GS Options History — November 2012

In November 2012, GS traded between $114.24 and $126.25. ATM implied volatility averaged 27.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 4.4% (HV 20d: 32.3%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2012-11-07: Highest Volume — 66,320 contracts
  • 2012-11-05: Largest IV spike — 20.1% change
  • 2012-11-06: Highest IV Rank — 39.3%
  • 2012-11-08: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.89$114.24$126.25$124.85$117.79
Max Pain$118.33$115.00$120.00$120.00$120.00
ATM IV27.9%23.1%36.8%29.6%24.6%
Expected Move7.6%6.6%8.7%7.5%6.7%
HV 20d32.3%24.1%36.2%24.1%32.0%
HV 60d26.4%21.8%28.1%21.8%28.1%
IV Rank17.5%5.7%39.3%19.9%10.0%
IV Percentile30.1%2.4%73.4%38.9%14.3%
Term Structure0.9%-0.8%2.0%-0.6%1.8%
VWIV27.0%23.8%30.8%26.6%23.9%
Skew 25d4.3%2.4%6.1%2.4%3.2%
Skew 10d8.9%5.1%11.6%6.3%7.7%
Call IV 25d25.2%22.5%28.2%25.5%23.2%
Put IV 25d29.5%26.1%34.3%27.9%26.4%
Bid-Ask Spread %7.455.028.877.057.74
Gamma HHI0.150.090.250.250.10
Net GEX7.2M-11.2M33.0M33.0M419.2K
Net DEX-21.4M-552.5M285.0M-459.9M98.1M
Net VEX-5.2M-5.7M-4.7M-5.7M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.351.950.370.44
Total Volume25,434.6198,37566,32029,76622,418
Total OI429,985.762404,429457,214422,374431,198

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$124.85$120.0029.6%7.5%24.1%19.9%26.6%2.4%-0.6%33.0M-459.9M-5.7M0.377.0521,7368,030180,250242,124
2012-11-02$123.25$120.0029.4%7.5%24.7%19.5%26.7%2.5%-0.8%20.6M-342.6M-5.7M0.648.1913,3088,553181,714244,113
2012-11-05$124.08$120.0035.4%7.5%24.2%35.7%26.9%4.3%0.6%23.7M-401.4M-5.5M0.726.407,3135,265179,339242,161
2012-11-06$126.25$120.0036.8%7.5%24.6%39.3%26.3%4.4%0.5%31.6M-552.5M-5.6M0.558.2620,15711,183182,371243,400
2012-11-07$117.98$120.0029.8%8.2%35.2%22.1%28.8%4.6%0.3%-767.4K72.3M-5.5M0.498.8744,44921,871183,359246,826
2012-11-08$115.27$120.0031.4%8.7%36.0%26.2%30.8%6.1%0.2%-3.5M228.7M-5.2M0.945.0219,74518,511192,992249,948
2012-11-09$116.15$120.0029.9%8.6%36.2%22.4%30.3%5.7%0.4%9.8K184.2M-5.4M0.808.0220,58816,426192,556251,174
2012-11-12$117.24$120.0030.8%8.3%35.8%24.5%27.2%5.1%0.6%802.9K112.7M-5.3M0.466.7618,5488,557183,053250,798
2012-11-13$116.47$120.0029.1%8.2%35.5%20.5%28.9%5.0%0.6%-143.1K148.1M-5.3M0.876.767,9636,957193,301252,919
2012-11-14$114.24$120.0029.3%8.4%33.3%20.9%30.7%5.7%0.9%-6.8M285.0M-5.1M1.136.5414,24716,137193,810254,348
2012-11-15$115.44$115.0029.5%8.5%33.6%21.4%29.6%5.7%0.7%-11.2M200.8M-5.2M0.967.0213,13612,575195,549256,435
2012-11-16$115.84$115.0028.0%8.0%33.1%17.7%28.8%5.4%1.5%-9.0M118.9M-5.1M1.156.7011,08612,773198,431258,783
2012-11-19$118.30$115.0025.0%7.2%34.2%10.4%26.0%4.3%1.6%4.4M10.9M-5.1M0.707.6010,8027,551164,219240,210
2012-11-20$118.09$115.0024.4%7.0%34.0%9.1%26.4%4.0%1.7%6.6M15.1M-5.0M1.957.795,71511,172168,671243,328
2012-11-21$117.70$115.0023.7%6.8%34.0%7.4%24.8%3.6%1.9%5.1M43.4M-5.0M0.758.444,7943,581170,744247,987
2012-11-23$120.31$115.0023.4%6.7%33.2%6.6%24.4%3.6%2.0%22.9M-128.9M-5.0M0.476.928,3623,933171,662248,715
2012-11-26$120.94$115.0025.0%7.2%33.1%10.5%25.6%3.5%1.0%9.7M-124.6M-5.0M0.728.0614,31310,350170,136247,700
2012-11-27$118.41$120.0024.3%7.0%34.0%8.8%25.5%3.9%1.4%5.1M23.6M-4.8M0.357.1926,0779,252174,594250,665
2012-11-28$119.33$120.0024.0%6.9%34.1%8.1%24.6%3.3%1.5%8.9M-8.5M-4.8M0.728.798,5866,200171,910252,252
2012-11-29$118.73$120.0023.1%6.6%32.9%5.7%23.8%3.5%1.9%9.4M27.7M-4.7M0.818.2712,0789,829173,425252,531
2012-11-30$117.79$120.0024.6%6.7%32.0%10.0%23.9%3.2%1.8%419.2K98.1M-4.7M0.447.7415,5426,876175,715255,483