	0.67	3.74	26,144	17,416	388,235	379,199
2010-11-26	$158.22	$160.00	27.3%	8.5%	24.4%	21.4%	30.9%	4.3%	0.9%	43.3M	-709.7M	-14.1M	0.92	4.90	12,606	11,636	391,675	383,242
2010-11-29	$159.28	$160.00	29.3%	8.9%	24.1%	27.6%	31.4%	4.7%	-0.2%	47.2M	-880.9M	-13.9M	0.58	4.35	32,245	18,695	385,586	377,086
2010-11-30	$156.14	$160.00	37.8%	9.8%	25.1%	53.2%	34.5%	4.6%	-1.0%	33.8M	-492.7M	-13.9M	1.05	7.03	28,262	29,731	392,239	384,403