GS Options History — February 2013

In February 2013, GS traded between $147.52 and $158.65. ATM implied volatility averaged 23.3%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.6% (HV 20d: 21.7%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.82.

Notable Days

2013-02-14: Highest Volume — 66,543 contracts
2013-02-25: Largest IV spike — 39.3% change
2013-02-25: Highest IV Rank — 48.6%
2013-02-25: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$152.03	$147.52	$158.65	$149.90	$149.76
Max Pain	$147.89	$145.00	$150.00	$145.00	$150.00
ATM IV	23.3%	19.1%	34.1%	19.1%	26.5%
Expected Move	6.5%	5.7%	8.1%	5.9%	7.2%
HV 20d	21.7%	15.8%	28.5%	21.5%	28.5%
HV 60d	22.8%	21.0%	26.6%	26.5%	24.7%
IV Rank	14.8%	1.3%	48.6%	1.3%	24.6%
IV Percentile	19.4%	0.8%	86.1%	0.8%	40.9%
Term Structure	0.8%	-1.4%	2.4%	0.8%	0.6%
VWIV	23.4%	20.5%	29.3%	21.7%	26.1%
Skew 25d	2.9%	1.7%	4.5%	3.3%	3.9%
Skew 10d	6.4%	4.4%	10.0%	6.2%	8.4%
Call IV 25d	21.9%	19.6%	27.7%	19.8%	24.1%
Put IV 25d	24.8%	21.7%	31.2%	23.1%	28.0%
Bid-Ask Spread %	10.25	4.94	46.43	7.40	46.43
Gamma HHI	0.28	0.12	0.88	0.88	0.13
Net GEX	36.4M	-8.4M	305.4M	305.4M	-2.8M
Net DEX	-797.8M	-1.22B	-207.9M	-978.5M	-344.3M
Net VEX	-6.2M	-7.3M	-5.3M	-5.3M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.52	1.40	0.52	1.09
Total Volume	47,593.684	30,395	66,543	57,594	33,257
Total OI	305,660.579	274,110	335,782	277,350	331,407

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-02-01	$149.90	$145.00	19.1%	5.9%	21.5%	1.3%	21.7%	3.3%	0.8%	305.4M	-978.5M	-5.3M	0.52	7.40	37,957	19,637	129,094	148,256
2013-02-04	$147.52	$145.00	24.3%	6.3%	21.6%	17.9%	23.3%	3.5%	0.1%	22.2M	-766.4M	-5.4M	0.85	7.24	19,889	16,847	123,548	150,562
2013-02-05	$150.45	$145.00	22.1%	6.1%	22.1%	10.7%	22.1%	3.3%	0.9%	32.5M	-954.2M	-5.5M	0.72	7.32	29,839	21,582	127,722	153,072
2013-02-06	$151.12	$145.00	19.8%	6.3%	21.4%	3.7%	22.5%	2.8%	0.5%	35.7M	-995.8M	-5.4M	0.74	8.18	17,443	12,952	131,443	155,282
2013-02-07	$150.26	$145.00	21.5%	6.2%	21.8%	9.1%	22.2%	2.5%	0.8%	36.1M	-928.9M	-5.6M	0.72	5.75	28,840	20,735	134,326	159,694
2013-02-08	$151.60	$145.00	21.3%	6.1%	20.9%	8.3%	22.0%	2.3%	0.9%	29.2M	-1.02B	-5.6M	0.72	8.79	26,856	19,442	137,059	163,287
2013-02-11	$152.24	$145.00	22.0%	6.3%	20.7%	10.4%	22.4%	2.1%	0.8%	33.5M	-1.01B	-5.8M	0.73	6.65	23,970	17,382	133,695	164,563
2013-02-12	$154.11	$145.00	21.0%	6.0%	20.3%	7.4%	21.8%	2.1%	1.9%	43.1M	-1.14B	-5.8M	0.55	7.68	32,237	17,729	139,071	171,944
2013-02-13	$154.52	$150.00	20.0%	5.7%	20.0%	4.3%	21.0%	2.5%	2.4%	39.2M	-1.13B	-5.9M	0.67	7.63	18,736	12,593	139,231	178,902
2013-02-14	$155.93	$150.00	20.8%	5.9%	15.8%	6.6%	21.7%	1.7%	2.3%	44.2M	-1.22B	-5.7M	0.82	5.95	36,622	29,921	138,576	178,195
2013-02-15	$154.99	$150.00	19.8%	5.7%	16.2%	3.6%	20.5%	1.9%	2.4%	41.2M	-1.09B	-6.0M	0.56	7.93	36,597	20,503	144,939	190,843
2013-02-19	$158.65	$150.00	20.6%	5.9%	16.0%	6.1%	21.8%	2.2%	1.2%	21.5M	-956.1M	-6.0M	0.85	7.77	32,506	27,629	121,128	165,847
2013-02-20	$155.18	$150.00	22.0%	6.3%	18.5%	10.4%	22.6%	2.9%	1.1%	9.2M	-726.5M	-6.6M	1.12	10.48	24,132	26,976	127,094	176,527
2013-02-21	$150.88	$150.00	25.1%	7.2%	21.5%	20.3%	25.3%	2.9%	-0.6%	-8.4M	-378.1M	-6.7M	1.03	4.94	32,279	33,383	129,941	180,424
2013-02-22	$154.09	$150.00	24.5%	6.8%	22.4%	18.3%	24.8%	3.6%	0.1%	10.9M	-619.5M	-6.9M	0.94	9.28	18,489	17,368	135,642	182,399
2013-02-25	$147.65	$150.00	34.1%	8.1%	27.6%	48.6%	29.3%	3.5%	-1.4%	-3.3M	-207.9M	-7.2M	0.80	13.15	33,161	26,418	131,051	181,268
2013-02-26	$148.00	$150.00	30.6%	7.8%	27.6%	37.6%	28.3%	4.5%	-0.6%	-3.9M	-214.2M	-7.3M	1.40	11.42	15,875	22,303	134,983	187,004
2013-02-27	$151.65	$150.00	28.6%	7.2%	28.0%	31.3%	25.2%	4.0%	0.3%	6.2M	-478.0M	-7.2M	0.76	10.77	24,011	18,184	137,061	192,471
2013-02-28	$149.76	$150.00	26.5%	7.2%	28.5%	24.6%	26.1%	3.9%	0.6%	-2.8M	-344.3M	-7.3M	1.09	46.43	15,922	17,335	135,555	195,852