GS Options History — July 2011

In July 2011, GS traded between $128.49 and $137.60. ATM implied volatility averaged 25.1%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.3% (HV 20d: 21.8%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2011-07-19: Highest Volume — 113,945 contracts
  • 2011-07-11: Largest IV spike — 46.6% change
  • 2011-07-29: Highest IV Rank — 71.2%
  • 2011-07-12: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.40$128.49$137.60$136.65$134.97
Max Pain$135.00$130.00$140.00$140.00$135.00
ATM IV25.1%19.7%32.3%19.7%32.3%
Expected Move7.3%5.9%8.3%5.9%8.2%
HV 20d21.8%19.2%23.7%21.9%22.4%
HV 60d20.8%19.8%22.0%20.2%22.0%
IV Rank34.2%5.9%71.2%5.9%71.2%
IV Percentile49.8%3.2%98.0%3.2%98.0%
Term Structure0.0%-1.3%3.3%3.3%-1.2%
VWIV26.1%21.0%29.6%21.0%29.6%
Skew 25d3.6%2.6%4.8%2.6%4.7%
Skew 10d7.5%5.3%10.5%5.3%9.0%
Call IV 25d24.4%19.5%27.5%19.5%27.0%
Put IV 25d28.0%22.2%31.7%22.2%31.7%
Bid-Ask Spread %7.704.6212.604.6212.39
Gamma HHI0.110.090.210.100.18
Net GEX1.1M-31.5M26.9M15.4M-31.5M
Net DEX599.3M58.2M1.17B405.5M297.2M
Net VEX-11.5M-12.3M-10.5M-12.1M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.561.290.600.93
Total Volume52,794.5522,333113,94556,40749,771
Total OI593,177.7486,361671,578645,126564,162

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$136.65$140.0019.7%5.9%21.9%5.9%21.0%2.6%3.3%15.4M405.5M-12.1M0.604.6235,15521,252335,014310,112
2011-07-05$134.50$135.0025.5%7.3%22.3%36.0%25.8%3.4%-0.6%7.1M672.4M-11.7M1.0712.6017,42318,635329,463303,286
2011-07-06$133.89$135.0023.4%7.5%22.2%25.3%26.2%2.9%-0.9%1.1M787.4M-11.7M0.7011.3413,1459,188333,236309,739
2011-07-07$135.01$135.0021.8%7.3%22.0%17.0%25.7%3.2%0.0%11.3M629.3M-11.9M0.7210.8021,67115,680334,843308,629
2011-07-08$134.08$135.0020.3%7.2%21.6%9.1%25.2%2.7%-0.2%2.2M810.1M-11.6M0.698.4920,07413,862335,874309,321
2011-07-11$132.02$135.0029.7%8.2%21.2%58.1%28.7%3.5%-0.5%-4.0M971.5M-11.2M0.928.6124,47922,515334,847307,092
2011-07-12$130.31$135.0028.3%8.3%21.0%50.5%28.6%3.5%-1.3%-14.6M1.13B-11.0M0.626.2128,29017,574339,006311,945
2011-07-13$129.92$135.0027.6%8.1%21.0%47.3%27.9%3.8%-1.0%-15.9M1.17B-10.9M0.686.8429,34720,083342,878314,434
2011-07-14$129.89$135.0028.0%8.0%20.4%49.2%28.4%4.8%-0.5%-17.6M1.16B-11.1M1.016.5027,47227,818348,635316,631
2011-07-15$130.16$135.0027.1%7.8%20.0%44.7%27.5%4.3%-0.1%-26.5M1.08B-11.0M1.216.7825,57731,070354,222317,356
2011-07-18$129.33$135.0028.0%8.0%19.7%49.0%28.8%3.6%-0.1%-5.9M683.1M-10.8M0.727.6738,82327,910241,166245,195
2011-07-19$128.49$135.0023.7%6.8%19.2%27.1%24.8%3.1%0.5%-4.8M785.1M-10.5M0.825.3262,64751,298257,533255,063
2011-07-20$132.75$130.0023.1%6.6%22.7%23.8%24.8%4.4%0.8%12.3M401.9M-11.4M0.786.0550,44539,441264,032270,243
2011-07-21$135.58$135.0022.0%6.3%23.7%18.0%22.6%3.5%1.1%26.9M151.1M-11.7M0.565.9237,76821,189267,081281,042
2011-07-22$135.49$135.0022.3%6.4%22.9%19.4%22.8%3.2%0.9%20.4M140.6M-11.8M0.615.1132,48319,868269,647283,659
2011-07-25$136.85$135.0023.9%6.8%22.7%27.8%24.1%2.9%0.1%15.0M120.9M-11.8M0.666.5420,38813,470262,281270,183
2011-07-26$137.60$135.0022.5%6.4%22.6%20.6%23.8%3.0%0.9%17.5M58.2M-12.0M0.676.6135,13623,633263,838274,055
2011-07-27$134.72$135.0026.2%7.5%23.7%40.0%27.3%4.4%-0.1%4.3M313.5M-12.1M1.297.5722,05328,375269,074275,231
2011-07-28$135.84$135.0026.9%7.7%22.3%43.6%28.2%4.3%-0.1%10.2M208.6M-12.3M0.818.0322,55018,333270,826282,680
2011-07-29$134.97$135.0032.3%8.2%22.4%71.2%29.6%4.7%-1.2%-31.5M297.2M-12.3M0.9312.3925,78623,985275,593288,569