GS Options History — January 2011

In January 2011, GS traded between $161.31 and $175.00. ATM implied volatility averaged 24.1%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.1% (HV 20d: 21.0%). Max pain ranged from $155.00 to $170.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-01-19: Highest Volume — 181,771 contracts
  • 2011-01-28: Largest IV spike — 18.3% change
  • 2011-01-12: Highest IV Rank — 23.3%
  • 2011-01-06: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$168.62$161.31$175.00$173.05$163.62
Max Pain$164.00$155.00$170.00$155.00$165.00
ATM IV24.1%20.5%27.2%26.8%22.9%
Expected Move7.0%5.9%7.8%7.5%6.1%
HV 20d21.0%16.4%26.4%19.2%26.4%
HV 60d22.2%20.7%23.6%21.9%23.6%
IV Rank14.2%3.6%23.3%22.0%10.6%
IV Percentile18.3%1.2%46.8%41.7%6.3%
Term Structure0.1%-1.2%1.6%-0.9%1.1%
VWIV25.0%21.3%27.4%27.1%22.3%
Skew 25d2.7%1.6%3.2%2.7%3.2%
Skew 10d5.7%3.3%7.4%5.2%6.6%
Call IV 25d23.7%20.3%26.4%25.6%20.8%
Put IV 25d26.3%22.6%28.5%28.3%24.0%
Bid-Ask Spread %7.263.8915.883.894.77
Gamma HHI0.170.080.720.160.09
Net GEX103.4M-473.3K703.0M121.3M17.0M
Net DEX-1.61B-2.94B-30.9M-2.60B-248.5M
Net VEX-10.8M-11.6M-9.9M-11.0M-10.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.311.200.540.64
Total Volume64,164.3529,264181,77173,86829,264
Total OI679,106.95340,209857,290754,490397,113

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$173.05$155.0026.8%7.5%19.2%22.0%27.1%2.7%-0.9%121.3M-2.60B-11.0M0.543.8947,90525,963382,838371,652
2011-01-04$173.08$155.0024.4%7.3%19.2%15.0%26.5%3.1%-1.1%128.9M-2.65B-11.0M0.664.4823,13115,343391,837378,147
2011-01-05$174.00$155.0023.1%7.2%18.9%11.2%26.2%2.4%-0.6%137.3M-2.80B-10.9M0.484.6527,51813,240392,433382,068
2011-01-06$172.21$155.0024.5%7.8%17.2%15.4%27.2%1.9%-1.2%123.1M-2.52B-11.3M0.744.7529,53821,809397,876386,017
2011-01-07$170.69$165.0023.0%7.3%17.6%10.9%26.6%3.0%0.7%109.1M-2.27B-11.3M1.207.2636,51443,793402,971392,305
2011-01-10$169.76$165.0025.2%7.6%17.3%17.5%27.0%2.6%0.6%97.6M-1.93B-11.6M0.7810.6822,40117,398402,579393,007
2011-01-11$169.36$165.0024.3%7.6%17.2%14.7%27.4%2.4%0.2%105.9M-2.04B-11.1M0.6110.0730,29418,392406,104394,995
2011-01-12$171.67$165.0027.2%7.5%17.2%23.3%26.2%2.9%-0.3%121.8M-2.31B-11.1M0.3113.1847,31214,733412,487400,571
2011-01-13$171.57$165.0026.0%7.5%16.4%19.7%26.1%3.2%-0.2%127.5M-2.32B-11.2M0.576.7526,81015,350422,559406,096
2011-01-14$175.00$165.0023.0%6.6%17.3%11.1%23.9%2.8%1.0%703.0M-2.94B-11.1M0.4715.8848,81322,937419,458407,942
2011-01-18$174.68$165.0025.4%7.3%17.3%18.0%25.8%2.0%-0.8%142.7M-2.85B-10.5M0.567.3265,84836,914412,201402,951
2011-01-19$166.49$170.0026.4%7.6%24.7%21.0%26.4%2.8%-1.1%48.5M-1.32B-9.9M0.714.93106,58375,188425,527413,649
2011-01-20$165.69$170.0023.5%6.7%24.3%12.5%23.6%2.6%0.9%22.8M-1.27B-10.3M0.526.4554,86728,373429,087424,700
2011-01-21$166.20$165.0022.9%6.6%24.1%10.8%23.4%3.1%1.3%10.9M-1.48B-10.5M1.035.9331,05631,937430,626426,664
2011-01-24$166.30$170.0021.6%6.2%23.8%6.8%21.5%3.1%0.7%17.5M-321.2M-10.1M0.655.3220,31813,134170,547169,662
2011-01-25$161.98$170.0024.1%6.9%24.9%14.1%24.1%2.9%-0.3%1.5M-30.9M-10.2M1.097.8047,17351,530175,523175,594
2011-01-26$161.31$165.0023.2%6.6%24.9%11.4%23.4%1.6%0.2%-473.3K-56.2M-10.6M0.555.7028,64715,763191,561193,125
2011-01-27$164.03$165.0020.5%5.9%25.7%3.6%21.3%2.3%1.6%23.7M-265.9M-10.7M0.618.7230,29118,622197,038196,638
2011-01-28$161.77$165.0024.3%6.6%26.1%14.6%23.2%2.9%0.7%8.4M-81.6M-10.8M1.006.6024,34124,244203,139202,852
2011-01-31$163.62$165.0022.9%6.1%26.4%10.6%22.3%3.2%1.1%17.0M-248.5M-10.7M0.644.7717,86111,403198,934198,179