GS Options History — November 2011

In November 2011, GS traded between $87.89 and $108.58. ATM implied volatility averaged 52.8%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 7.8% (HV 20d: 60.6%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2011-11-09: Highest Volume — 111,397 contracts
  • 2011-11-09: Largest IV spike — 29.8% change
  • 2011-11-01: Highest IV Rank — 61.5%
  • 2011-11-23: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.57$87.89$108.58$103.54$95.86
Max Pain$101.67$95.00$105.00$105.00$95.00
ATM IV52.8%43.9%65.3%65.3%58.5%
Expected Move14.2%11.7%16.3%14.7%13.3%
HV 20d60.6%46.8%66.3%62.6%52.8%
HV 60d54.5%52.3%58.6%58.6%55.6%
IV Rank45.0%33.3%61.5%61.5%52.5%
IV Percentile87.5%77.0%96.8%96.8%93.3%
Term Structure-0.2%-3.1%1.6%-3.0%0.4%
VWIV50.5%44.0%57.5%52.9%46.7%
Skew 25d10.6%7.3%13.7%9.4%7.3%
Skew 10d22.2%14.5%31.3%21.0%14.5%
Call IV 25d45.7%37.8%54.6%48.8%43.4%
Put IV 25d56.3%47.9%64.7%58.1%50.7%
Bid-Ask Spread %8.004.5920.686.785.43
Gamma HHI0.140.080.560.090.10
Net GEX-16.7M-73.2M1.2M-13.6M-5.4M
Net DEX1.31B760.5M1.73B1.04B1.19B
Net VEX-8.3M-9.4M-7.3M-9.1M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.512.001.390.56
Total Volume57,296.61928,451111,39781,31556,528
Total OI722,625.762651,173800,546651,173748,226

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$103.54$105.0065.3%14.7%62.6%61.5%52.9%9.4%-3.0%-13.6M1.04B-9.1M1.396.7834,02247,293290,856360,317
2011-11-02$106.13$100.0057.3%14.4%62.9%50.9%50.4%10.3%-3.1%-12.2M940.8M-9.3M2.008.1113,97727,957299,411368,575
2011-11-03$107.68$105.0047.1%12.7%61.9%37.5%46.3%8.5%-0.6%-9.6M844.3M-9.3M0.908.2543,57439,425300,753378,996
2011-11-04$105.04$105.0046.3%13.1%58.9%36.5%48.9%12.7%0.1%-73.2M1.03B-9.3M1.306.6830,40839,403307,353389,218
2011-11-07$105.57$105.0049.5%12.9%57.8%40.6%48.4%11.2%0.3%-5.1M935.8M-9.1M1.789.8412,85722,932308,887387,225
2011-11-08$108.58$105.0043.9%11.7%58.4%33.3%44.0%10.0%1.0%1.2M760.5M-9.4M0.669.6522,17414,591312,802392,837
2011-11-09$99.67$105.0057.0%14.7%66.3%50.5%51.7%13.2%-0.3%-16.4M1.32B-8.7M1.188.6651,14360,254318,043394,876
2011-11-10$99.50$105.0050.6%14.5%65.3%42.2%51.8%13.7%0.1%-19.4M1.33B-8.9M0.978.3833,13932,035333,617409,760
2011-11-11$101.66$105.0047.2%13.5%65.6%37.7%47.4%11.9%0.7%-7.0M1.14B-8.8M1.116.6322,29624,673340,347412,201
2011-11-14$99.29$105.0046.8%13.4%66.3%37.1%48.2%10.5%0.9%-15.1M1.35B-8.4M1.0620.6819,16520,369334,618402,872
2011-11-15$99.75$105.0045.7%13.1%63.4%35.7%45.6%9.1%1.5%-17.1M1.31B-8.3M0.716.3823,77916,976337,714408,203
2011-11-16$95.60$105.0048.6%13.9%64.9%39.6%49.1%9.7%1.4%-24.3M1.54B-7.8M1.215.7031,35237,823343,503408,801
2011-11-17$92.35$105.0054.9%15.7%65.9%47.7%54.0%11.9%0.1%-28.3M1.73B-7.5M1.3217.4743,62157,745347,355418,369
2011-11-18$91.91$100.0051.1%14.7%65.6%42.8%49.4%11.7%1.6%-16.2M1.72B-7.7M1.586.1818,31328,851363,185437,361
2011-11-21$91.30$100.0053.2%15.3%65.0%45.6%54.0%12.1%0.3%-16.7M1.53B-7.7M0.696.1239,47927,087302,941376,764
2011-11-22$89.40$95.0053.4%15.3%64.4%45.9%54.2%11.0%-0.6%-15.6M1.56B-7.5M1.045.6020,96521,821319,165385,478
2011-11-23$87.89$95.0057.0%16.3%60.0%50.5%57.5%10.1%-2.3%-16.9M1.61B-7.4M0.514.5939,48620,244322,159391,179
2011-11-25$88.75$95.0053.8%15.6%47.7%46.4%55.0%9.8%-0.7%-12.9M1.55B-7.7M0.975.4514,41414,037346,947396,583
2011-11-28$90.78$95.0061.6%15.3%49.4%56.6%53.3%9.0%-1.2%-12.5M1.49B-7.7M0.816.5326,17121,122342,391389,600
2011-11-29$88.81$100.0059.1%14.8%46.8%53.4%51.8%9.5%-0.5%-14.4M1.58B-7.3M0.804.9617,65114,077348,991396,662
2011-11-30$95.86$95.0058.5%13.3%52.8%52.5%46.7%7.3%0.4%-5.4M1.19B-8.1M0.565.4336,26020,268353,494394,732