GS Options History — April 2012

In April 2012, GS traded between $111.75 and $124.90. ATM implied volatility averaged 29.9%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.5% (HV 20d: 30.3%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2012-04-17: Highest Volume — 87,354 contracts
  • 2012-04-09: Largest IV spike — 28.2% change
  • 2012-04-10: Highest IV Rank — 24.4%
  • 2012-04-13: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.42$111.75$124.90$124.90$115.15
Max Pain$115.25$115.00$120.00$115.00$115.00
ATM IV29.9%23.5%37.6%26.8%25.9%
Expected Move8.5%6.8%9.8%8.5%6.8%
HV 20d30.3%24.6%35.1%35.1%29.5%
HV 60d31.7%30.8%32.7%32.1%30.8%
IV Rank14.2%5.8%24.4%10.1%9.0%
IV Percentile32.5%8.7%55.2%26.2%15.1%
Term Structure0.5%-2.1%2.8%-0.6%2.0%
VWIV30.1%24.7%34.4%30.5%24.9%
Skew 25d2.3%-1.1%4.4%2.7%1.6%
Skew 10d5.1%-1.4%9.2%6.2%4.6%
Call IV 25d29.0%23.4%33.4%28.9%23.4%
Put IV 25d31.3%24.8%36.5%31.6%25.0%
Bid-Ask Spread %9.355.4337.735.436.05
Gamma HHI0.160.090.360.140.10
Net GEX-4.2M-55.3M35.9M35.9M-3.9M
Net DEX-11.6M-870.1M607.4M-870.1M88.4M
Net VEX-9.1M-9.8M-8.4M-9.8M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.321.540.770.62
Total Volume50,402.1520,21487,35430,36429,935
Total OI589,864.65424,778698,836587,271452,056

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$124.90$115.0026.8%8.5%35.1%10.1%30.5%2.7%-0.6%35.9M-870.1M-9.8M0.775.4317,15813,206278,173309,098
2012-04-03$122.71$115.0033.4%9.0%31.8%18.9%32.0%0.6%-1.5%25.9M-638.6M-9.6M0.635.4630,75019,230277,900312,633
2012-04-04$119.96$115.0027.5%9.2%32.2%11.0%32.6%-0.2%-2.1%17.4M-344.1M-9.6M0.735.7537,50627,299287,754320,737
2012-04-05$118.00$115.0027.7%9.1%32.8%11.3%32.3%-1.1%-1.9%6.0M-168.7M-9.4M0.905.9634,73331,260291,882334,897
2012-04-09$117.02$115.0035.5%8.8%32.9%21.6%31.4%1.9%0.3%-3.9M-59.5M-9.2M0.607.4838,42823,014293,592338,767
2012-04-10$114.56$115.0037.6%9.6%33.7%24.4%34.2%3.0%-1.0%-11.3M224.9M-9.5M0.617.1738,40023,311302,011347,802
2012-04-11$115.93$115.0036.6%9.2%24.6%23.1%32.7%3.6%0.1%-6.4M77.5M-9.6M0.446.3124,01410,488306,997350,529
2012-04-12$120.39$115.0031.2%8.9%26.0%15.9%31.3%2.6%-0.9%25.3M-491.5M-9.8M0.3211.8259,12919,178312,315352,088
2012-04-13$115.09$120.0034.2%9.8%29.2%19.9%34.2%3.1%-0.8%-33.6M212.6M-9.5M0.655.6436,93924,097319,611354,920
2012-04-16$117.73$115.0033.9%9.7%30.6%19.5%34.4%2.6%-1.3%10.9M-233.4M-9.6M0.5937.7348,90529,083318,331352,263
2012-04-17$116.86$115.0029.7%8.5%30.2%14.0%29.8%2.4%1.9%-5.6M-72.4M-9.1M0.776.7449,36137,993324,816357,976
2012-04-18$115.33$115.0028.8%8.3%29.8%12.8%29.1%2.9%2.2%-36.0M171.1M-9.0M0.936.0426,52424,610323,807364,361
2012-04-19$113.60$115.0029.2%8.4%29.9%13.3%30.2%3.5%1.7%-55.3M472.0M-8.7M1.226.2221,76426,558326,890365,906
2012-04-20$112.44$115.0029.0%8.3%30.0%13.0%28.7%4.4%2.6%-42.1M607.4M-8.4M1.546.6418,93429,246331,405367,431
2012-04-23$111.75$115.0029.4%8.4%29.3%13.6%29.6%3.2%1.0%-6.4M282.1M-8.4M1.237.0514,02017,308198,267226,511
2012-04-24$114.11$115.0026.9%7.7%29.9%10.3%27.7%3.1%1.2%-2.1M140.2M-8.6M0.855.6018,77516,018202,812233,555
2012-04-25$113.98$115.0026.1%7.5%29.8%9.2%26.9%3.1%1.6%-285.6K151.0M-8.7M0.755.9315,55011,588207,714237,808
2012-04-26$114.56$115.0024.4%7.0%30.0%6.9%25.4%1.5%2.4%5.5M92.8M-8.6M1.176.1420,08123,436212,269239,608
2012-04-27$114.41$115.0023.5%6.8%29.4%5.8%24.7%1.5%2.8%-4.8M126.5M-8.6M0.7831.7611,3518,863216,870244,931
2012-04-30$115.15$115.0025.9%6.8%29.5%9.0%24.9%1.6%2.0%-3.9M88.4M-8.4M0.626.0518,43711,498210,782241,274