GS Options History — February 2011

In February 2011, GS traded between $162.94 and $168.81. ATM implied volatility averaged 21.5%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.1% (HV 20d: 21.6%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2011-02-22: Highest Volume — 64,047 contracts
  • 2011-02-22: Largest IV spike — 26.3% change
  • 2011-02-22: Highest IV Rank — 14.8%
  • 2011-02-22: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$165.86$162.94$168.81$165.33$163.78
Max Pain$164.21$160.00$165.00$165.00$165.00
ATM IV21.5%18.5%24.2%21.8%21.9%
Expected Move6.1%5.5%6.9%5.9%6.1%
HV 20d21.6%16.6%25.3%24.4%16.8%
HV 60d21.9%20.6%23.2%23.2%20.8%
IV Rank6.7%0.0%14.8%7.3%9.8%
IV Percentile6.0%0.0%25.4%3.6%7.9%
Term Structure1.5%0.9%2.5%1.3%1.3%
VWIV22.1%19.9%25.7%20.9%22.4%
Skew 25d3.6%2.7%6.4%3.1%4.0%
Skew 10d8.1%6.1%17.1%6.3%10.7%
Call IV 25d20.3%18.6%23.4%19.4%20.5%
Put IV 25d23.9%21.9%28.5%22.5%24.5%
Bid-Ask Spread %8.284.9319.454.936.86
Gamma HHI0.160.090.350.100.10
Net GEX35.6M7.6M85.9M28.7M16.2M
Net DEX-455.0M-823.9M-170.9M-382.3M-258.5M
Net VEX-11.1M-11.4M-10.9M-11.0M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.511.180.510.91
Total Volume39,322.57923,41264,04740,97728,458
Total OI424,484.526375,560454,999402,832416,918

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$165.33$165.0021.8%5.9%24.4%7.3%20.9%3.1%1.3%28.7M-382.3M-11.0M0.514.9327,09813,879201,725201,107
2011-02-02$165.05$165.0023.7%5.7%24.4%13.0%20.3%3.4%1.3%28.1M-371.7M-11.0M0.706.1213,8069,606206,174204,163
2011-02-03$164.64$165.0020.2%5.7%24.2%2.8%20.6%2.7%1.5%25.0M-300.7M-11.0M0.556.8627,47315,004207,590206,058
2011-02-04$164.83$160.0019.3%6.2%24.1%0.0%22.0%3.1%0.9%85.9M-321.9M-11.0M0.626.1419,99612,303211,352209,652
2011-02-07$167.13$160.0022.6%6.1%24.6%9.9%21.4%3.1%1.0%35.8M-550.9M-10.9M0.627.8030,57618,960209,595208,054
2011-02-08$168.55$160.0021.9%6.1%24.7%7.6%22.0%3.0%1.4%52.2M-687.0M-11.0M0.536.5226,07213,731213,590210,371
2011-02-09$166.01$165.0022.3%6.6%25.3%8.9%23.6%3.3%1.2%24.8M-427.0M-11.1M0.6111.7535,96021,765216,195211,695
2011-02-10$165.34$165.0022.6%6.5%24.7%9.9%23.0%3.2%1.4%22.6M-400.1M-11.3M0.7411.2119,91714,663226,919217,700
2011-02-11$166.66$165.0021.6%6.2%25.0%6.8%22.1%3.5%1.6%38.1M-568.7M-11.3M0.8412.8520,19816,998228,172220,195
2011-02-14$167.52$165.0021.0%6.0%23.8%5.2%22.0%2.9%1.6%47.3M-633.7M-11.1M0.627.7717,31310,649223,375216,383
2011-02-15$167.91$165.0020.6%5.9%23.9%3.9%22.0%3.0%1.8%56.3M-648.0M-11.1M0.538.4119,49710,397225,082218,220
2011-02-16$168.81$165.0019.9%5.7%16.6%1.9%20.9%3.4%2.2%80.7M-823.9M-10.9M0.5919.4524,71214,582227,654218,608
2011-02-17$167.16$165.0021.3%6.1%17.0%6.0%21.1%3.8%1.7%42.4M-603.1M-10.9M0.636.2020,49412,974228,440219,769
2011-02-18$168.04$165.0019.2%5.5%17.0%0.0%20.4%3.5%2.5%41.5M-667.2M-10.9M0.827.4919,20215,667231,855223,144
2011-02-22$162.94$165.0024.2%6.9%20.3%14.8%25.7%4.5%1.1%11.9M-233.2M-10.9M1.185.9029,37734,670188,853186,707
2011-02-23$163.09$165.0023.2%6.6%18.0%11.7%25.4%6.4%1.4%8.1M-170.9M-11.2M1.087.7423,57525,479197,486201,274
2011-02-24$163.44$165.0022.1%6.3%17.9%8.4%23.4%4.7%1.8%7.6M-212.0M-11.3M0.876.6024,54121,365200,692209,364
2011-02-25$165.12$165.0018.5%5.6%17.3%0.0%19.9%3.3%2.1%22.6M-384.9M-11.4M0.606.7822,64113,531205,230215,845
2011-02-28$163.78$165.0021.9%6.1%16.8%9.8%22.4%4.0%1.3%16.2M-258.5M-11.3M0.916.8614,89313,565204,285212,633