GS Options History — March 2011

In March 2011, GS traded between $154.38 and $164.49. ATM implied volatility averaged 24.7%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.9% (HV 20d: 19.8%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.93.

Notable Days

2011-03-18: Highest Volume — 93,057 contracts
2011-03-03: Largest IV drop — 22.8% change
2011-03-16: Highest IV Rank — 32.5%
2011-03-16: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$159.52	$154.38	$164.49	$161.31	$158.60
Max Pain	$160.65	$160.00	$165.00	$165.00	$160.00
ATM IV	24.7%	20.0%	29.8%	29.5%	20.0%
Expected Move	6.9%	5.7%	8.6%	7.2%	5.7%
HV 20d	19.8%	16.7%	22.9%	17.2%	19.3%
HV 60d	20.8%	20.4%	21.3%	20.4%	20.4%
IV Rank	17.8%	4.1%	32.5%	31.4%	4.1%
IV Percentile	33.0%	2.4%	69.4%	68.3%	2.4%
Term Structure	1.4%	-0.8%	2.9%	-0.6%	2.9%
VWIV	24.3%	20.2%	30.8%	25.0%	20.2%
Skew 25d	3.8%	1.9%	5.5%	5.3%	1.9%
Skew 10d	8.9%	4.1%	14.2%	11.7%	4.1%
Call IV 25d	22.6%	18.9%	28.2%	22.7%	19.7%
Put IV 25d	26.4%	21.6%	33.7%	28.0%	21.6%
Bid-Ask Spread %	11.11	4.90	33.37	5.44	18.75
Gamma HHI	0.11	0.09	0.23	0.09	0.11
Net GEX	2.6M	-37.4M	36.2M	3.3M	19.0M
Net DEX	-4.6M	-333.4M	472.0M	-75.3M	-101.3M
Net VEX	-11.0M	-11.4M	-10.5M	-11.0M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.46	1.75	1.57	0.46
Total Volume	42,028	19,935	93,057	68,124	37,145
Total OI	453,804.826	414,278	487,675	422,528	468,725

Daily Data (23 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
2011-03-01	$161.31	$165.00	29.5%	7.2%	17.2%	31.4%	25.0%	5.3%	-0.6%	3.3M	-75.3M	-11.0M	1.57	5.44	26,555	41,569	206,595	215,933
2011-03-02	$161.69	$165.00	27.3%	6.6%	16.7%	25.3%	23.5%	5.2%	0.8%	79.3K	-37.5M	-11.3M	0.79	5.75	20,889	16,576	210,295	224,472
2011-03-03	$164.49	$165.00	21.1%	5.8%	17.9%	7.4%	20.8%	5.3%	1.6%	36.2M	-333.4M	-11.0M	0.49	7.57	25,357	12,453	213,723	227,577
2011-03-04	$161.00	$160.00	24.2%	6.9%	19.4%	16.4%	24.8%	4.7%	2.0%	-5.0M	39.5M	-11.3M	1.16	7.59	33,203	38,549	221,145	231,173
2011-03-07	$159.15	$160.00	28.8%	7.3%	19.8%	29.5%	25.5%	4.8%	1.2%	-11.0M	178.8M	-11.2M	1.04	22.93	22,667	23,555	215,710	228,710
2011-03-08	$161.30	$160.00	26.2%	7.0%	19.7%	22.0%	24.3%	4.3%	1.3%	-220.1K	-36.8M	-11.4M	0.69	23.49	20,270	13,926	221,906	232,694
2011-03-09	$162.35	$160.00	22.7%	7.0%	19.6%	12.0%	24.3%	4.5%	1.5%	8.1M	-169.2M	-11.3M	0.79	4.90	16,476	13,020	225,647	234,902
2011-03-10	$160.27	$160.00	25.7%	7.4%	19.4%	20.5%	26.0%	4.5%	1.1%	-5.1M	23.7M	-11.4M	0.98	6.09	15,771	15,442	227,195	236,819
2011-03-11	$160.68	$160.00	24.5%	7.0%	19.5%	17.2%	24.7%	4.2%	1.8%	-1.4M	-23.0M	-11.3M	1.26	6.44	12,905	16,272	228,151	238,519
2011-03-14	$158.43	$160.00	25.1%	7.2%	19.6%	18.9%	25.6%	3.6%	1.5%	-16.5M	200.5M	-11.0M	0.95	5.97	18,330	17,408	224,819	233,579
2011-03-15	$157.25	$160.00	26.8%	7.7%	19.5%	23.8%	26.0%	3.6%	1.1%	-26.2M	304.7M	-10.9M	0.57	6.05	29,612	16,796	228,168	236,497
2011-03-16	$154.38	$160.00	29.8%	8.6%	20.1%	32.5%	30.8%	5.5%	-0.8%	-26.0M	472.0M	-11.0M	1.12	23.31	28,213	31,525	243,016	237,672
2011-03-17	$155.75	$160.00	26.8%	7.7%	20.3%	23.8%	27.3%	4.7%	1.4%	-37.4M	364.9M	-10.9M	1.75	33.37	21,047	36,748	240,666	240,152
2011-03-18	$159.96	$160.00	24.7%	7.1%	22.9%	17.8%	25.2%	3.3%	1.5%	-12.8M	-92.7M	-11.1M	0.72	6.99	53,984	39,073	243,318	244,357
2011-03-21	$160.21	$160.00	24.8%	7.1%	22.8%	18.1%	25.0%	3.5%	0.5%	21.0M	-221.8M	-11.1M	0.71	8.14	27,762	19,616	210,569	203,709
2011-03-22	$160.79	$160.00	23.2%	6.6%	20.2%	13.4%	23.5%	3.7%	1.5%	25.1M	-271.4M	-11.0M	0.85	22.67	18,068	15,274	217,047	209,966
2011-03-23	$159.53	$160.00	23.0%	6.6%	20.4%	13.0%	23.9%	3.1%	1.5%	19.7M	-151.9M	-11.1M	1.05	7.36	9,728	10,207	224,668	215,304
2011-03-24	$159.91	$160.00	22.8%	6.5%	20.4%	12.2%	23.3%	2.5%	1.5%	23.1M	-206.3M	-11.0M	1.08	7.45	10,294	11,089	227,127	217,564
2011-03-25	$157.97	$160.00	20.6%	6.5%	20.3%	6.0%	23.8%	2.5%	1.6%	11.2M	11.1M	-10.8M	0.98	7.14	17,014	16,742	231,705	221,023
2011-03-28	$156.47	$160.00	24.5%	6.7%	20.3%	17.1%	23.8%	1.9%	1.4%	2.3M	145.6M	-10.6M	0.80	6.53	13,848	11,047	230,670	220,382
2011-03-29	$158.47	$160.00	22.8%	6.0%	20.4%	12.3%	21.5%	2.8%	2.7%	11.7M	-16.2M	-10.6M	0.94	6.07	20,458	19,209	234,266	224,347
2011-03-30	$159.07	$160.00	23.6%	5.8%	20.4%	14.6%	21.1%	2.8%	2.7%	19.9M	-110.4M	-10.7M	0.74	5.60	17,816	13,136	239,266	227,763
2011-03-31	$158.60	$160.00	20.0%	5.7%	19.3%	4.1%	20.2%	1.9%	2.9%	19.0M	-101.3M	-10.5M	0.46	18.75	25,457	11,688	240,281	228,444