GS Options History — June 2011

In June 2011, GS traded between $129.26 and $137.53. ATM implied volatility averaged 27.6%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.1% (HV 20d: 22.5%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-06-02: Highest Volume — 126,244 contracts
  • 2011-06-30: Largest IV drop — 25.3% change
  • 2011-06-28: Highest IV Rank — 72.6%
  • 2011-06-08: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.14$129.26$137.53$136.17$133.09
Max Pain$141.36$140.00$145.00$140.00$140.00
ATM IV27.6%20.9%33.4%31.7%20.9%
Expected Move7.5%6.3%8.1%7.5%6.3%
HV 20d22.5%19.8%24.0%23.1%19.8%
HV 60d19.1%18.5%19.8%19.2%19.8%
IV Rank39.8%11.9%72.6%48.9%11.9%
IV Percentile67.1%7.5%94.4%86.5%7.5%
Term Structure1.4%-1.0%3.7%-1.0%3.7%
VWIV26.7%23.0%28.8%26.3%23.0%
Skew 25d4.3%2.5%6.0%3.8%2.6%
Skew 10d9.5%4.8%13.5%9.2%4.8%
Call IV 25d24.8%21.9%26.8%25.0%21.9%
Put IV 25d29.1%24.5%31.7%28.8%24.5%
Bid-Ask Spread %9.863.3340.257.323.33
Gamma HHI0.110.090.160.120.10
Net GEX-9.6M-26.7M6.6M-15.3M6.2M
Net DEX933.6M636.6M1.32B941.8M794.1M
Net VEX-11.7M-12.6M-11.0M-11.1M-11.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.571.341.050.63
Total Volume49,560.81823,294126,24456,08832,391
Total OI621,350.682560,952667,450575,557641,870

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$136.17$140.0031.7%7.5%23.1%48.9%26.3%3.8%-1.0%-15.3M941.8M-11.1M1.057.3227,30128,787300,246275,311
2011-06-02$134.38$140.0027.7%7.8%23.2%34.1%28.5%6.0%-1.0%-26.7M1.13B-11.0M1.346.2953,91072,334307,475283,370
2011-06-03$135.33$145.0025.8%7.5%23.7%27.1%26.1%4.5%1.5%-17.0M969.8M-11.6M0.7932.9536,70129,035320,672305,248
2011-06-06$133.90$145.0031.3%7.8%23.7%47.4%28.2%4.4%0.3%-17.8M1.11B-11.5M0.575.5721,86512,393326,280300,720
2011-06-07$132.99$145.0033.4%7.9%23.7%55.1%28.8%4.6%-0.1%-20.1M1.16B-11.5M0.5733.3728,03716,095331,695302,038
2011-06-08$131.59$145.0029.2%8.1%23.2%39.5%28.0%5.1%0.2%-26.4M1.32B-11.4M1.1013.2417,67219,487343,512307,728
2011-06-09$133.53$145.0026.4%7.6%24.0%29.2%26.9%5.1%0.4%-16.9M1.13B-11.8M1.185.5516,59419,537346,514310,828
2011-06-10$135.92$145.0026.5%7.6%22.5%32.4%28.2%4.8%0.6%-2.5M865.9M-12.2M0.796.4340,34131,968347,577314,382
2011-06-13$137.53$140.0024.5%7.0%22.9%24.2%26.2%4.6%1.4%6.6M696.6M-12.2M0.875.7418,73416,219342,735307,952
2011-06-14$137.10$140.0025.6%7.3%22.8%32.1%25.2%4.0%0.8%6.3M728.5M-11.9M0.935.4919,75818,338345,503308,158
2011-06-15$134.85$140.0026.4%7.6%23.4%38.4%26.4%4.5%1.3%-19.2M1.01B-11.9M1.225.4718,60522,700345,910316,038
2011-06-16$136.09$140.0026.2%7.5%23.8%37.5%26.7%4.4%2.4%-10.1M818.0M-12.0M0.825.9234,46628,118340,729313,083
2011-06-17$137.23$140.0026.5%7.6%23.8%39.0%26.7%4.6%3.0%5.8M636.6M-12.6M0.966.1928,42427,231351,871315,579
2011-06-20$135.14$140.0026.6%7.6%21.5%39.5%27.0%5.2%2.6%-5.6M702.5M-12.0M1.023.9615,69815,935290,768270,184
2011-06-21$135.96$140.0026.0%7.5%21.5%36.7%26.2%4.3%1.4%-2.8M652.2M-12.0M0.685.4320,32113,875296,075277,179
2011-06-22$134.52$140.0024.8%7.1%21.8%30.7%24.8%4.7%2.4%-5.3M760.4M-11.9M0.655.4314,0769,218302,010273,098
2011-06-23$132.36$140.0026.9%7.7%22.5%41.2%26.4%4.2%1.4%-13.1M990.2M-11.4M0.675.5027,70318,566303,866279,087
2011-06-24$130.91$140.0028.0%7.8%22.7%46.5%27.0%3.7%1.8%-11.1M1.03B-11.3M1.1040.2514,06115,522311,706285,000
2011-06-27$130.71$140.0031.7%7.9%21.6%64.5%27.5%3.8%3.2%-13.8M1.09B-11.3M0.955.0420,77819,757308,130283,287
2011-06-28$129.26$140.0033.3%7.8%20.7%72.6%27.4%3.1%2.5%-16.2M1.19B-11.1M1.334.4437,78250,086314,010288,811
2011-06-29$132.53$140.0028.0%6.8%20.2%46.6%24.5%2.5%3.1%4.5M817.4M-11.8M0.643.9236,51623,403330,077303,403
2011-06-30$133.09$140.0020.9%6.3%19.8%11.9%23.0%2.6%3.7%6.2M794.1M-11.9M0.633.3319,88412,507333,424308,446