GS Options History — September 2011

In September 2011, GS traded between $93.98 and $112.16. ATM implied volatility averaged 51.9%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 4.5% (HV 20d: 47.4%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2011-09-01: Highest Volume — 84,977 contracts
  • 2011-09-07: Largest IV drop — 32.9% change
  • 2011-09-06: Highest IV Rank — 71.0%
  • 2011-09-30: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.38$93.98$112.16$112.16$94.55
Max Pain$122.86$120.00$125.00$120.00$120.00
ATM IV51.9%40.2%69.2%48.9%65.5%
Expected Move14.9%12.1%18.8%13.0%18.8%
HV 20d47.4%40.1%64.6%63.0%48.4%
HV 60d43.9%40.9%47.6%40.9%47.6%
IV Rank46.7%30.4%71.0%42.6%65.8%
IV Percentile94.2%89.3%99.2%95.2%98.4%
Term Structure-1.8%-4.8%0.6%-0.1%-4.3%
VWIV52.9%43.4%69.9%47.4%69.9%
Skew 25d14.1%11.1%23.0%12.6%23.0%
Skew 10d28.3%22.8%46.1%28.5%46.1%
Call IV 25d46.2%37.3%56.3%39.0%56.3%
Put IV 25d60.2%48.4%79.2%51.6%79.2%
Bid-Ask Spread %8.964.9732.3932.269.50
Gamma HHI0.110.080.250.090.09
Net GEX-17.5M-26.1M-12.2M-15.9M-13.6M
Net DEX1.52B1.28B1.70B1.28B1.59B
Net VEX-8.8M-10.3M-7.4M-10.3M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.601.851.851.73
Total Volume48,72622,31984,97784,97747,538
Total OI685,149.857622,983734,047681,022679,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$112.16$120.0048.9%13.0%63.0%42.6%47.4%12.6%-0.1%-15.9M1.28B-10.3M1.8532.2629,76455,213327,036353,986
2011-09-02$107.06$120.0054.1%16.7%64.6%49.8%60.1%15.8%-4.8%-19.1M1.57B-10.0M1.7432.3928,92750,433331,660370,463
2011-09-06$104.56$125.0069.2%16.0%61.8%71.0%57.7%14.2%-3.5%-20.0M1.57B-9.8M1.227.0027,57933,605330,904364,392
2011-09-07$108.34$125.0046.4%13.5%61.1%39.1%48.7%12.0%-1.5%-16.1M1.42B-10.1M0.708.4928,91220,276338,523369,559
2011-09-08$104.79$125.0051.1%14.5%49.6%45.7%48.7%13.2%-1.9%-20.1M1.60B-9.5M1.048.8422,66123,586346,426371,216
2011-09-09$102.25$125.0057.0%16.4%42.6%54.0%55.7%14.0%-2.8%-21.2M1.70B-9.4M1.334.9724,57032,776350,259375,985
2011-09-12$102.92$125.0052.8%16.1%42.8%48.1%56.0%13.8%-2.9%-20.6M1.64B-9.2M1.027.2627,38127,895345,677369,927
2011-09-13$104.09$125.0043.9%14.3%41.9%35.6%49.3%12.7%-0.9%-20.1M1.60B-9.2M1.015.2019,74519,889350,259374,068
2011-09-14$104.54$125.0040.2%13.7%41.8%30.4%48.2%12.5%-0.3%-21.0M1.60B-9.0M0.797.0517,97314,180349,644376,881
2011-09-15$107.97$125.0042.3%12.1%43.9%33.4%44.7%12.4%0.6%-12.2M1.39B-9.4M0.606.4730,60818,439350,333374,420
2011-09-16$107.49$125.0043.6%12.5%42.3%35.2%43.4%11.2%0.3%-14.4M1.42B-9.2M1.035.5021,54522,267355,927378,120
2011-09-19$104.81$125.0045.5%13.0%42.9%37.8%46.8%11.1%-0.4%-16.2M1.39B-8.8M1.285.8113,23616,929303,964319,019
2011-09-20$102.61$125.0045.6%13.1%40.1%38.0%47.4%11.9%-1.2%-17.6M1.47B-8.5M0.955.4211,43110,888308,578323,820
2011-09-21$97.86$125.0051.5%14.8%43.2%46.2%53.0%12.5%-2.3%-19.0M1.62B-7.8M1.257.3424,09330,216309,953324,574
2011-09-22$93.98$120.0059.3%17.0%42.8%57.2%60.0%15.5%-3.8%-18.8M1.69B-7.4M1.246.8637,85746,807315,427330,963
2011-09-23$95.18$120.0058.2%16.7%43.4%55.7%56.7%14.9%-3.0%-26.1M1.60B-7.7M0.825.8124,51320,178322,863335,496
2011-09-26$99.14$120.0052.0%14.9%45.9%47.0%54.8%14.8%-1.1%-13.3M1.46B-8.1M0.835.6521,95918,234319,400330,677
2011-09-27$99.55$120.0051.1%14.6%43.1%45.6%52.4%14.4%-0.9%-12.8M1.40B-8.4M1.175.6119,96423,356326,288335,989
2011-09-28$96.32$120.0058.3%16.7%44.0%55.7%56.5%17.2%-2.8%-16.0M1.55B-7.9M1.395.5810,08113,968330,737341,251
2011-09-29$99.87$120.0052.3%15.0%46.5%47.4%54.1%15.5%-0.6%-12.9M1.43B-8.3M0.875.1618,05815,716332,077342,021
2011-09-30$94.55$120.0065.5%18.8%48.4%65.8%69.9%23.0%-4.3%-13.6M1.59B-7.9M1.739.5017,42930,109334,400344,985