GS Options History — August 2011

In August 2011, GS traded between $106.51 and $134.15. ATM implied volatility averaged 52.7%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 3.0% (HV 20d: 49.7%). Max pain ranged from $120.00 to $135.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.22.

Notable Days

2011-08-23: Highest Volume — 147,692 contracts
2011-08-08: Largest IV spike — 84.4% change
2011-08-02: Highest IV Rank — 100.0%
2011-08-22: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.61	$106.51	$134.15	$134.15	$116.22
Max Pain	$125.87	$120.00	$135.00	$135.00	$120.00
ATM IV	52.7%	34.4%	89.8%	34.4%	52.6%
Expected Move	13.3%	7.9%	19.6%	8.0%	11.3%
HV 20d	49.7%	20.3%	63.9%	20.3%	63.7%
HV 60d	34.3%	22.0%	40.4%	22.0%	40.4%
IV Rank	61.8%	29.8%	100.0%	82.4%	47.7%
IV Percentile	98.3%	94.8%	100.0%	98.8%	96.8%
Term Structure	-2.3%	-10.7%	3.3%	-0.9%	1.6%
VWIV	48.0%	27.8%	68.1%	28.5%	40.0%
Skew 25d	14.1%	3.5%	24.2%	4.8%	9.6%
Skew 10d	30.2%	9.2%	57.2%	9.8%	21.0%
Call IV 25d	41.0%	26.0%	57.5%	26.6%	35.3%
Put IV 25d	55.1%	29.5%	81.7%	31.5%	44.9%
Bid-Ask Spread %	29.36	6.47	72.44	7.27	23.56
Gamma HHI	0.09	0.07	0.20	0.10	0.08
Net GEX	-15.2M	-37.7M	3.4M	3.4M	-9.5M
Net DEX	1.20B	380.2M	1.61B	380.2M	1.06B
Net VEX	-10.7M	-12.0M	-9.2M	-12.0M	-10.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.62	1.92	0.78	0.62
Total Volume	75,261.217	31,240	147,692	43,367	45,036
Total OI	639,919.696	560,159	701,165	560,159	674,930

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
2011-08-01	$134.15	$135.00	34.4%	8.0%	20.3%	82.4%	28.5%	4.8%	-0.9%	3.4M	380.2M	-12.0M	0.78	7.27	24,330	19,037	273,832	286,327
2011-08-02	$131.23	$135.00	38.5%	8.6%	21.0%	100.0%	29.7%	4.8%	-1.6%	-8.2M	663.1M	-11.5M	0.70	6.54	28,204	19,704	279,999	291,985
2011-08-03	$132.08	$135.00	37.0%	7.9%	21.2%	93.0%	27.8%	3.5%	0.6%	-6.9M	620.8M	-11.7M	1.18	6.47	17,643	20,853	283,630	295,321
2011-08-04	$126.23	$135.00	44.8%	10.7%	26.1%	100.0%	37.6%	6.4%	-2.3%	-20.4M	1.01B	-11.3M	1.57	8.29	29,611	46,452	285,135	298,573
2011-08-05	$125.18	$130.00	48.7%	10.8%	26.1%	100.0%	38.2%	8.4%	-0.0%	-37.7M	1.08B	-11.4M	1.19	25.42	46,884	55,579	289,116	304,692
2011-08-08	$117.66	$130.00	89.8%	16.0%	33.2%	100.0%	58.2%	18.7%	-5.4%	-13.9M	1.24B	-11.0M	1.22	19.16	56,665	69,321	286,772	301,046
2011-08-09	$122.73	$130.00	50.9%	11.9%	37.2%	45.4%	47.5%	13.8%	-6.0%	-16.7M	1.15B	-11.0M	1.44	72.44	40,095	57,760	299,376	308,464
2011-08-10	$110.34	$130.00	88.5%	18.8%	52.2%	98.1%	67.7%	22.7%	-9.8%	-16.3M	1.56B	-9.8M	1.39	23.85	49,614	68,764	306,116	315,020
2011-08-11	$118.10	$125.00	56.0%	16.1%	58.8%	52.6%	61.2%	22.5%	-4.9%	-12.5M	1.20B	-11.5M	1.16	28.36	47,650	55,435	318,000	334,147
2011-08-12	$116.47	$125.00	57.5%	16.5%	58.8%	54.7%	57.5%	22.1%	-6.0%	-14.5M	1.34B	-11.1M	1.28	10.64	28,756	36,747	326,838	346,303
2011-08-15	$119.13	$125.00	42.4%	12.2%	59.7%	33.5%	44.7%	13.9%	-0.3%	-17.2M	1.28B	-10.7M	1.20	47.84	35,003	42,086	321,042	339,667
2011-08-16	$116.87	$125.00	44.4%	12.7%	59.9%	36.3%	45.2%	12.1%	-0.3%	-18.6M	1.40B	-10.5M	1.33	48.02	34,251	45,670	328,168	351,218
2011-08-17	$117.25	$125.00	39.8%	11.4%	58.4%	29.8%	39.3%	10.5%	2.0%	-18.9M	1.38B	-10.6M	1.16	45.56	21,906	25,327	333,290	357,356
2011-08-18	$113.14	$125.00	47.0%	13.5%	58.3%	39.9%	50.7%	15.7%	-1.2%	-19.8M	1.52B	-10.4M	1.75	48.91	24,481	42,894	336,679	355,237
2011-08-19	$111.76	$125.00	51.0%	14.6%	58.3%	45.6%	51.0%	16.1%	-1.7%	-20.7M	1.61B	-10.1M	1.92	21.26	22,250	42,722	338,381	362,784
2011-08-22	$106.51	$120.00	68.5%	19.6%	59.3%	70.1%	68.1%	24.2%	-10.7%	-16.6M	1.51B	-9.2M	1.83	63.99	23,667	43,284	286,585	312,319
2011-08-23	$106.86	$120.00	63.1%	18.1%	59.2%	62.5%	64.1%	23.7%	-4.2%	-19.0M	1.51B	-9.5M	1.43	32.43	60,736	86,956	294,370	329,607
2011-08-24	$110.31	$120.00	52.1%	14.9%	61.2%	47.1%	54.5%	16.7%	-0.6%	-14.8M	1.32B	-10.4M	0.98	30.33	31,249	30,749	314,207	350,043
2011-08-25	$109.84	$120.00	54.9%	15.8%	60.8%	51.1%	58.9%	18.1%	-3.1%	-14.0M	1.32B	-10.4M	1.12	34.07	45,248	50,783	321,363	351,877
2011-08-26	$111.75	$120.00	58.8%	14.6%	61.6%	56.5%	51.4%	15.3%	-1.4%	-13.3M	1.26B	-10.4M	1.11	17.00	34,796	38,766	328,454	360,484
2011-08-29	$116.07	$120.00	44.9%	11.3%	63.9%	37.0%	41.1%	10.5%	3.3%	-10.3M	1.10B	-10.8M	0.98	14.84	26,652	26,152	320,357	347,053
2011-08-30	$115.18	$120.00	46.1%	11.7%	63.6%	38.6%	42.4%	10.3%	0.5%	-12.3M	1.16B	-10.6M	0.73	38.97	18,037	13,203	320,522	351,468
2011-08-31	$116.22	$120.00	52.6%	11.3%	63.7%	47.7%	40.0%	9.6%	1.6%	-9.5M	1.06B	-10.6M	0.62	23.56	27,763	17,273	323,307	351,623