GS Options History — October 2011

In October 2011, GS traded between $90.08 and $116.40. ATM implied volatility averaged 54.8%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 0.6% (HV 20d: 55.4%). Max pain ranged from $100.00 to $120.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2011-10-27: Highest Volume — 137,661 contracts
  • 2011-10-06: Largest IV drop — 29.6% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-03: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.47$90.08$116.40$90.08$109.55
Max Pain$103.81$100.00$120.00$120.00$105.00
ATM IV54.8%38.9%94.6%94.6%50.6%
Expected Move14.8%10.7%23.2%23.2%12.4%
HV 20d55.4%48.6%63.2%48.6%60.1%
HV 60d53.0%48.4%58.8%48.4%58.8%
IV Rank47.6%26.8%100.0%100.0%42.2%
IV Percentile88.1%77.0%100.0%100.0%85.7%
Term Structure-2.7%-9.7%-0.1%-9.7%-1.6%
VWIV54.1%38.3%86.9%86.9%45.8%
Skew 25d14.3%5.8%31.2%31.2%6.6%
Skew 10d29.7%11.2%60.0%60.0%12.5%
Call IV 25d45.7%35.2%66.9%66.9%41.0%
Put IV 25d60.0%41.1%98.0%98.0%47.6%
Bid-Ask Spread %7.714.6618.405.797.12
Gamma HHI0.100.060.150.090.08
Net GEX-8.8M-15.5M3.3M-13.5M-4.8M
Net DEX1.21B225.1M1.64B1.64B697.9M
Net VEX-8.3M-9.9M-7.2M-7.2M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.531.821.531.38
Total Volume65,235.61924,164137,66166,13871,979
Total OI721,188.048597,885828,746673,802627,381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$90.08$120.0094.6%23.2%48.6%100.0%86.9%31.2%-9.7%-13.5M1.64B-7.2M1.535.7926,17239,966332,086341,716
2011-10-04$94.58$120.0086.0%20.3%52.3%88.6%80.7%25.2%-7.2%-12.9M1.55B-8.0M1.826.6231,87158,151341,645356,291
2011-10-05$94.29$115.0079.6%18.9%50.1%80.3%71.7%18.2%-4.7%-12.8M1.52B-8.1M1.444.8124,78835,697349,356368,830
2011-10-06$97.93$115.0056.0%16.9%51.5%49.3%63.3%19.2%-3.3%-9.6M1.41B-8.4M0.746.1931,50023,292354,591380,774
2011-10-07$92.69$100.0058.6%16.9%54.2%52.7%61.5%22.0%-3.6%-15.3M1.61B-7.7M1.046.0425,59826,583359,164384,589
2011-10-10$96.14$100.0063.1%16.5%56.1%58.6%58.0%20.4%-3.6%-14.7M1.50B-8.1M1.095.6113,71514,956354,588380,268
2011-10-11$96.70$100.0059.2%16.6%55.9%53.4%63.9%20.5%-4.0%-14.4M1.48B-8.0M0.735.3735,52226,031357,638383,472
2011-10-12$99.11$100.0056.9%14.6%56.8%50.5%52.8%16.7%-3.0%-9.3M1.32B-8.2M0.894.6633,17729,567370,933391,305
2011-10-13$96.15$100.0053.4%15.3%56.0%45.8%55.7%16.2%-2.5%-15.5M1.54B-7.5M1.165.7725,87829,982376,933395,643
2011-10-14$96.73$100.0053.0%15.2%56.1%45.3%55.4%16.0%-2.8%-13.1M1.46B-7.8M1.036.2321,81522,523384,062402,533
2011-10-17$96.90$100.0054.2%15.5%55.7%46.8%55.0%13.1%-4.1%-11.7M1.45B-7.6M1.0412.9134,34435,877380,789391,664
2011-10-18$102.25$100.0044.4%12.7%58.9%34.0%45.4%7.3%-0.8%3.3M1.12B-8.3M0.949.0765,91761,999391,433399,847
2011-10-19$100.79$100.0044.6%12.8%56.5%34.2%44.1%8.8%-0.3%-3.9M1.26B-8.3M0.996.2836,05035,695392,341418,172
2011-10-20$100.86$100.0045.7%13.1%54.3%35.7%45.5%9.7%-0.6%-10.1M1.31B-8.3M0.9610.6129,63228,586389,222425,211
2011-10-21$102.09$100.0044.3%12.7%54.3%33.9%43.0%10.0%-0.7%-8.6M1.19B-8.2M0.895.0524,31921,671396,411432,335
2011-10-24$103.98$100.0038.9%11.2%52.8%26.8%41.5%9.4%-0.1%-7.4M966.7M-8.2M0.535.5223,56412,469270,112327,773
2011-10-25$100.44$100.0044.5%12.8%54.4%34.1%44.5%10.3%-1.1%-10.3M1.11B-8.0M1.535.909,56814,596279,523332,558
2011-10-26$106.33$100.0040.7%11.7%56.4%29.2%42.2%8.8%-0.9%-3.2M844.7M-8.5M1.1518.4034,38539,561280,694335,594
2011-10-27$116.40$100.0039.6%11.3%63.2%27.7%41.2%5.8%-2.0%1.8M225.1M-9.9M0.7714.2777,57460,087289,179356,989
2011-10-28$115.86$105.0042.1%10.7%59.1%31.0%38.3%5.9%-0.7%1.6M256.9M-9.8M0.749.7843,38931,902292,703368,601
2011-10-31$109.55$105.0050.6%12.4%60.1%42.2%45.8%6.6%-1.6%-4.8M697.9M-9.3M1.387.1230,23541,744282,486344,895