GS Options History — December 2011

In December 2011, GS traded between $87.70 and $105.13. ATM implied volatility averaged 45.1%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 4.5% (HV 20d: 49.6%). Max pain ranged from $95.00 to $130.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2011-12-02: Highest Volume — 127,826 contracts
2011-12-05: Largest IV spike — 17.3% change
2011-12-05: Highest IV Rank — 52.2%
2011-12-08: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.75	$87.70	$105.13	$94.43	$90.43
Max Pain	$120.48	$95.00	$130.00	$95.00	$120.00
ATM IV	45.1%	34.0%	58.2%	47.0%	34.0%
Expected Move	12.4%	10.6%	14.4%	13.0%	11.0%
HV 20d	49.6%	41.3%	54.6%	51.9%	41.3%
HV 60d	55.4%	52.5%	56.9%	55.1%	52.5%
IV Rank	35.0%	20.3%	52.2%	37.4%	20.3%
IV Percentile	71.6%	57.9%	92.1%	77.4%	57.9%
Term Structure	0.3%	-2.9%	3.2%	0.3%	1.3%
VWIV	43.8%	38.0%	49.8%	47.0%	38.6%
Skew 25d	6.0%	3.9%	8.9%	7.7%	4.3%
Skew 10d	12.2%	7.5%	19.0%	14.3%	8.4%
Call IV 25d	41.1%	36.1%	47.2%	43.2%	36.9%
Put IV 25d	47.2%	40.1%	54.4%	50.9%	41.2%
Bid-Ask Spread %	6.23	3.23	31.01	5.72	3.33
Gamma HHI	0.15	0.09	0.63	0.10	0.15
Net GEX	-14.2M	-86.6M	10.0M	-5.9M	-20.2M
Net DEX	1.26B	529.0M	1.70B	1.29B	1.49B
Net VEX	-7.5M	-9.3M	-6.3M	-8.0M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.53	1.68	0.62	0.54
Total Volume	54,606.095	21,980	127,826	33,141	26,022
Total OI	741,861.476	661,049	810,057	752,276	716,568

Daily Data (21 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
2011-12-01	$94.43	$95.00	47.0%	13.0%	51.9%	37.4%	47.0%	7.7%	0.3%	-5.9M	1.29B	-8.0M	0.62	5.72	20,457	12,684	356,395	395,881
2011-12-02	$97.25	$95.00	49.6%	13.4%	52.9%	40.9%	46.8%	5.5%	0.2%	-7.8M	1.07B	-8.4M	0.56	6.45	81,816	46,010	359,991	396,849
2011-12-05	$99.82	$130.00	58.2%	13.1%	53.5%	52.2%	46.2%	8.9%	-1.1%	-2.5M	965.5M	-8.6M	0.59	4.69	33,440	19,767	359,790	394,042
2011-12-06	$101.16	$130.00	54.9%	13.3%	53.7%	47.8%	46.0%	8.3%	-1.7%	1.1M	877.7M	-8.6M	0.53	4.93	31,728	16,920	366,140	397,759
2011-12-07	$105.13	$130.00	50.9%	13.4%	54.6%	42.6%	48.4%	8.2%	-2.6%	10.0M	529.0M	-9.3M	0.54	6.03	54,512	29,414	370,175	400,131
2011-12-08	$99.92	$130.00	56.3%	14.4%	48.6%	49.6%	49.8%	7.2%	-2.9%	-1.6M	932.2M	-8.8M	0.65	6.18	53,453	34,706	375,873	405,669
2011-12-09	$101.45	$125.00	48.3%	13.5%	48.8%	39.1%	46.3%	8.0%	-1.2%	1.2M	804.3M	-8.6M	0.59	6.50	41,095	24,341	384,981	407,005
2011-12-12	$98.03	$125.00	49.3%	13.2%	49.7%	40.5%	47.5%	6.0%	-0.2%	-9.7M	1.13B	-7.9M	1.20	8.72	24,811	29,702	368,969	401,407
2011-12-13	$95.04	$125.00	45.7%	13.3%	50.2%	35.8%	46.8%	6.1%	0.8%	-16.3M	1.37B	-7.6M	1.20	5.66	31,177	37,565	371,367	407,784
2011-12-14	$93.25	$125.00	47.8%	13.2%	50.5%	38.5%	47.1%	6.5%	1.0%	-18.1M	1.45B	-7.4M	0.82	5.46	27,987	23,005	377,003	409,863
2011-12-15	$91.90	$120.00	45.3%	13.0%	48.6%	35.2%	44.0%	6.6%	2.1%	-19.3M	1.56B	-6.9M	1.68	4.47	22,369	37,545	384,102	410,587
2011-12-16	$90.10	$120.00	42.8%	12.3%	47.5%	31.9%	42.6%	5.9%	3.2%	-86.6M	1.70B	-6.7M	1.15	3.23	36,587	42,019	386,681	423,376
2011-12-19	$87.70	$120.00	44.2%	12.7%	48.4%	33.8%	45.3%	5.9%	0.7%	-17.9M	1.56B	-6.3M	1.05	31.01	31,547	33,195	305,955	355,094
2011-12-20	$90.98	$120.00	41.4%	11.9%	50.3%	30.0%	41.9%	4.8%	0.8%	-15.2M	1.45B	-6.9M	0.57	4.50	29,604	16,949	318,360	367,706
2011-12-21	$92.00	$120.00	39.1%	11.2%	49.8%	27.0%	39.6%	4.5%	1.7%	-12.0M	1.39B	-6.8M	0.91	4.42	17,850	16,302	326,292	367,647
2011-12-22	$94.42	$120.00	38.0%	10.9%	50.1%	25.6%	39.4%	3.9%	1.0%	-6.6M	1.26B	-7.1M	0.64	4.13	33,198	21,154	329,501	371,288
2011-12-23	$93.79	$120.00	36.9%	10.6%	50.1%	24.2%	38.0%	3.9%	1.2%	-15.0M	1.32B	-6.9M	0.69	3.81	15,685	10,800	332,787	375,762
2011-12-27	$91.90	$120.00	39.5%	11.3%	50.2%	27.5%	39.5%	4.6%	0.7%	-16.7M	1.42B	-6.6M	0.85	3.85	11,904	10,076	325,169	369,340
2011-12-28	$90.12	$120.00	39.9%	11.4%	50.1%	28.1%	40.3%	4.5%	-0.1%	-19.4M	1.51B	-6.3M	1.07	3.57	13,333	14,312	328,695	371,510
2011-12-29	$91.01	$120.00	38.9%	11.2%	41.6%	26.8%	38.5%	5.1%	0.9%	-20.7M	1.49B	-6.4M	0.65	4.06	19,154	12,533	330,990	374,607
2011-12-30	$90.43	$120.00	34.0%	11.0%	41.3%	20.3%	38.6%	4.3%	1.3%	-20.2M	1.49B	-6.4M	0.54	3.33	16,884	9,138	338,134	378,434