GS Options History — October 2012

In October 2012, GS traded between $116.86 and $125.15. ATM implied volatility averaged 26.2%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.5% (HV 20d: 23.7%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2012-10-16: Highest Volume — 80,803 contracts
  • 2012-10-08: Largest IV spike — 19.1% change
  • 2012-10-10: Highest IV Rank — 22.8%
  • 2012-10-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.81$116.86$125.15$116.86$122.39
Max Pain$116.19$110.00$120.00$110.00$120.00
ATM IV26.2%22.7%30.9%28.3%30.7%
Expected Move7.5%6.6%8.3%8.3%7.9%
HV 20d23.7%20.2%27.7%27.7%23.2%
HV 60d22.6%21.6%23.4%23.4%21.6%
IV Rank11.3%4.4%22.8%10.3%22.4%
IV Percentile17.8%1.6%44.4%24.6%44.4%
Term Structure0.3%-1.7%2.3%-1.7%-0.5%
VWIV26.6%23.4%29.2%28.8%27.1%
Skew 25d3.4%2.2%4.1%3.7%2.2%
Skew 10d7.5%5.2%9.2%8.9%5.2%
Call IV 25d25.1%22.6%27.7%27.4%26.7%
Put IV 25d28.5%25.6%31.1%31.1%28.9%
Bid-Ask Spread %8.404.8916.7616.768.04
Gamma HHI0.200.100.420.100.19
Net GEX22.8M5.8M62.6M14.0M18.3M
Net DEX-448.8M-946.6M-52.5M-232.4M-282.4M
Net VEX-5.7M-6.0M-5.4M-5.8M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.361.340.750.60
Total Volume32,6639,55780,80340,74923,691
Total OI466,545.571393,590519,491456,991414,932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$116.86$110.0028.3%8.3%27.7%10.3%28.8%3.7%-1.7%14.0M-232.4M-5.8M0.7516.7623,25517,494190,911266,080
2012-10-02$117.25$110.0027.7%8.1%27.7%9.4%27.8%3.3%-1.2%15.5M-248.7M-6.0M0.605.369,4195,682195,379270,247
2012-10-03$117.91$110.0028.4%7.9%25.7%11.7%28.6%2.8%-1.6%19.5M-314.5M-5.7M0.435.1720,5908,906196,947271,179
2012-10-04$119.90$110.0025.3%8.1%24.0%7.8%29.2%3.0%-1.6%38.6M-518.2M-5.9M0.599.7620,43412,014205,969273,389
2012-10-05$119.31$115.0022.7%7.3%22.7%4.4%26.5%4.0%1.0%19.3M-437.5M-5.9M0.717.6715,70711,228207,216277,028
2012-10-08$119.46$115.0027.0%7.6%21.9%14.1%27.7%3.7%0.5%20.4M-457.0M-5.8M1.048.764,6874,870201,029276,230
2012-10-09$119.63$115.0028.9%7.7%21.2%18.4%28.0%4.1%0.3%20.1M-452.3M-5.8M1.025.9913,94814,239202,248277,099
2012-10-10$120.08$115.0030.9%7.6%20.7%22.8%27.6%3.9%0.6%21.7M-491.8M-5.9M0.628.896,5564,081208,416283,713
2012-10-11$121.99$115.0027.3%7.8%20.2%14.7%27.4%4.0%0.3%27.3M-657.7M-5.9M0.4613.9133,34815,396208,389283,339
2012-10-12$120.20$115.0026.8%7.7%20.8%13.6%27.6%4.0%0.4%14.5M-488.1M-5.9M0.909.3613,66112,329212,742288,301
2012-10-15$124.50$115.0026.2%7.5%23.8%12.2%27.0%2.9%0.2%31.2M-868.8M-5.7M0.5711.1248,05227,244207,073285,286
2012-10-16$123.22$115.0023.1%6.6%24.2%5.2%23.7%3.2%2.3%31.8M-768.4M-5.7M0.5810.3351,07429,729214,287293,973
2012-10-17$124.92$120.0023.4%6.7%24.4%6.0%23.4%2.9%1.9%46.0M-913.9M-5.8M0.369.0723,3208,471221,225298,266
2012-10-18$125.15$120.0023.5%6.7%23.8%6.1%24.1%3.4%2.0%62.6M-946.6M-5.7M0.716.4321,35115,247224,246292,964
2012-10-19$123.62$120.0023.9%6.8%24.1%7.0%24.4%3.0%1.9%32.8M-736.0M-5.6M0.7310.2120,60215,081223,777295,425
2012-10-22$122.77$120.0023.5%6.7%24.4%6.1%24.6%3.1%0.4%15.9M-285.8M-5.5M1.257.248,35910,425167,561226,029
2012-10-23$119.00$120.0025.8%7.4%25.1%11.3%26.7%3.6%0.2%5.8M-52.5M-5.4M1.345.0420,91928,022170,155229,420
2012-10-24$119.77$120.0025.2%7.2%25.0%10.1%25.5%3.1%0.6%9.1M-116.8M-5.6M1.084.898,3719,026172,986235,156
2012-10-25$119.72$120.0025.8%7.4%24.3%11.4%26.4%3.9%0.1%7.4M-97.2M-5.5M1.346.7210,23713,748174,174237,011
2012-10-26$119.44$120.0025.9%7.4%23.7%11.5%26.3%3.1%0.4%7.7M-58.4M-5.6M0.775.7514,19210,918176,695240,965
2012-10-31$122.39$120.0030.7%7.9%23.2%22.4%27.1%2.2%-0.5%18.3M-282.4M-5.5M0.608.0414,7818,910174,750240,182