GS Options History — December 2012

In December 2012, GS traded between $116.57 and $129.72. ATM implied volatility averaged 28.0%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.7% (HV 20d: 22.2%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2012-12-18: Highest Volume — 69,267 contracts
  • 2012-12-12: Largest IV drop — 22.0% change
  • 2012-12-28: Highest IV Rank — 42.5%
  • 2012-12-28: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.44$116.57$129.72$118.40$127.56
Max Pain$119.75$115.00$120.00$120.00$120.00
ATM IV28.0%22.3%33.3%27.6%32.6%
Expected Move7.8%6.9%10.1%6.9%9.6%
HV 20d22.2%17.1%32.1%31.9%21.8%
HV 60d26.5%25.6%27.5%27.4%26.3%
IV Rank22.7%5.3%42.5%18.3%40.2%
IV Percentile37.4%0.8%76.2%31.3%73.4%
Term Structure-0.1%-3.6%1.6%1.3%-3.6%
VWIV28.0%24.8%36.0%24.9%35.9%
Skew 25d3.7%2.5%5.5%3.1%5.5%
Skew 10d8.0%5.6%10.5%8.2%10.5%
Call IV 25d26.3%23.6%33.5%23.9%32.3%
Put IV 25d30.0%26.4%38.4%27.0%37.8%
Bid-Ask Spread %6.944.769.987.706.40
Gamma HHI0.200.100.470.100.17
Net GEX14.3M-3.2M49.2M-413.4K14.8M
Net DEX-225.0M-743.7M164.2M59.1M-489.8M
Net VEX-4.5M-4.7M-4.3M-4.7M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.281.111.030.70
Total Volume26,119.657,97869,26718,31726,295
Total OI427,005.55406,062446,328424,119412,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$118.40$120.0027.6%6.9%31.9%18.3%24.9%3.1%1.3%-413.4K59.1M-4.7M1.037.709,0449,273169,013255,106
2012-12-04$116.58$120.0028.6%7.5%32.1%21.1%25.8%3.3%1.0%-3.2M164.2M-4.7M1.117.7010,45111,578170,387254,318
2012-12-05$117.13$120.0030.9%7.4%31.3%27.2%25.6%2.7%1.1%-1.6M125.9M-4.6M0.678.797,5485,063170,996258,682
2012-12-06$117.20$115.0026.1%7.1%20.2%14.3%24.8%2.5%1.6%-546.7K122.0M-4.6M0.629.984,9163,062173,209254,261
2012-12-07$116.57$120.0025.7%7.6%18.4%13.8%26.3%3.9%1.1%498.7K155.1M-4.5M0.807.546,9815,615173,447254,883
2012-12-10$117.01$120.0028.1%7.6%18.3%20.8%26.0%3.7%1.1%-97.5K140.0M-4.4M0.625.896,0983,761171,892253,832
2012-12-11$118.86$120.0028.6%7.2%18.8%22.1%26.2%4.0%1.6%6.1M21.1M-4.4M0.498.7023,36011,337172,175254,083
2012-12-12$118.09$120.0022.3%7.1%18.8%5.3%25.8%3.8%1.2%9.1M31.4M-4.3M0.596.4214,2268,364175,861253,960
2012-12-13$118.50$120.0024.7%7.1%17.3%13.4%24.8%3.9%1.4%10.6M8.6M-4.3M0.286.4910,0732,775174,851256,005
2012-12-14$119.36$120.0024.9%7.1%17.1%13.9%25.6%3.9%1.4%10.4M-11.2M-4.4M0.396.1815,2565,971177,859256,876
2012-12-17$123.49$120.0024.6%7.1%20.6%13.1%25.5%3.1%1.2%25.3M-375.8M-4.4M0.387.7930,55011,664177,714255,785
2012-12-18$127.77$120.0025.3%7.3%22.5%15.4%26.4%2.8%-0.2%42.4M-743.7M-4.5M0.455.9547,67721,590182,998257,148
2012-12-19$127.25$120.0028.0%8.0%22.6%24.6%28.2%3.0%-1.2%35.1M-639.3M-4.6M0.536.3027,86914,763180,195260,948
2012-12-20$129.72$120.0026.3%7.5%23.1%18.8%27.8%3.5%-0.4%49.2M-742.3M-4.6M0.426.2524,65810,345178,983262,020
2012-12-21$128.44$120.0029.0%8.3%22.7%28.0%30.8%4.1%-1.7%35.8M-686.3M-4.6M0.646.6031,66620,358181,423264,905
2012-12-24$127.54$120.0028.7%8.2%23.0%26.8%30.2%4.4%-1.2%16.4M-473.6M-4.5M0.814.765,0324,090159,044247,018
2012-12-26$127.16$120.0031.1%8.9%21.4%35.0%31.2%4.4%-2.5%15.2M-440.7M-4.4M0.495.7011,0305,437159,847248,249
2012-12-27$126.67$120.0032.5%9.3%21.5%39.8%33.1%4.5%-2.4%13.4M-400.9M-4.5M1.075.7916,34217,536161,554249,333
2012-12-28$125.52$120.0033.3%10.1%21.7%42.5%36.0%5.0%-3.1%7.5M-323.4M-4.7M0.927.8110,7969,943163,121255,790
2012-12-31$127.56$120.0032.6%9.6%21.8%40.2%35.9%5.5%-3.6%14.8M-489.8M-4.4M0.706.4015,44210,853160,115252,225