GS Options History — September 2012

In September 2012, GS traded between $106.41 and $121.36. ATM implied volatility averaged 26.4%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.3% (HV 20d: 21.1%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2012-09-07: Highest Volume — 63,060 contracts
  • 2012-09-12: Largest IV drop — 22.2% change
  • 2012-09-11: Highest IV Rank — 14.0%
  • 2012-09-26: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.95$106.41$121.36$106.41$113.68
Max Pain$107.63$100.00$110.00$100.00$110.00
ATM IV26.4%23.6%31.0%29.3%23.6%
Expected Move7.4%6.4%8.0%7.4%7.8%
HV 20d21.1%11.1%26.5%11.1%26.5%
HV 60d24.0%22.9%25.4%24.0%22.9%
IV Rank7.7%3.9%14.0%11.6%3.9%
IV Percentile15.2%3.6%34.5%22.6%3.6%
Term Structure0.5%-1.0%4.1%3.5%-0.9%
VWIV26.6%24.3%28.9%25.7%27.7%
Skew 25d3.8%2.9%5.3%4.6%4.4%
Skew 10d8.7%6.5%12.2%9.6%9.5%
Call IV 25d24.7%22.1%27.3%23.8%26.5%
Put IV 25d28.5%25.8%30.9%28.4%30.9%
Bid-Ask Spread %10.174.7742.386.9210.33
Gamma HHI0.130.080.250.170.08
Net GEX12.3M4.0M22.5M10.9M6.9M
Net DEX-365.3M-823.7M112.4M112.4M-2.0M
Net VEX-5.7M-5.9M-5.4M-5.7M-5.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.501.431.140.74
Total Volume32,213.57916,67163,06016,67123,946
Total OI455,329.421431,535476,597435,922458,373

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$106.41$100.0029.3%7.4%11.1%11.6%25.7%4.6%3.5%10.9M112.4M-5.7M1.146.927,8048,867182,872253,050
2012-09-05$109.94$100.0028.2%6.9%15.2%10.2%25.0%4.0%4.1%19.4M-138.4M-5.7M0.666.1932,69321,656183,793254,852
2012-09-06$113.54$105.0024.6%6.4%17.8%5.3%24.3%3.8%3.3%19.4M-357.1M-5.8M0.896.5529,63726,496184,097260,802
2012-09-07$116.33$105.0026.6%7.5%19.0%7.9%27.5%5.3%0.8%13.4M-530.6M-5.9M0.798.5935,25327,807185,029267,178
2012-09-10$114.68$105.0030.0%7.5%19.9%12.6%26.6%4.8%0.5%10.9M-356.1M-5.8M1.0916.8013,22814,431182,538267,397
2012-09-11$116.69$105.0031.0%7.8%20.4%14.0%27.4%3.5%-0.2%15.6M-515.2M-5.6M0.644.7721,45213,663185,229267,707
2012-09-12$118.24$105.0024.1%7.2%20.2%4.6%25.9%3.7%-0.2%18.9M-610.0M-5.6M0.8342.3815,64412,987190,694270,722
2012-09-13$120.67$110.0025.1%7.2%20.5%5.9%26.1%4.2%-0.3%22.5M-752.0M-5.7M0.7011.2323,07416,212193,414274,292
2012-09-14$121.36$110.0025.7%7.4%20.5%6.7%26.5%3.2%-0.4%15.6M-823.7M-5.8M0.738.3323,42317,191194,536277,457
2012-09-17$119.90$110.0025.5%7.3%21.6%6.5%27.1%3.4%-0.3%12.9M-640.8M-5.5M1.425.598,07011,448188,787275,014
2012-09-18$119.88$110.0025.1%7.2%21.5%5.9%26.5%3.0%0.0%12.2M-644.3M-5.5M1.127.248,0899,025189,456277,156
2012-09-19$119.02$110.0024.4%7.0%21.9%4.9%25.1%2.9%0.6%12.1M-578.0M-5.5M1.4315.629,38013,432191,065278,776
2012-09-20$117.63$110.0024.5%7.0%22.4%5.2%26.4%3.5%0.8%8.0M-454.3M-5.6M1.005.5915,30515,363191,432285,165
2012-09-21$116.72$110.0025.5%7.3%22.6%6.4%25.5%3.3%1.1%8.0M-390.3M-5.4M0.8013.9622,33217,755189,359282,316
2012-09-24$116.60$110.0026.3%7.5%22.7%7.5%26.5%3.2%-0.7%8.6M-187.7M-5.6M0.845.0310,1618,556174,409257,126
2012-09-25$113.50$110.0027.0%7.7%25.4%8.5%28.0%4.2%-0.8%4.6M-1.2M-5.5M1.127.1412,17513,594178,994260,030
2012-09-26$113.08$110.0027.8%8.0%25.5%9.5%28.9%3.4%-1.0%4.0M38.3M-5.8M0.815.9614,32311,660182,571263,549
2012-09-27$115.23$110.0027.6%7.9%26.1%9.3%28.0%3.4%-1.0%9.9M-109.7M-5.9M0.505.0017,2448,682186,578265,444
2012-09-28$113.68$110.0023.6%7.8%26.5%3.9%27.7%4.4%-0.9%6.9M-2.0M-5.6M0.7410.3313,76210,184191,305267,068