GS Options History — March 2012

In March 2012, GS traded between $113.67 and $128.07. ATM implied volatility averaged 31.2%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 3.6% (HV 20d: 34.8%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.61.

Notable Days

2012-03-01: Highest Volume — 109,613 contracts
2012-03-07: Largest IV drop — 26.0% change
2012-03-06: Highest IV Rank — 29.1%
2012-03-22: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$122.19	$113.67	$128.07	$121.13	$124.37
Max Pain	$112.73	$110.00	$115.00	$110.00	$115.00
ATM IV	31.2%	23.8%	41.1%	33.5%	23.8%
Expected Move	8.9%	8.0%	9.5%	8.9%	8.6%
HV 20d	34.8%	24.8%	39.5%	27.0%	35.4%
HV 60d	34.2%	32.2%	36.0%	35.8%	32.2%
IV Rank	16.0%	6.2%	29.1%	19.1%	6.2%
IV Percentile	42.6%	15.5%	62.3%	50.8%	15.5%
Term Structure	-0.6%	-2.2%	1.0%	0.1%	0.2%
VWIV	31.6%	28.9%	34.2%	32.2%	30.6%
Skew 25d	2.8%	1.3%	4.5%	3.4%	2.1%
Skew 10d	5.5%	2.2%	9.9%	5.9%	4.0%
Call IV 25d	30.1%	27.5%	32.7%	29.8%	29.6%
Put IV 25d	33.0%	30.0%	35.1%	33.2%	31.7%
Bid-Ask Spread %	5.70	4.57	8.02	7.14	6.64
Gamma HHI	0.18	0.11	0.82	0.21	0.13
Net GEX	43.1M	9.0M	273.5M	33.3M	37.2M
Net DEX	-734.9M	-1.16B	-71.8M	-703.5M	-817.5M
Net VEX	-9.6M	-10.4M	-8.9M	-9.3M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.42	1.00	0.52	0.71
Total Volume	55,824	26,449	109,613	109,613	41,851
Total OI	550,005.455	506,862	596,673	506,862	596,285

Daily Data (22 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
2012-03-01	$121.13	$110.00	33.5%	8.9%	27.0%	19.1%	32.2%	3.4%	0.1%	33.3M	-703.5M	-9.3M	0.52	7.14	72,120	37,493	227,789	279,073
2012-03-02	$119.96	$115.00	29.5%	8.7%	27.4%	13.7%	30.8%	2.6%	1.0%	273.5M	-581.0M	-9.3M	0.65	4.75	33,904	22,033	236,686	286,067
2012-03-05	$118.63	$110.00	34.3%	9.2%	24.8%	20.1%	32.1%	4.2%	-0.9%	21.8M	-450.4M	-9.2M	0.57	7.56	30,042	17,111	229,446	281,699
2012-03-06	$113.67	$110.00	41.1%	9.5%	29.2%	29.1%	34.2%	3.2%	-0.2%	9.0M	-71.8M	-8.9M	1.00	6.00	44,367	44,282	237,018	284,940
2012-03-07	$116.40	$110.00	30.5%	9.2%	30.2%	15.0%	32.6%	4.0%	0.3%	20.2M	-274.9M	-9.4M	0.56	5.52	22,721	12,709	248,951	302,455
2012-03-08	$117.17	$110.00	29.9%	9.1%	30.3%	14.3%	30.8%	4.1%	-0.1%	22.8M	-346.4M	-9.4M	0.55	4.93	30,409	16,719	252,284	305,451
2012-03-09	$117.29	$110.00	28.8%	9.2%	30.3%	12.9%	32.4%	4.5%	-0.2%	24.8M	-364.5M	-9.4M	0.81	5.16	22,513	18,346	259,675	308,525
2012-03-12	$116.99	$110.00	32.8%	8.9%	29.7%	18.1%	31.0%	4.1%	-0.2%	25.6M	-359.5M	-9.1M	0.42	5.79	18,604	7,845	251,975	302,207
2012-03-13	$124.54	$110.00	32.7%	8.4%	36.8%	18.0%	29.8%	3.0%	-1.1%	48.2M	-1.09B	-9.2M	0.46	8.02	65,567	29,975	254,715	304,041
2012-03-14	$120.37	$110.00	28.4%	8.6%	38.8%	12.2%	30.3%	2.5%	-0.3%	40.1M	-693.7M	-9.1M	0.61	4.90	59,719	36,172	257,534	309,246
2012-03-15	$123.06	$110.00	29.0%	8.3%	39.3%	13.1%	29.6%	2.6%	-0.3%	50.9M	-955.3M	-9.4M	0.53	4.66	46,392	24,628	266,097	319,069
2012-03-16	$122.93	$115.00	28.0%	8.0%	39.2%	11.7%	28.9%	2.5%	0.6%	29.1M	-921.7M	-9.5M	0.51	5.72	26,541	13,605	270,436	326,237
2012-03-19	$124.30	$115.00	30.9%	8.9%	39.2%	15.6%	31.3%	2.7%	-1.3%	30.3M	-784.0M	-9.6M	0.43	5.11	39,670	17,135	235,917	273,998
2012-03-20	$126.02	$115.00	31.4%	9.0%	39.4%	16.2%	31.7%	2.7%	-0.9%	35.9M	-973.3M	-9.8M	0.50	5.53	52,716	26,474	245,366	277,522
2012-03-21	$125.99	$115.00	31.6%	9.1%	38.4%	16.5%	32.0%	2.2%	-1.1%	36.3M	-974.1M	-10.3M	0.48	4.57	26,633	12,881	253,457	284,200
2012-03-22	$124.74	$115.00	33.2%	9.5%	38.7%	18.7%	33.6%	2.1%	-1.9%	31.9M	-849.6M	-10.4M	0.69	5.27	24,151	16,635	256,731	286,045
2012-03-23	$126.18	$115.00	31.6%	9.1%	38.8%	16.5%	32.1%	2.3%	-1.4%	37.6M	-1.04B	-10.3M	0.53	5.38	28,011	14,717	265,765	289,035
2012-03-26	$128.07	$115.00	31.1%	8.9%	38.9%	15.8%	32.2%	2.1%	-2.2%	40.4M	-1.16B	-10.2M	0.48	5.20	20,975	10,148	260,784	284,946
2012-03-27	$126.33	$115.00	31.4%	9.0%	39.5%	16.3%	32.0%	2.2%	-1.4%	37.4M	-1.01B	-10.0M	0.75	5.80	23,422	17,472	263,067	288,264
2012-03-28	$126.36	$115.00	31.4%	9.0%	38.7%	16.2%	32.1%	1.8%	-0.7%	37.4M	-996.4M	-10.0M	0.78	5.89	22,363	17,500	267,915	295,545
2012-03-29	$123.76	$115.00	31.9%	9.1%	35.6%	16.8%	32.8%	1.3%	-0.5%	25.2M	-746.3M	-10.0M	0.90	5.91	32,324	29,233	273,498	300,164
2012-03-30	$124.37	$115.00	23.8%	8.6%	35.4%	6.2%	30.6%	2.1%	0.2%	37.2M	-817.5M	-9.9M	0.71	6.64	24,493	17,358	284,413	311,872