GS Options History — July 2012

In July 2012, GS traded between $93.16 and $101.64. ATM implied volatility averaged 29.2%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.2% (HV 20d: 28.0%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2012-07-17: Highest Volume — 65,471 contracts
2012-07-30: Largest IV spike — 27.5% change
2012-07-11: Highest IV Rank — 19.7%
2012-07-09: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.61	$93.16	$101.64	$97.13	$100.90
Max Pain	$95.71	$95.00	$100.00	$100.00	$95.00
ATM IV	29.2%	23.0%	36.5%	27.7%	36.5%
Expected Move	8.4%	7.3%	9.3%	8.9%	8.6%
HV 20d	28.0%	25.3%	30.6%	29.0%	27.0%
HV 60d	27.6%	26.0%	29.2%	28.8%	28.2%
IV Rank	10.1%	3.1%	19.7%	10.8%	18.8%
IV Percentile	18.0%	2.0%	46.4%	11.9%	46.4%
Term Structure	0.4%	-1.0%	2.5%	0.3%	-1.0%
VWIV	29.9%	25.8%	33.7%	31.1%	31.8%
Skew 25d	4.1%	3.1%	6.5%	4.5%	6.5%
Skew 10d	8.3%	5.8%	13.1%	10.1%	12.9%
Call IV 25d	28.0%	22.5%	31.4%	29.0%	27.4%
Put IV 25d	32.1%	28.0%	35.1%	33.5%	33.9%
Bid-Ask Spread %	5.76	3.65	9.42	5.31	6.68
Gamma HHI	0.14	0.09	0.36	0.15	0.09
Net GEX	2.1M	-5.4M	17.0M	3.9M	1.8M
Net DEX	513.9M	217.5M	787.8M	497.6M	282.2M
Net VEX	-5.5M	-6.0M	-5.0M	-6.0M	-5.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.39	1.39	0.61	1.23
Total Volume	32,117.476	15,571	65,471	15,683	36,595
Total OI	472,810.524	380,400	530,395	487,713	415,499

Daily Data (21 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
2012-07-02	$97.13	$100.00	27.7%	8.9%	29.0%	10.8%	31.1%	4.5%	0.3%	3.9M	497.6M	-6.0M	0.61	5.31	9,715	5,968	232,153	255,560
2012-07-03	$98.60	$100.00	23.0%	8.1%	29.1%	3.7%	29.2%	3.1%	0.2%	8.9M	398.7M	-6.0M	0.64	5.66	9,517	6,054	233,909	256,968
2012-07-05	$95.92	$100.00	27.7%	9.1%	29.4%	10.0%	32.0%	4.3%	-0.3%	859.6K	569.3M	-5.8M	0.80	5.73	12,297	9,803	234,181	257,218
2012-07-06	$95.47	$95.00	26.9%	9.2%	29.2%	8.9%	32.0%	4.0%	0.7%	-2.6M	592.6M	-5.9M	0.87	6.71	14,069	12,189	235,551	259,581
2012-07-09	$94.47	$95.00	31.9%	9.3%	29.4%	15.7%	33.7%	3.7%	-0.0%	-1.1M	648.8M	-5.6M	0.58	5.34	12,595	7,341	237,202	259,442
2012-07-10	$94.25	$95.00	32.2%	9.2%	28.6%	14.1%	32.6%	3.6%	-0.3%	-410.8K	653.7M	-5.6M	0.74	5.80	10,819	8,028	241,803	262,298
2012-07-11	$95.13	$95.00	36.3%	9.1%	28.4%	19.7%	32.1%	3.5%	0.1%	2.5M	597.2M	-5.6M	0.69	9.42	17,816	12,270	245,606	263,315
2012-07-12	$94.02	$95.00	31.9%	9.2%	28.2%	13.7%	33.0%	3.5%	-0.4%	10.9K	660.7M	-5.5M	0.46	5.60	12,726	5,886	247,438	264,855
2012-07-13	$97.43	$95.00	31.0%	8.9%	30.6%	12.5%	30.6%	3.6%	-0.4%	7.8M	443.4M	-5.9M	0.39	4.64	28,441	11,067	249,229	266,288
2012-07-16	$97.68	$95.00	30.1%	8.6%	29.9%	11.1%	31.2%	3.9%	-0.8%	9.5M	430.6M	-5.4M	0.44	5.36	40,730	17,934	247,241	264,025
2012-07-17	$97.98	$95.00	26.8%	7.7%	28.7%	6.7%	27.9%	3.9%	1.0%	17.0M	445.7M	-5.5M	0.50	5.28	43,590	21,881	256,139	266,507
2012-07-18	$96.51	$95.00	26.9%	7.7%	27.6%	6.8%	26.6%	3.8%	1.8%	2.7M	557.3M	-5.3M	0.73	6.43	16,109	11,831	258,395	268,220
2012-07-19	$95.00	$95.00	26.1%	7.5%	28.1%	5.6%	26.4%	3.6%	2.5%	-4.8M	655.1M	-5.0M	1.39	5.02	12,690	17,655	257,749	267,216
2012-07-20	$94.16	$95.00	26.7%	7.6%	26.5%	6.4%	27.3%	3.6%	2.1%	-5.4M	787.8M	-5.1M	1.25	5.17	17,610	21,934	258,828	271,567
2012-07-23	$93.16	$95.00	28.5%	8.2%	26.7%	8.6%	29.5%	3.6%	-0.2%	-3.9M	622.5M	-5.0M	0.81	5.09	14,491	11,801	165,694	214,706
2012-07-24	$94.47	$95.00	29.3%	8.4%	25.3%	9.5%	30.2%	3.6%	-0.1%	-779.2K	541.5M	-5.1M	0.81	5.35	14,316	11,528	169,675	218,826
2012-07-25	$95.96	$95.00	28.9%	8.3%	25.8%	8.9%	29.0%	5.2%	0.3%	2.6M	486.7M	-5.3M	1.28	5.26	15,864	20,292	173,603	222,809
2012-07-26	$98.06	$95.00	26.6%	7.6%	25.5%	5.0%	27.6%	4.4%	0.9%	2.5M	400.4M	-5.6M	0.88	4.77	18,348	16,101	176,461	230,204
2012-07-27	$101.64	$95.00	25.2%	7.3%	28.1%	3.1%	25.8%	5.5%	0.9%	2.0M	217.5M	-5.8M	0.57	8.64	36,166	20,795	175,341	237,008
2012-07-30	$100.88	$95.00	32.2%	7.9%	27.2%	12.8%	28.6%	5.2%	1.0%	161.7K	301.9M	-5.6M	1.15	3.65	13,792	15,813	170,297	240,414
2012-07-31	$100.90	$95.00	36.5%	8.6%	27.0%	18.8%	31.8%	6.5%	-1.0%	1.8M	282.2M	-5.8M	1.23	6.68	16,430	20,165	175,980	239,519