GS Options History — May 2011

In May 2011, GS traded between $134.99 and $151.87. ATM implied volatility averaged 23.4%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.8% (HV 20d: 16.6%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-05-12: Highest Volume — 205,063 contracts
  • 2011-05-31: Largest IV spike — 24.4% change
  • 2011-05-20: Highest IV Rank — 28.2%
  • 2011-05-20: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$143.21$134.99$151.87$151.30$140.73
Max Pain$146.90$140.00$155.00$155.00$140.00
ATM IV23.4%19.9%27.2%23.4%24.8%
Expected Move6.6%5.9%7.8%6.0%6.2%
HV 20d16.6%13.3%20.9%15.6%20.9%
HV 60d17.9%17.1%18.6%17.6%18.2%
IV Rank15.3%5.1%28.2%14.1%23.1%
IV Percentile29.2%4.0%65.1%23.8%44.0%
Term Structure0.5%-0.5%1.2%0.2%0.5%
VWIV23.7%20.7%28.2%21.7%22.1%
Skew 25d3.5%1.7%6.7%2.3%3.5%
Skew 10d7.7%3.4%13.8%5.0%9.1%
Call IV 25d22.0%19.9%25.4%20.1%20.6%
Put IV 25d25.5%21.9%32.1%22.4%24.1%
Bid-Ask Spread %6.954.7713.626.178.72
Gamma HHI0.160.090.710.110.09
Net GEX-28.1M-192.3M6.9M-5.0M6.9M
Net DEX814.6M289.5M1.53B370.0M504.6M
Net VEX-10.7M-11.6M-9.8M-10.4M-11.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.471.400.780.47
Total Volume57,050.23821,958205,06331,91443,437
Total OI531,150.429455,647615,058455,647574,494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$151.30$155.0023.4%6.0%15.6%14.1%21.7%2.3%0.2%-5.0M370.0M-10.4M0.786.1717,96213,952232,662222,985
2011-05-03$151.87$155.0023.8%6.0%15.6%15.1%21.8%2.3%0.2%311.8K289.5M-10.6M1.394.8413,53818,784238,466223,618
2011-05-04$151.52$155.0022.4%5.9%15.6%11.2%20.9%2.0%0.5%-3.8M320.1M-11.1M0.824.7714,08311,619240,319228,640
2011-05-05$150.41$155.0021.0%6.0%13.6%7.1%21.2%1.7%0.3%-12.1M423.7M-11.0M0.787.4314,22511,039243,043230,907
2011-05-06$150.10$150.0021.1%6.2%13.4%7.4%22.7%3.1%0.7%-46.2M437.0M-10.9M0.717.5715,11210,692245,374232,471
2011-05-09$149.12$150.0021.6%6.1%13.3%8.8%22.3%3.3%0.5%-19.1M545.6M-10.5M1.057.9412,71513,327243,823231,537
2011-05-10$150.40$150.0021.1%6.0%13.8%7.4%20.7%2.9%0.6%-12.5M423.0M-10.6M0.537.1714,3757,583244,814235,277
2011-05-11$147.88$150.0020.5%6.2%14.5%5.8%22.4%3.2%0.5%-29.8M678.5M-10.3M0.815.7120,85716,814247,309236,201
2011-05-12$142.75$150.0024.3%7.0%18.2%16.7%26.2%4.8%-0.1%-42.4M1.15B-9.8M1.2113.6292,588112,475253,580239,819
2011-05-13$141.46$150.0025.4%7.3%16.4%19.6%25.7%4.5%0.7%-31.6M1.16B-10.4M1.008.3966,82066,692279,867264,868
2011-05-16$140.60$145.0026.6%7.6%16.4%23.1%27.0%4.8%0.4%-26.0M1.11B-10.7M1.074.8621,85723,355297,022268,616
2011-05-17$140.81$145.0024.9%7.1%16.5%18.3%25.0%3.7%0.7%-27.7M1.12B-10.7M1.116.2736,05439,958301,430270,682
2011-05-18$140.84$145.0022.3%6.4%16.2%10.9%22.2%3.1%1.2%-31.0M1.12B-10.8M0.945.5923,89222,417315,181280,241
2011-05-19$139.34$145.0023.1%6.6%16.0%13.2%24.1%3.7%1.1%-39.5M1.21B-10.6M1.136.6838,47343,533315,716278,082
2011-05-20$134.99$145.0027.2%7.8%18.2%28.2%28.2%6.7%-0.2%-192.3M1.53B-10.4M1.406.3455,08076,851329,282285,776
2011-05-23$135.84$140.0026.1%7.5%18.8%25.2%26.9%5.7%-0.5%-17.5M1.04B-10.7M1.075.4834,46736,828278,034262,678
2011-05-24$136.34$140.0025.4%7.3%18.5%25.4%26.0%3.2%-0.0%-16.3M991.2M-11.1M0.736.0619,11313,896285,961272,829
2011-05-25$136.24$140.0024.4%7.0%18.5%21.8%25.0%2.9%0.3%-15.2M987.9M-11.0M0.596.3215,8809,364290,952274,899
2011-05-26$136.26$140.0022.5%6.4%18.3%14.6%23.3%2.7%1.1%-25.4M972.4M-10.9M0.556.9723,13712,666296,616276,395
2011-05-27$138.66$140.0019.9%6.0%19.8%5.1%22.2%3.4%1.0%-3.7M732.9M-11.4M0.579.0827,16315,382303,676280,017
2011-05-31$140.73$140.0024.8%6.2%20.9%23.1%22.1%3.5%0.5%6.9M504.6M-11.6M0.478.7229,52313,914299,709274,785