GS Options History — January 2012

In January 2012, GS traded between $93.42 and $111.77. ATM implied volatility averaged 35.6%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 3.2% (HV 20d: 38.8%). Max pain ranged from $95.00 to $120.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2012-01-18: Highest Volume — 154,374 contracts
2012-01-18: Largest IV drop — 20.2% change
2012-01-11: Highest IV Rank — 34.4%
2012-01-03: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.82	$93.42	$111.77	$95.36	$111.47
Max Pain	$101.50	$95.00	$120.00	$120.00	$105.00
ATM IV	35.6%	29.4%	44.7%	42.4%	36.8%
Expected Move	9.8%	8.4%	11.3%	11.3%	9.2%
HV 20d	38.8%	35.8%	44.5%	44.5%	37.3%
HV 60d	50.2%	44.6%	53.0%	53.0%	44.6%
IV Rank	22.4%	14.3%	34.4%	31.4%	24.0%
IV Percentile	56.1%	48.0%	69.0%	65.1%	55.2%
Term Structure	0.3%	-1.1%	3.3%	-0.3%	-0.2%
VWIV	35.3%	29.9%	40.0%	40.0%	32.5%
Skew 25d	3.5%	1.2%	4.9%	3.3%	2.9%
Skew 10d	7.9%	2.6%	11.5%	8.2%	8.1%
Call IV 25d	33.5%	28.4%	38.8%	38.8%	31.1%
Put IV 25d	37.0%	32.0%	42.3%	42.1%	34.0%
Bid-Ask Spread %	5.36	3.96	7.66	4.36	4.35
Gamma HHI	0.15	0.10	0.39	0.12	0.12
Net GEX	5.7M	-13.8M	26.5M	-11.3M	16.0M
Net DEX	531.3M	-345.2M	1.33B	1.23B	-260.0M
Net VEX	-7.3M	-8.1M	-6.5M	-6.9M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.50	1.48	0.78	0.57
Total Volume	65,401.65	31,598	154,374	64,343	48,817
Total OI	639,725.4	398,050	815,742	711,693	444,824

Daily Data (20 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
2012-01-03	$95.36	$120.00	42.4%	11.3%	44.5%	31.4%	40.0%	3.3%	-0.3%	-11.3M	1.23B	-6.9M	0.78	4.36	36,112	28,231	336,345	375,348
2012-01-04	$94.74	$115.00	42.7%	11.0%	43.3%	31.7%	38.9%	1.3%	-0.1%	-10.3M	1.23B	-6.7M	0.52	4.07	20,820	10,778	343,445	373,547
2012-01-05	$94.58	$115.00	36.3%	10.9%	42.9%	23.3%	39.1%	1.2%	0.1%	-9.3M	1.25B	-6.7M	0.50	3.96	30,391	15,047	348,539	373,234
2012-01-06	$93.42	$95.00	36.3%	10.8%	40.0%	23.4%	38.2%	4.9%	1.1%	-13.8M	1.33B	-6.5M	0.68	4.86	28,630	19,432	353,178	375,512
2012-01-09	$94.69	$95.00	40.2%	10.9%	36.9%	28.4%	39.1%	4.9%	0.1%	-9.9M	1.23B	-6.5M	0.68	5.05	21,892	14,910	352,421	376,813
2012-01-10	$98.33	$95.00	41.1%	10.8%	39.1%	29.7%	38.5%	3.7%	-0.6%	-986.8K	984.8M	-6.9M	0.56	6.16	67,468	38,066	357,053	382,149
2012-01-11	$99.76	$95.00	44.7%	10.9%	37.5%	34.4%	39.2%	4.5%	-0.5%	5.5M	851.7M	-7.2M	0.71	7.44	33,302	23,485	369,830	391,635
2012-01-12	$101.21	$95.00	38.1%	10.9%	35.8%	25.7%	38.3%	4.1%	-0.5%	10.6M	704.5M	-7.3M	0.72	7.66	44,027	31,794	373,433	393,279
2012-01-13	$98.96	$95.00	37.7%	10.8%	36.1%	25.2%	38.7%	4.3%	0.7%	-2.0M	946.1M	-7.3M	0.70	5.85	32,812	23,096	377,550	406,600
2012-01-17	$97.68	$95.00	39.1%	11.2%	36.0%	27.1%	39.6%	4.2%	-1.1%	-6.7M	1.08B	-6.9M	0.94	6.15	52,332	49,301	365,372	400,799
2012-01-18	$104.31	$95.00	31.2%	9.0%	41.2%	16.7%	32.5%	4.9%	3.3%	24.5M	487.0M	-7.3M	0.64	5.14	93,962	60,412	376,354	415,619
2012-01-19	$107.68	$100.00	30.2%	8.7%	40.0%	15.4%	31.2%	4.1%	2.6%	26.5M	216.8M	-7.5M	0.54	4.41	73,900	40,202	382,740	422,559
2012-01-20	$108.74	$100.00	29.4%	8.4%	38.7%	14.3%	31.5%	4.5%	2.8%	24.4M	191.7M	-7.8M	0.65	4.62	56,373	36,726	387,647	428,095
2012-01-23	$108.19	$100.00	29.9%	8.6%	39.0%	14.9%	31.0%	3.3%	-0.3%	10.2M	-85.3M	-7.7M	0.71	5.53	29,955	21,127	185,358	212,692
2012-01-24	$108.87	$100.00	30.0%	8.6%	38.5%	15.1%	31.5%	3.3%	-0.4%	10.5M	-99.7M	-7.7M	0.88	5.12	18,059	15,901	189,805	218,054
2012-01-25	$108.27	$100.00	29.6%	8.5%	38.4%	14.6%	30.9%	2.6%	-0.0%	9.7M	-62.0M	-7.7M	0.71	5.36	22,909	16,260	194,532	222,693
2012-01-26	$108.56	$105.00	29.4%	8.4%	37.1%	14.3%	29.9%	3.0%	0.2%	12.9M	-97.3M	-7.8M	0.54	5.84	33,641	18,128	198,422	224,838
2012-01-27	$111.77	$105.00	31.0%	8.9%	36.2%	16.3%	31.5%	3.0%	-0.6%	15.1M	-345.2M	-7.9M	0.55	4.58	38,959	21,450	205,326	228,619
2012-01-30	$109.73	$105.00	35.7%	9.1%	37.7%	22.6%	33.5%	2.1%	-0.1%	11.9M	-160.1M	-8.0M	1.48	6.67	15,862	23,464	203,659	226,590
2012-01-31	$111.47	$105.00	36.8%	9.2%	37.3%	24.0%	32.5%	2.9%	-0.2%	16.0M	-260.0M	-8.1M	0.57	4.35	31,125	17,692	208,799	236,025