GS Options History — May 2012

In May 2012, GS traded between $94.61 and $115.33. ATM implied volatility averaged 35.0%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 10.2% (HV 20d: 24.8%). Max pain ranged from $90.00 to $115.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.99.

Notable Days

2012-05-14: Highest Volume — 108,458 contracts
2012-05-07: Largest IV spike — 25.4% change
2012-05-30: Highest IV Rank — 34.4%
2012-05-18: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.23	$94.61	$115.33	$115.33	$95.70
Max Pain	$103.86	$90.00	$115.00	$115.00	$95.00
ATM IV	35.0%	24.3%	45.5%	24.3%	39.4%
Expected Move	9.9%	6.5%	12.6%	6.5%	10.9%
HV 20d	24.8%	21.8%	29.8%	29.4%	24.9%
HV 60d	30.9%	29.4%	31.8%	29.9%	29.4%
IV Rank	20.5%	6.2%	34.4%	6.2%	26.3%
IV Percentile	44.8%	9.1%	70.2%	9.9%	56.7%
Term Structure	1.5%	0.3%	3.3%	3.3%	1.8%
VWIV	35.1%	23.5%	45.1%	23.5%	39.9%
Skew 25d	7.3%	1.5%	12.3%	1.5%	6.4%
Skew 10d	14.9%	3.4%	25.4%	3.4%	12.9%
Call IV 25d	32.0%	22.5%	39.2%	22.5%	35.5%
Put IV 25d	39.3%	24.1%	51.4%	24.1%	41.9%
Bid-Ask Spread %	7.17	4.29	33.86	6.48	5.32
Gamma HHI	0.13	0.10	0.21	0.11	0.14
Net GEX	-9.9M	-22.5M	645.9K	-749.7K	-756.7K
Net DEX	682.7M	19.8M	1.19B	19.8M	626.1M
Net VEX	-7.4M	-8.4M	-6.7M	-8.3M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.50	1.97	0.58	0.77
Total Volume	40,863.727	19,704	108,458	28,591	30,152
Total OI	502,368.045	467,105	572,556	467,105	525,265

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
2012-05-01	$115.33	$115.00	24.3%	6.5%	29.4%	6.2%	23.5%	1.5%	3.3%	-749.7K	19.8M	-8.3M	0.58	6.48	18,064	10,527	218,200	248,905
2012-05-02	$113.77	$115.00	25.4%	6.5%	29.2%	7.6%	23.9%	1.9%	2.6%	-3.9M	152.8M	-8.4M	1.31	6.95	11,297	14,763	225,109	250,205
2012-05-03	$111.53	$115.00	24.3%	6.9%	29.0%	6.2%	24.6%	2.5%	3.1%	-14.9M	374.0M	-7.9M	0.90	6.81	20,408	18,320	219,301	251,277
2012-05-04	$108.99	$115.00	24.9%	8.0%	29.4%	7.0%	29.0%	5.5%	1.6%	-18.1M	601.5M	-7.7M	0.98	7.47	18,368	18,016	222,376	255,889
2012-05-07	$110.04	$110.00	31.2%	8.2%	29.8%	15.4%	28.6%	5.9%	1.6%	-17.4M	468.2M	-7.7M	0.95	5.89	12,641	11,950	218,525	255,085
2012-05-08	$109.37	$110.00	28.9%	8.2%	29.0%	12.4%	30.6%	6.2%	1.4%	-20.5M	545.8M	-7.7M	1.41	5.92	12,410	17,546	220,585	260,077
2012-05-09	$107.29	$110.00	31.0%	9.2%	29.1%	15.2%	31.3%	6.3%	1.1%	-19.9M	691.0M	-7.5M	0.98	6.55	15,610	15,300	222,873	261,289
2012-05-10	$106.32	$110.00	31.3%	9.0%	24.6%	15.6%	30.2%	6.6%	1.5%	-22.5M	789.4M	-7.3M	0.81	7.23	11,710	9,442	225,920	264,775
2012-05-11	$102.13	$110.00	33.8%	9.7%	23.7%	18.9%	32.9%	5.8%	1.0%	-17.0M	1.05B	-6.8M	1.00	6.38	34,152	34,157	228,014	266,584
2012-05-14	$99.77	$110.00	35.7%	10.2%	21.8%	21.4%	35.9%	6.9%	0.7%	-17.2M	1.12B	-6.7M	1.97	5.20	36,570	71,888	229,742	269,973
2012-05-15	$99.87	$110.00	35.5%	10.2%	22.1%	21.1%	35.4%	7.1%	1.1%	-15.9M	1.13B	-7.1M	0.99	5.65	20,058	19,772	246,611	287,388
2012-05-16	$98.20	$110.00	38.9%	11.2%	22.2%	25.7%	40.8%	9.2%	1.3%	-16.3M	1.19B	-7.2M	0.95	5.36	52,307	49,584	249,706	291,356
2012-05-17	$97.08	$100.00	43.3%	12.4%	22.1%	31.5%	43.5%	11.4%	0.4%	-9.6M	1.07B	-7.4M	0.89	4.33	28,598	25,365	273,578	293,815
2012-05-18	$95.49	$95.00	43.9%	12.6%	22.3%	32.4%	45.1%	12.3%	1.1%	-13.3M	1.06B	-7.3M	1.33	5.51	19,602	26,012	280,432	292,124
2012-05-21	$96.51	$90.00	41.3%	11.9%	23.3%	28.9%	40.5%	9.9%	0.3%	-2.0M	616.7M	-7.1M	0.68	4.97	21,339	14,420	223,318	248,692
2012-05-22	$97.53	$90.00	38.7%	11.1%	21.9%	25.4%	39.7%	10.0%	0.5%	-550.2K	564.3M	-7.3M	0.50	5.41	31,245	15,547	229,846	252,989
2012-05-23	$98.04	$95.00	37.8%	10.8%	22.2%	24.1%	40.3%	9.7%	1.0%	645.9K	513.0M	-7.6M	1.16	33.86	13,752	15,918	238,123	256,927
2012-05-24	$96.86	$95.00	41.1%	11.8%	21.8%	28.6%	39.4%	8.9%	1.1%	-1.9M	590.5M	-7.5M	0.62	6.76	20,304	12,671	240,967	262,648
2012-05-25	$96.70	$95.00	36.7%	11.5%	21.8%	22.7%	38.9%	9.1%	1.8%	-1.4M	606.0M	-7.6M	1.31	5.13	8,536	11,168	249,821	268,044
2012-05-29	$97.86	$95.00	37.9%	10.0%	22.3%	24.3%	38.3%	8.7%	2.7%	-1.3M	536.7M	-7.4M	0.96	4.29	12,358	11,863	244,420	264,139
2012-05-30	$94.61	$95.00	45.5%	11.2%	23.8%	34.4%	40.6%	7.9%	1.6%	-2.2M	710.8M	-7.1M	0.71	6.18	14,763	10,529	248,390	268,794
2012-05-31	$95.70	$95.00	39.4%	10.9%	24.9%	26.3%	39.9%	6.4%	1.8%	-756.7K	626.1M	-7.3M	0.77	5.32	17,045	13,107	253,968	271,297