GS Options History — February 2012

In February 2012, GS traded between $112.87 and $117.53. ATM implied volatility averaged 32.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.8% (HV 20d: 28.3%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.88.

Notable Days

2012-02-01: Highest Volume — 94,036 contracts
2012-02-06: Largest IV spike — 21.3% change
2012-02-01: Highest IV Rank — 25.8%
2012-02-10: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.31	$112.87	$117.53	$113.45	$115.14
Max Pain	$109.50	$105.00	$110.00	$105.00	$110.00
ATM IV	32.1%	26.4%	38.2%	38.2%	35.6%
Expected Move	8.8%	8.1%	9.3%	9.0%	8.4%
HV 20d	28.3%	20.6%	34.9%	33.9%	21.2%
HV 60d	39.9%	34.8%	44.9%	44.6%	34.9%
IV Rank	17.7%	10.4%	25.8%	25.8%	21.8%
IV Percentile	47.8%	31.7%	57.1%	57.1%	52.4%
Term Structure	1.1%	-0.2%	3.1%	0.4%	0.8%
VWIV	31.2%	28.1%	35.5%	32.2%	29.6%
Skew 25d	4.1%	3.0%	5.6%	3.6%	3.3%
Skew 10d	8.3%	6.3%	11.2%	8.4%	7.0%
Call IV 25d	29.2%	27.0%	31.1%	31.0%	28.2%
Put IV 25d	33.3%	30.0%	35.9%	34.7%	31.4%
Bid-Ask Spread %	8.13	4.59	12.31	5.01	5.51
Gamma HHI	0.14	0.10	0.23	0.17	0.14
Net GEX	16.9M	6.9M	29.8M	22.0M	13.9M
Net DEX	-398.0M	-677.6M	-176.9M	-393.3M	-213.0M
Net VEX	-8.7M	-9.1M	-8.4M	-8.5M	-9.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.47	2.42	0.51	0.59
Total Volume	46,238.45	29,544	94,036	94,036	48,078
Total OI	483,420.45	440,822	525,988	454,139	502,045

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
2012-02-01	$113.45	$105.00	38.2%	9.0%	33.9%	25.8%	32.2%	3.6%	0.4%	22.0M	-393.3M	-8.5M	0.51	5.01	62,286	31,750	213,835	240,304
2012-02-02	$113.39	$105.00	32.9%	8.8%	33.6%	18.9%	31.6%	3.3%	0.5%	16.6M	-371.9M	-8.5M	0.73	5.20	20,612	15,033	217,776	248,203
2012-02-03	$117.53	$110.00	30.0%	8.4%	34.6%	15.2%	29.9%	4.7%	1.1%	20.9M	-677.6M	-8.7M	0.70	5.93	40,064	27,924	220,275	250,719
2012-02-06	$117.39	$110.00	36.5%	8.9%	33.9%	23.6%	31.2%	4.9%	0.8%	19.9M	-598.3M	-8.6M	0.90	6.41	15,656	14,165	215,211	246,007
2012-02-07	$115.98	$110.00	36.6%	9.1%	34.9%	23.8%	32.1%	4.3%	0.5%	17.7M	-516.9M	-8.5M	0.77	10.76	16,719	12,825	218,360	250,336
2012-02-08	$116.15	$110.00	31.4%	9.2%	33.4%	17.0%	32.3%	4.4%	0.4%	20.7M	-526.6M	-8.6M	0.89	4.59	17,016	15,157	223,499	251,023
2012-02-09	$115.88	$110.00	32.3%	9.3%	33.5%	18.1%	33.2%	4.7%	0.9%	19.0M	-501.2M	-8.7M	0.98	5.23	17,756	17,355	226,199	256,755
2012-02-10	$114.12	$110.00	32.6%	9.3%	34.4%	18.5%	35.5%	4.4%	1.3%	17.7M	-395.7M	-8.7M	1.64	4.79	25,439	41,670	231,321	258,982
2012-02-13	$114.53	$110.00	31.5%	9.0%	32.7%	17.1%	33.1%	4.5%	1.1%	17.9M	-427.6M	-8.6M	1.11	5.96	14,778	16,424	229,122	269,651
2012-02-14	$112.87	$110.00	31.7%	9.1%	32.8%	17.3%	33.2%	4.7%	1.6%	13.2M	-320.7M	-8.6M	0.96	6.18	24,761	23,787	230,923	270,836
2012-02-15	$113.17	$110.00	32.2%	9.2%	24.5%	18.0%	32.4%	5.2%	1.7%	15.0M	-348.7M	-8.8M	0.87	11.23	23,928	20,713	237,063	278,295
2012-02-16	$114.74	$110.00	30.8%	8.8%	22.6%	16.1%	32.3%	5.6%	2.7%	22.9M	-460.7M	-8.9M	0.83	10.71	25,556	21,306	239,901	283,047
2012-02-17	$115.91	$110.00	29.4%	8.4%	22.6%	14.3%	29.6%	3.7%	3.1%	29.8M	-592.8M	-8.7M	0.70	11.40	25,048	17,562	238,690	287,298
2012-02-21	$116.63	$110.00	29.8%	8.5%	22.4%	14.8%	29.8%	4.0%	1.8%	11.2M	-307.8M	-8.7M	0.61	4.72	23,930	14,706	200,829	239,993
2012-02-22	$114.36	$110.00	29.7%	8.5%	23.8%	14.6%	30.3%	3.7%	0.6%	6.9M	-176.9M	-8.4M	2.42	11.44	16,093	38,868	206,752	244,351
2012-02-23	$115.80	$110.00	29.0%	8.3%	23.9%	13.8%	28.9%	3.1%	1.0%	7.3M	-234.0M	-8.9M	0.47	12.10	32,145	15,096	210,224	266,254
2012-02-24	$115.87	$110.00	26.4%	8.1%	23.9%	10.4%	28.1%	3.0%	0.3%	15.0M	-277.3M	-8.8M	0.82	12.31	25,669	20,948	218,217	271,598
2012-02-27	$116.23	$110.00	30.7%	8.5%	21.9%	16.0%	30.1%	3.2%	-0.2%	12.5M	-274.7M	-8.9M	0.54	11.97	20,379	11,101	213,512	269,151
2012-02-28	$117.11	$110.00	34.1%	8.5%	20.6%	19.8%	29.5%	3.2%	0.8%	17.9M	-344.7M	-9.1M	0.52	11.19	34,605	17,861	217,944	273,908
2012-02-29	$115.14	$110.00	35.6%	8.4%	21.2%	21.8%	29.6%	3.3%	0.8%	13.9M	-213.0M	-9.0M	0.59	5.51	30,315	17,763	225,137	276,908