GS Options History — January 2013

In January 2013, GS traded between $130.94 and $147.86. ATM implied volatility averaged 23.3%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 1.1% (HV 20d: 24.3%). Max pain ranged from $120.00 to $135.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2013-01-16: Highest Volume — 112,584 contracts
  • 2013-01-28: Largest IV spike — 28.2% change
  • 2013-01-02: Highest IV Rank — 30.8%
  • 2013-01-02: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139.94$130.94$147.86$131.66$147.86
Max Pain$131.43$120.00$135.00$120.00$135.00
ATM IV23.3%18.7%29.9%29.9%20.3%
Expected Move6.4%5.4%8.3%8.3%5.7%
HV 20d24.3%21.8%26.4%23.9%21.8%
HV 60d27.2%26.4%27.8%27.0%26.4%
IV Rank10.8%0.0%30.8%30.8%5.3%
IV Percentile13.2%0.0%52.8%52.8%2.0%
Term Structure0.5%-3.0%2.0%-2.2%0.9%
VWIV22.9%19.7%30.0%29.4%21.2%
Skew 25d2.5%1.4%4.0%4.0%2.2%
Skew 10d5.8%2.9%9.9%8.0%5.9%
Call IV 25d21.6%18.6%27.3%27.0%20.1%
Put IV 25d24.1%20.5%31.0%31.0%22.3%
Bid-Ask Spread %7.804.4535.256.1135.25
Gamma HHI0.310.200.740.230.37
Net GEX43.8M20.7M147.8M29.7M36.8M
Net DEX-972.6M-1.75B-620.3M-791.0M-839.8M
Net VEX-4.7M-5.3M-4.2M-4.2M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.270.930.510.62
Total Volume43,293.38121,848112,58439,75826,592
Total OI383,747.952234,521512,666418,465271,607

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$131.66$120.0029.9%8.3%23.9%30.8%29.4%4.0%-2.2%29.7M-791.0M-4.2M0.516.1126,25113,507163,678254,787
2013-01-03$130.94$120.0026.0%8.1%23.0%17.7%30.0%3.2%-3.0%25.6M-660.3M-4.3M0.935.8914,37413,433169,700257,568
2013-01-04$134.51$130.0023.1%7.0%24.2%8.0%25.7%2.9%0.6%30.8M-941.5M-4.2M0.477.4738,43217,973172,320262,723
2013-01-07$134.26$130.0027.1%7.1%24.3%21.4%25.4%3.1%0.4%34.3M-912.8M-4.3M0.7510.7819,98515,028175,468263,948
2013-01-08$133.05$130.0028.5%6.9%24.6%26.1%24.6%3.2%0.6%33.0M-808.8M-4.2M0.809.3312,3389,894177,439267,913
2013-01-09$134.32$130.0028.6%6.8%24.6%26.6%23.9%3.0%1.0%41.0M-914.5M-4.2M0.767.1618,49813,999179,971269,994
2013-01-10$137.37$130.0023.8%6.8%25.0%10.3%23.8%2.5%0.8%46.6M-1.16B-4.5M0.278.0059,82716,349185,606277,724
2013-01-11$137.13$130.0023.2%6.6%24.7%8.2%23.2%2.6%1.2%44.6M-1.17B-4.7M0.485.6714,7197,129193,281282,397
2013-01-14$136.13$130.0023.8%6.8%25.2%10.4%23.9%2.8%0.6%43.2M-1.08B-4.6M0.685.9214,2669,749189,061278,126
2013-01-15$135.59$130.0024.3%7.0%25.5%12.0%24.3%2.8%0.0%44.2M-1.08B-4.6M0.576.3831,92318,249190,484279,546
2013-01-16$141.09$130.0021.3%6.1%26.4%1.8%21.6%2.3%1.3%63.8M-1.56B-4.3M0.427.7879,19433,390193,606282,665
2013-01-17$141.01$135.0020.6%5.9%24.4%0.0%20.9%2.0%2.0%63.7M-1.51B-4.6M0.455.8842,47119,084208,101291,091
2013-01-18$144.45$135.0020.1%5.8%25.1%0.0%20.9%2.1%1.4%147.8M-1.75B-4.7M0.405.2752,40720,938215,834296,832
2013-01-22$145.95$135.0020.2%5.8%24.7%0.2%20.6%1.4%0.5%39.3M-837.5M-4.6M0.544.6432,37217,634113,175121,346
2013-01-23$145.56$135.0019.4%5.6%24.2%0.0%20.0%1.7%0.9%43.6M-789.9M-5.0M0.614.4523,40914,293121,970128,746
2013-01-24$144.96$135.0019.0%5.4%24.0%0.0%19.7%1.7%0.9%45.0M-721.5M-5.3M0.585.1024,47514,108128,631136,117
2013-01-25$144.46$135.0018.7%5.4%24.0%0.0%19.8%2.0%1.0%20.8M-620.3M-5.3M0.685.2719,68613,391129,651139,910
2013-01-28$144.15$135.0023.9%5.7%23.9%16.6%20.5%2.2%0.9%20.7M-623.4M-5.3M0.735.5613,4489,880117,567138,333
2013-01-29$147.10$135.0023.2%5.8%23.7%14.2%20.3%1.7%0.7%31.2M-829.4M-5.2M0.395.8428,73511,280121,254141,235
2013-01-30$147.15$135.0024.0%5.8%23.6%16.9%20.4%2.1%0.7%34.5M-814.7M-5.3M0.576.0516,8559,596125,315143,987
2013-01-31$147.86$135.0020.3%5.7%21.8%5.3%21.2%2.2%0.9%36.8M-839.8M-5.3M0.6235.2516,44610,146125,910145,697