GS Options History — June 2012

In June 2012, GS traded between $91.00 and $96.55. ATM implied volatility averaged 35.0%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 6.1% (HV 20d: 28.9%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2012-06-06: Highest Volume — 52,350 contracts
  • 2012-06-06: Largest IV drop — 26.0% change
  • 2012-06-04: Highest IV Rank — 41.0%
  • 2012-06-04: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.68$91.00$96.55$92.64$95.86
Max Pain$101.67$95.00$105.00$95.00$100.00
ATM IV35.0%25.3%50.4%40.8%25.3%
Expected Move10.3%8.7%12.7%11.6%8.7%
HV 20d28.9%25.7%32.1%26.0%29.7%
HV 60d27.8%26.3%30.6%29.5%28.7%
IV Rank20.4%7.5%41.0%28.2%7.5%
IV Percentile41.3%6.7%78.6%59.5%6.7%
Term Structure-0.3%-1.5%1.5%1.5%1.4%
VWIV36.2%30.2%43.3%41.9%30.2%
Skew 25d6.4%4.2%9.7%6.4%4.7%
Skew 10d12.8%7.3%20.5%12.0%9.8%
Call IV 25d33.7%28.9%39.9%39.9%28.9%
Put IV 25d40.1%33.5%49.6%46.4%33.5%
Bid-Ask Spread %5.584.367.745.545.36
Gamma HHI0.130.090.200.140.12
Net GEX-2.4M-8.9M7.7M-1.1M-524.2K
Net DEX724.1M559.4M847.2M795.3M559.4M
Net VEX-6.4M-7.0M-5.7M-7.0M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.321.610.590.51
Total Volume30,877.85718,07752,35045,70041,297
Total OI513,418.571454,758568,984530,956486,702

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$92.64$95.0040.8%11.6%26.0%28.2%41.9%6.4%1.5%-1.1M795.3M-7.0M0.595.5428,73916,961255,570275,386
2012-06-04$91.00$105.0050.4%12.7%25.7%41.0%43.3%9.7%-1.5%189.0K847.2M-6.8M0.687.7420,71514,013260,354275,160
2012-06-05$92.21$105.0046.8%12.0%26.1%36.2%41.0%9.2%-0.5%1.8M808.8M-6.8M0.505.8518,8359,386264,794279,089
2012-06-06$94.96$105.0034.6%10.9%29.4%19.9%38.6%8.1%0.2%4.8M607.9M-6.9M0.327.3339,62912,721269,124280,749
2012-06-07$94.00$105.0032.8%10.6%29.1%17.5%36.9%7.7%-0.0%7.7M701.3M-6.7M0.537.0020,13610,728276,790284,681
2012-06-08$94.54$105.0030.8%10.5%29.4%14.9%36.2%6.7%-0.3%-1.4M739.9M-6.7M0.397.7418,1917,038267,255286,850
2012-06-11$92.80$105.0037.0%10.8%27.0%23.2%39.0%6.7%-0.8%103.6K815.8M-6.5M1.184.3611,10413,101263,811282,738
2012-06-12$94.04$105.0030.7%10.3%26.8%14.8%36.6%7.1%0.0%-1.5M749.9M-6.5M0.664.6915,39510,160265,365284,211
2012-06-13$92.72$105.0030.9%10.9%27.0%15.0%39.5%7.4%-0.4%1.5M793.2M-6.5M0.705.4415,19510,564267,706285,368
2012-06-14$93.82$100.0037.5%10.8%27.1%23.9%37.7%7.3%-0.7%-2.3M726.8M-6.5M1.614.9212,87820,794267,738286,779
2012-06-15$95.66$100.0035.6%10.2%27.9%21.2%34.9%7.4%-0.5%-6.9M562.8M-6.6M0.794.6321,27716,739270,971298,013
2012-06-18$93.63$100.0034.3%9.8%28.3%19.6%35.2%5.2%-1.4%-7.4M742.7M-6.2M0.664.8519,26412,786208,135246,623
2012-06-19$96.37$100.0033.4%9.6%30.0%18.4%34.2%6.0%-1.5%-4.7M611.8M-6.3M0.775.0720,02215,497213,090250,057
2012-06-20$96.55$100.0033.3%9.5%29.7%18.2%32.9%5.0%-0.9%-3.8M602.5M-6.3M0.785.6815,67012,232217,592251,902
2012-06-21$93.90$100.0033.3%9.5%31.2%18.2%33.2%5.8%-0.3%-7.6M721.5M-6.3M0.755.2721,40016,076223,645255,126
2012-06-22$93.63$100.0031.8%9.1%31.0%16.2%32.5%5.1%0.2%-6.0M723.6M-6.0M1.104.9910,87011,950222,250254,202
2012-06-25$91.22$100.0035.7%10.2%32.1%21.4%35.0%4.9%-0.9%-8.7M822.3M-5.7M1.115.239,51410,579216,480249,798
2012-06-26$91.03$100.0035.4%10.2%31.7%21.0%34.6%5.3%-0.5%-8.9M842.8M-5.7M0.685.8710,7837,294219,244252,643
2012-06-27$93.27$100.0032.1%9.2%31.0%16.6%32.8%4.2%0.2%-4.2M719.5M-6.0M0.564.8115,7228,732223,840254,419
2012-06-28$93.49$100.0031.6%9.1%30.7%15.9%33.5%4.5%0.4%-2.0M711.9M-6.0M1.044.7311,96612,482230,214257,326
2012-06-29$95.86$100.0025.3%8.7%29.7%7.5%30.2%4.7%1.4%-524.2K559.4M-6.0M0.515.3627,29913,998229,708256,994