GS Options History — March 2013

In March 2013, GS traded between $145.38 and $156.62. ATM implied volatility averaged 24.1%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.0% (HV 20d: 27.2%). Max pain ranged from $140.00 to $150.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-03-08: Highest Volume — 65,121 contracts
  • 2013-03-04: Largest IV spike — 18.0% change
  • 2013-03-04: Highest IV Rank — 32.8%
  • 2013-03-04: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$150.79$145.38$156.62$150.53$147.15
Max Pain$144.75$140.00$150.00$150.00$145.00
ATM IV24.1%20.6%29.1%24.6%24.4%
Expected Move6.8%5.9%7.6%7.0%7.0%
HV 20d27.2%21.3%29.4%28.5%21.3%
HV 60d24.7%24.0%25.2%24.7%24.8%
IV Rank17.3%6.2%32.8%18.8%18.0%
IV Percentile25.6%4.8%59.9%27.8%29.4%
Term Structure-0.2%-0.9%1.4%1.4%-0.1%
VWIV24.1%21.1%26.7%25.3%23.7%
Skew 25d2.8%2.0%3.8%3.8%2.9%
Skew 10d5.7%3.8%9.0%9.0%7.1%
Call IV 25d22.8%20.1%25.0%23.3%23.0%
Put IV 25d25.7%22.3%28.5%27.1%25.9%
Bid-Ask Spread %5.942.8413.4913.494.95
Gamma HHI0.160.100.730.140.10
Net GEX14.1M-11.1M141.1M-11.1M2.3M
Net DEX-442.3M-894.9M-109.7M-396.3M-198.9M
Net VEX-7.2M-7.6M-6.8M-7.5M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.541.551.010.70
Total Volume37,190.224,35265,12136,77724,352
Total OI333,780.05291,996359,893339,475339,648

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$150.53$150.0024.6%7.0%28.5%18.8%25.3%3.8%1.4%-11.1M-396.3M-7.5M1.0113.4918,31218,465139,082200,393
2013-03-04$152.18$140.0029.1%7.6%28.3%32.8%26.7%3.7%-0.8%9.2M-522.4M-7.3M0.687.9115,25110,426136,291193,814
2013-03-05$152.96$140.0024.7%6.9%27.6%19.1%24.5%3.5%-0.5%15.7M-610.0M-7.1M0.547.4422,99712,373139,620196,308
2013-03-06$154.13$145.0023.4%6.8%26.9%15.1%24.2%3.4%-0.3%19.2M-681.2M-7.1M0.575.7118,22310,434140,526198,841
2013-03-07$156.62$145.0024.8%6.9%27.4%19.4%24.2%3.0%-0.7%29.6M-894.9M-7.0M0.856.2124,83421,195141,671200,272
2013-03-08$152.98$145.0020.6%6.5%28.8%6.2%23.5%2.9%0.1%7.1M-522.1M-7.2M0.813.8036,05029,071145,052207,983
2013-03-11$153.30$145.0021.9%6.4%28.6%10.3%22.9%2.8%0.0%10.2M-606.0M-7.0M0.824.7416,12513,300140,711205,859
2013-03-12$151.85$145.0024.5%6.5%28.8%18.5%22.8%2.5%0.1%3.3M-473.2M-7.1M0.747.2917,77713,086143,436207,520
2013-03-13$151.91$145.0024.2%6.4%28.4%17.6%22.8%2.2%0.4%2.8M-471.9M-7.2M1.556.8111,82118,350144,725207,709
2013-03-14$154.02$145.0022.4%6.4%28.9%11.9%22.7%2.4%-0.6%14.1M-654.1M-7.0M0.654.9723,51515,254142,720210,484
2013-03-15$154.84$145.0020.7%5.9%28.8%6.4%21.1%2.2%0.4%141.1M-737.4M-6.8M0.682.8435,77924,349147,784212,109
2013-03-18$151.95$145.0022.8%6.5%29.4%13.1%22.8%2.0%-0.5%12.2M-491.0M-7.0M1.033.6616,45516,924119,966172,030
2013-03-19$148.84$145.0024.0%6.9%28.8%16.9%24.4%2.6%0.2%4.3M-296.2M-7.3M1.075.9023,52625,214124,995177,065
2013-03-20$150.13$145.0023.6%6.8%28.1%15.6%23.4%2.6%0.1%11.4M-410.5M-7.3M0.586.6416,5379,553130,607181,267
2013-03-21$145.38$145.0025.9%7.4%28.7%22.9%25.8%2.4%-0.5%-2.8M-109.7M-7.3M0.827.6028,13223,092131,762182,751
2013-03-22$146.60$145.0026.0%7.4%27.7%23.1%25.8%2.8%-0.5%4.6M-190.4M-7.5M1.194.8414,85017,710138,361188,422
2013-03-25$146.11$145.0026.1%7.5%23.2%23.4%25.8%2.9%-0.9%1.1M-164.1M-7.4M1.393.8817,34924,192131,732188,190
2013-03-26$146.54$145.0025.3%7.2%23.3%20.8%24.8%2.8%-0.4%264.9K-169.5M-7.6M0.806.0016,26212,980134,744195,058
2013-03-27$147.84$145.0023.5%6.7%21.7%15.2%24.1%3.0%-0.3%6.8M-246.6M-7.6M0.884.0415,75213,937137,826198,267
2013-03-28$147.15$145.0024.4%7.0%21.3%18.0%23.7%2.9%-0.1%2.3M-198.9M-7.6M0.704.9514,31510,037138,610201,038