GS Options History — April 2011

In April 2011, GS traded between $150.60 and $162.40. ATM implied volatility averaged 21.7%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.7% (HV 20d: 17.0%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2011-04-19: Highest Volume — 127,804 contracts
  • 2011-04-14: Largest IV spike — 16.2% change
  • 2011-04-14: Highest IV Rank — 20.8%
  • 2011-04-14: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$156.40$150.60$162.40$160.23$151.01
Max Pain$158.25$155.00$160.00$160.00$155.00
ATM IV21.7%19.1%25.8%19.4%19.1%
Expected Move6.4%5.5%7.4%5.7%5.5%
HV 20d17.0%15.6%18.8%18.3%16.2%
HV 60d19.2%17.5%20.8%20.5%17.6%
IV Rank9.1%1.8%20.8%2.5%1.8%
IV Percentile12.5%0.4%44.8%1.6%0.4%
Term Structure0.1%-1.1%3.0%3.0%0.7%
VWIV22.3%19.6%25.6%20.2%19.6%
Skew 25d2.8%1.6%4.0%2.2%1.7%
Skew 10d5.7%3.4%7.9%5.5%3.9%
Call IV 25d21.2%18.8%24.5%19.1%18.9%
Put IV 25d24.0%20.5%27.5%21.2%20.5%
Bid-Ask Spread %7.614.6714.346.196.01
Gamma HHI0.150.100.550.190.11
Net GEX16.7M-169.9M76.8M61.3M-7.2M
Net DEX-931.1K-625.0M454.3M-291.5M431.1M
Net VEX-10.4M-11.0M-9.9M-10.6M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.441.050.570.76
Total Volume50,083.6522,845127,80449,02039,339
Total OI474,556.1387,764539,671481,571463,773

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$160.23$160.0019.4%5.7%18.3%2.5%20.2%2.2%3.0%61.3M-291.5M-10.6M0.576.1931,20517,815249,238232,333
2011-04-04$158.90$160.0021.4%6.7%18.1%8.3%23.3%3.1%-0.4%24.7M-123.4M-10.5M0.836.1416,13513,411253,441228,493
2011-04-05$158.91$160.0022.3%6.5%17.3%10.9%22.9%2.9%-0.1%27.7M-135.4M-10.4M0.496.9419,6779,546260,578231,276
2011-04-06$161.89$160.0021.5%6.7%18.5%8.6%23.4%2.8%-0.6%69.6M-561.0M-10.9M0.478.8032,71315,461269,686233,988
2011-04-07$162.40$160.0021.2%6.9%17.9%7.7%23.2%3.1%-0.4%76.8M-625.0M-11.0M0.448.5738,20816,750272,220233,164
2011-04-08$160.96$160.0021.0%6.8%18.2%7.2%23.6%3.1%-0.4%54.0M-434.0M-10.9M0.6212.3917,89011,153273,446236,667
2011-04-11$161.47$160.0023.2%6.9%17.4%13.5%23.8%3.5%-0.5%60.9M-470.9M-10.7M0.676.8618,33512,273270,525234,416
2011-04-12$160.42$160.0025.3%6.9%17.4%19.4%24.4%4.0%-0.6%52.0M-341.0M-10.8M0.697.9028,46519,634273,064236,148
2011-04-13$160.17$160.0022.2%6.8%15.8%10.5%23.1%3.1%-0.3%52.5M-351.3M-10.7M0.816.8332,70826,367281,036236,312
2011-04-14$155.79$160.0025.8%7.4%18.8%20.8%25.6%3.0%-1.1%-11.4M197.3M-10.3M0.896.5150,67045,099279,239240,202
2011-04-15$155.13$160.0024.6%7.0%15.9%17.4%24.1%3.6%-0.1%-169.9M242.5M-10.6M1.036.0726,93127,762287,907251,764
2011-04-18$153.78$160.0024.1%6.9%16.1%16.0%24.7%3.5%-0.4%6.7M248.2M-10.3M0.769.5047,97736,373199,461188,303
2011-04-19$151.86$160.0021.5%6.2%16.3%8.5%21.5%1.6%1.3%1.8M365.3M-10.1M0.634.6778,26049,544217,941201,039
2011-04-20$152.70$155.0019.9%5.7%16.5%3.9%20.9%3.0%0.7%12.0M284.7M-10.4M1.055.2226,67327,908235,492214,087
2011-04-21$153.51$155.0020.0%5.7%16.6%4.2%20.8%2.7%0.3%9.9M245.7M-10.4M0.826.0919,80016,214231,927215,995
2011-04-25$152.19$155.0021.1%6.0%16.4%7.4%20.6%2.3%0.2%5.1M336.9M-10.1M0.6214.3422,77814,230223,309208,894
2011-04-26$153.27$155.0019.2%5.5%16.4%1.8%19.7%2.5%0.3%9.9M233.7M-10.1M0.9111.2811,93610,909224,199215,507
2011-04-27$152.86$155.0019.6%5.6%15.6%3.0%20.0%2.4%0.4%7.7M275.0M-10.0M0.605.8715,3049,230225,631214,933
2011-04-28$150.60$155.0021.5%6.2%16.1%8.6%21.6%2.0%0.0%-9.5M454.3M-9.9M0.646.1228,66718,323228,069217,419
2011-04-29$151.01$155.0019.1%5.5%16.2%1.8%19.6%1.7%0.7%-7.2M431.1M-9.9M0.766.0122,35916,980236,893226,880