GS Options History — December 2010

In December 2010, GS traded between $158.45 and $169.83. ATM implied volatility averaged 24.2%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.9% (HV 20d: 23.2%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.64.

Notable Days

2010-12-02: Highest Volume — 76,697 contracts
2010-12-30: Largest IV drop — 19.2% change
2010-12-01: Highest IV Rank — 25.0%
2010-12-01: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.05	$158.45	$169.83	$158.45	$168.16
Max Pain	$153.64	$150.00	$160.00	$160.00	$155.00
ATM IV	24.2%	19.3%	28.5%	28.5%	19.3%
Expected Move	7.2%	6.5%	8.3%	8.3%	7.2%
HV 20d	23.2%	16.7%	27.2%	25.5%	16.7%
HV 60d	22.0%	21.2%	22.7%	22.2%	21.2%
IV Rank	12.2%	0.0%	25.0%	25.0%	0.0%
IV Percentile	16.3%	0.0%	50.0%	50.0%	0.0%
Term Structure	1.1%	0.1%	2.8%	1.2%	0.1%
VWIV	25.8%	23.7%	29.6%	29.6%	26.7%
Skew 25d	3.0%	2.0%	4.4%	4.3%	2.8%
Skew 10d	6.0%	4.3%	8.8%	8.1%	8.7%
Call IV 25d	24.3%	22.4%	27.9%	27.9%	24.9%
Put IV 25d	27.3%	24.8%	32.2%	32.2%	27.7%
Bid-Ask Spread %	4.98	3.18	7.12	4.89	3.18
Gamma HHI	0.14	0.10	0.18	0.10	0.14
Net GEX	98.2M	47.0M	141.9M	47.0M	91.2M
Net DEX	-1.74B	-2.41B	-715.0M	-715.0M	-1.78B
Net VEX	-12.1M	-13.9M	-11.1M	-13.9M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.35	0.99	0.49	0.49
Total Volume	42,548.773	19,376	76,697	41,589	19,376
Total OI	775,104.045	704,287	809,530	787,697	760,816

Daily Data (22 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
2010-12-01	$158.45	$160.00	28.5%	8.3%	25.5%	25.0%	29.6%	4.3%	1.2%	47.0M	-715.0M	-13.9M	0.49	4.89	27,824	13,765	392,953	394,744
2010-12-02	$162.50	$160.00	27.1%	7.8%	27.2%	20.8%	27.3%	2.5%	1.4%	84.6M	-1.33B	-13.9M	0.54	3.98	49,838	26,859	404,820	398,020
2010-12-03	$162.31	$160.00	26.0%	7.4%	25.8%	17.7%	25.4%	2.6%	2.8%	79.7M	-1.36B	-13.8M	0.56	3.44	32,582	18,111	409,156	400,374
2010-12-06	$162.65	$150.00	28.2%	7.8%	23.5%	24.2%	28.4%	3.9%	1.1%	91.7M	-1.39B	-13.3M	0.92	4.21	14,356	13,233	408,460	392,700
2010-12-07	$161.59	$150.00	25.7%	7.9%	23.4%	16.7%	27.8%	3.9%	0.9%	76.3M	-1.22B	-13.1M	0.61	6.05	28,559	17,434	406,886	395,485
2010-12-08	$166.14	$150.00	24.1%	7.6%	25.1%	11.9%	27.0%	4.4%	1.3%	112.8M	-1.86B	-13.3M	0.67	5.65	32,420	21,676	407,746	397,896
2010-12-09	$166.45	$150.00	23.2%	7.5%	25.0%	9.1%	26.8%	4.0%	1.1%	124.1M	-1.91B	-12.8M	0.60	5.53	29,361	17,634	406,523	399,163
2010-12-10	$168.47	$150.00	21.7%	7.1%	25.4%	4.6%	25.9%	3.4%	1.7%	129.7M	-2.26B	-12.6M	0.69	5.53	30,480	21,168	405,998	400,292
2010-12-13	$169.48	$150.00	23.7%	7.2%	25.1%	10.8%	25.4%	3.0%	1.4%	141.9M	-2.41B	-12.2M	0.58	7.12	46,847	27,153	401,490	396,089
2010-12-14	$167.33	$150.00	24.4%	7.2%	25.4%	12.8%	25.4%	3.1%	1.7%	125.0M	-2.04B	-12.1M	0.66	4.57	27,723	18,415	408,153	396,492
2010-12-15	$165.21	$150.00	24.9%	7.1%	25.4%	14.2%	25.2%	3.1%	1.5%	99.2M	-1.65B	-11.7M	0.55	5.52	32,779	18,143	402,073	398,120
2010-12-16	$164.46	$150.00	24.7%	7.1%	25.5%	13.6%	25.2%	2.4%	1.7%	85.5M	-1.47B	-11.6M	0.74	5.44	26,871	19,851	399,890	398,348
2010-12-17	$164.04	$155.00	23.6%	6.8%	24.8%	10.5%	24.2%	2.6%	2.5%	77.0M	-1.43B	-11.2M	0.82	5.11	20,547	16,776	400,963	400,254
2010-12-20	$166.05	$155.00	23.7%	6.8%	25.2%	10.7%	24.1%	2.8%	0.6%	85.4M	-1.62B	-11.1M	0.67	5.05	22,319	14,884	355,458	348,829
2010-12-21	$168.23	$155.00	22.8%	6.5%	22.2%	7.9%	23.7%	2.3%	0.7%	98.8M	-1.93B	-11.2M	0.35	4.95	33,851	11,873	361,909	356,662
2010-12-22	$169.60	$155.00	22.9%	6.6%	20.5%	8.2%	23.7%	2.7%	0.6%	114.8M	-2.11B	-11.5M	0.56	5.29	20,020	11,168	369,970	360,227
2010-12-23	$167.60	$155.00	23.5%	6.8%	20.7%	10.2%	24.5%	2.5%	0.8%	90.2M	-1.80B	-11.7M	0.81	5.01	16,409	13,365	372,146	363,749
2010-12-27	$169.83	$155.00	24.8%	7.1%	20.3%	14.1%	25.2%	2.8%	0.2%	103.7M	-2.15B	-11.2M	0.36	4.33	22,542	8,122	370,843	362,266
2010-12-28	$169.19	$155.00	24.6%	7.0%	20.4%	13.2%	25.3%	2.3%	0.2%	105.9M	-2.08B	-11.2M	0.99	5.39	16,887	16,662	379,151	364,599
2010-12-29	$167.63	$155.00	24.6%	7.0%	19.1%	13.3%	25.3%	2.0%	0.4%	95.6M	-1.84B	-11.1M	0.75	4.69	20,635	15,409	380,885	365,840
2010-12-30	$167.64	$155.00	19.9%	7.1%	18.7%	0.0%	25.7%	2.2%	0.4%	99.9M	-1.85B	-11.2M	0.69	4.74	13,090	9,056	384,377	371,474
2010-12-31	$168.16	$155.00	19.3%	7.2%	16.7%	0.0%	26.7%	2.8%	0.1%	91.2M	-1.78B	-11.4M	0.49	3.18	12,978	6,398	386,255	374,561