GS Options History — August 2012

In August 2012, GS traded between $97.81 and $105.72. ATM implied volatility averaged 25.2%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.2% (HV 20d: 23.0%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2012-08-21: Highest Volume — 61,122 contracts
  • 2012-08-06: Largest IV spike — 21.6% change
  • 2012-08-01: Highest IV Rank — 20.4%
  • 2012-08-02: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.51$97.81$105.72$100.09$105.72
Max Pain$99.13$95.00$100.00$95.00$100.00
ATM IV25.2%20.7%37.6%37.6%22.6%
Expected Move7.1%6.2%8.6%8.5%6.9%
HV 20d23.0%11.4%28.2%26.7%11.4%
HV 60d26.8%24.0%29.1%28.2%24.0%
IV Rank5.2%0.0%20.4%20.4%2.5%
IV Percentile7.7%0.0%50.0%50.0%1.2%
Term Structure2.8%-1.2%4.1%-1.2%4.0%
VWIV25.4%22.3%30.4%29.8%24.1%
Skew 25d4.4%3.3%6.0%5.8%3.8%
Skew 10d9.3%5.9%13.1%11.7%8.4%
Call IV 25d23.5%20.8%27.8%27.8%22.8%
Put IV 25d27.9%25.0%33.6%33.6%26.6%
Bid-Ask Spread %7.294.8229.607.468.11
Gamma HHI0.150.090.240.100.16
Net GEX4.9M-8.2M18.3M-2.3M9.7M
Net DEX210.5M82.8M514.7M363.2M110.9M
Net VEX-5.7M-6.3M-5.3M-5.9M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.312.591.080.55
Total Volume25,534.5229,68661,12218,69927,713
Total OI443,684.304404,165498,487436,666446,036

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$100.09$95.0037.6%8.5%26.7%20.4%29.8%5.8%-1.2%-2.3M363.2M-5.9M1.087.468,9939,706183,452253,214
2012-08-02$97.81$95.0030.9%8.6%26.1%11.0%30.4%5.9%-0.1%-8.2M514.7M-5.6M1.205.6416,87920,332185,055256,293
2012-08-03$100.98$95.0025.9%7.6%28.2%4.1%27.0%4.8%0.6%494.1K244.4M-5.6M0.8629.6021,65918,542188,412259,946
2012-08-06$102.02$97.5031.5%7.9%27.9%11.9%28.0%5.2%1.9%2.9M229.0M-5.8M0.957.339,8909,364185,366258,496
2012-08-07$103.24$97.5028.2%7.0%27.9%7.2%24.7%5.9%2.3%7.1M163.3M-5.7M0.647.3927,88217,731187,473261,093
2012-08-08$102.50$100.0026.8%7.6%28.2%5.3%26.6%6.0%2.3%18.3M82.8M-6.3M2.595.323,0687,933235,197263,290
2012-08-09$103.60$100.0022.3%7.2%27.6%0.0%25.6%5.2%2.7%7.0M153.7M-5.9M0.875.7312,56510,871187,273264,067
2012-08-10$103.02$100.0020.7%6.7%25.3%0.0%25.4%4.7%3.3%4.5M182.9M-5.6M1.495.929,78114,587191,113265,934
2012-08-13$103.61$100.0023.8%6.8%25.4%4.2%25.8%4.3%3.1%6.9M138.2M-5.6M0.855.657,1936,141188,354265,301
2012-08-14$103.26$100.0024.0%6.7%25.5%4.5%24.0%4.3%3.1%7.3M145.6M-5.5M0.555.6613,5377,411190,646267,629
2012-08-15$103.13$100.0023.7%6.7%24.6%4.0%24.5%4.0%3.4%7.4M163.0M-5.6M1.034.828,8009,105193,130268,367
2012-08-16$103.49$100.0023.3%6.7%23.6%3.5%24.8%4.4%3.3%8.8M173.0M-5.5M0.765.2612,3729,429190,275269,884
2012-08-17$103.60$100.0021.6%6.2%23.1%1.2%22.3%4.2%4.1%5.0M180.3M-5.3M1.105.799,12510,035191,341269,925
2012-08-20$105.28$100.0023.6%6.8%22.7%3.9%24.6%3.3%3.3%2.0M221.5M-5.7M0.436.0726,55011,387164,321239,844
2012-08-21$105.32$100.0023.2%6.6%22.6%3.3%23.5%4.0%3.3%6.8M203.5M-5.6M0.406.5243,62217,500172,884242,747
2012-08-22$104.67$100.0023.2%6.7%22.6%3.4%23.8%4.0%3.3%4.3M252.4M-5.8M0.536.1012,3876,566177,340246,539
2012-08-23$104.08$100.0024.6%7.1%21.9%5.3%24.9%3.5%3.3%2.5M288.3M-5.7M0.316.9222,0006,872180,094247,040
2012-08-24$104.96$100.0023.9%6.9%18.3%4.3%24.7%3.4%3.5%-2.0M224.6M-5.9M0.816.7716,10012,963184,966249,712
2012-08-27$105.12$100.0023.8%6.8%18.0%4.1%24.4%3.3%3.7%6.9M201.4M-5.8M0.665.745,8263,860181,022247,757
2012-08-28$105.03$100.0024.7%7.1%18.0%5.4%24.4%3.5%3.4%7.0M193.4M-6.0M0.456.4514,5046,520181,296249,137
2012-08-29$105.53$100.0024.3%7.0%17.6%4.9%24.2%4.2%3.5%7.6M173.4M-6.1M0.646.417,8054,986185,118252,406
2012-08-30$104.72$100.0024.9%7.1%15.3%5.7%25.4%3.7%3.5%1.6M238.7M-5.8M0.757.0115,54511,657182,061253,893
2012-08-31$105.72$100.0022.6%6.9%11.4%2.5%24.1%3.8%4.0%9.7M110.9M-5.8M0.558.1117,8769,837188,401257,635