GS Options History — April 2013

In April 2013, GS traded between $138.60 and $149.46. ATM implied volatility averaged 24.1%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.9% (HV 20d: 21.2%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2013-04-16: Highest Volume — 75,084 contracts
  • 2013-04-29: Largest IV spike — 25.1% change
  • 2013-04-10: Highest IV Rank — 28.9%
  • 2013-04-15: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$144.35$138.60$149.46$146.04$146.07
Max Pain$143.41$140.00$145.00$145.00$145.00
ATM IV24.1%20.2%27.8%24.9%25.9%
Expected Move6.8%5.8%7.9%7.3%6.0%
HV 20d21.2%19.3%22.1%21.3%21.5%
HV 60d23.7%23.0%24.2%24.2%23.5%
IV Rank17.2%4.8%28.9%19.7%22.9%
IV Percentile29.9%3.2%59.1%35.3%50.4%
Term Structure-0.5%-2.0%1.2%-1.3%0.3%
VWIV24.1%20.6%27.5%25.4%20.8%
Skew 25d2.9%1.9%3.9%2.3%3.1%
Skew 10d6.3%2.9%8.4%4.5%7.0%
Call IV 25d22.9%19.4%27.1%24.7%19.7%
Put IV 25d25.9%22.2%29.5%27.1%22.8%
Bid-Ask Spread %9.044.3530.805.839.47
Gamma HHI0.120.080.210.100.15
Net GEX6.6M-9.7M26.5M5.3K13.6M
Net DEX-84.9M-470.6M332.7M-121.2M-192.9M
Net VEX-7.2M-7.6M-6.7M-7.6M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.401.270.790.75
Total Volume34,793.45519,37175,08419,37121,064
Total OI339,049.864275,712386,448334,874299,926

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$146.04$145.0024.9%7.3%21.3%19.7%25.4%2.3%-1.3%5.3K-121.2M-7.6M0.795.8310,8078,564137,231197,643
2013-04-02$146.68$145.0024.8%7.2%20.9%19.2%24.7%1.9%-1.2%3.2M-171.2M-7.6M0.614.7715,5119,450140,121199,107
2013-04-03$143.41$145.0026.2%7.5%22.0%23.9%26.6%2.7%-2.0%-7.1M71.6M-7.3M0.816.3023,83919,328143,075201,366
2013-04-04$142.99$145.0023.5%7.6%21.6%15.3%27.1%3.2%-1.5%-6.8M97.1M-7.4M0.964.8111,24210,806147,056204,561
2013-04-05$143.69$145.0024.0%7.2%20.6%16.9%25.6%3.1%-1.0%-2.7M43.2M-7.3M0.727.2815,58711,236148,319207,190
2013-04-08$143.82$145.0026.8%7.4%19.3%25.8%25.4%3.2%-1.4%313.1K3.4M-7.3M0.436.4714,9196,392148,284203,515
2013-04-09$146.52$145.0026.4%7.2%20.8%24.4%25.0%3.5%-1.4%12.8M-235.6M-7.3M0.557.7322,88312,477154,914204,430
2013-04-10$149.46$145.0027.8%6.8%22.0%28.9%24.9%3.1%-0.7%22.7M-470.6M-7.5M0.597.0524,17114,301156,968208,006
2013-04-11$149.07$145.0024.4%7.0%22.0%18.1%25.1%3.4%-0.9%19.4M-433.3M-7.5M0.554.9619,93310,962156,816210,477
2013-04-12$149.12$145.0024.5%7.0%21.3%18.5%25.1%2.7%-1.1%18.0M-430.1M-7.4M0.559.5720,99411,525158,025211,508
2013-04-15$146.46$145.0027.5%7.9%21.9%27.7%27.5%1.9%-1.5%9.9M-228.3M-7.4M0.5913.0238,64222,730156,452208,933
2013-04-16$144.10$145.0022.9%6.6%21.7%13.5%23.5%2.8%0.4%-6.8M27.9M-7.1M0.665.3045,11129,973162,020212,035
2013-04-17$140.60$145.0025.0%7.2%22.1%20.0%25.2%3.1%-0.1%-9.2M232.6M-7.1M0.675.3736,76024,765170,285213,089
2013-04-18$138.60$140.0024.4%7.0%22.1%18.0%24.8%3.9%0.7%-9.7M308.7M-6.9M0.875.8926,06422,722172,239208,080
2013-04-19$138.72$140.0022.4%6.4%19.4%12.0%23.2%3.5%1.2%-863.5K332.7M-6.8M1.137.4816,31318,465176,016210,432
2013-04-22$139.52$140.0021.7%6.2%19.3%9.5%22.2%2.9%0.1%3.8M86.8M-6.7M0.837.1616,11213,357119,282156,430
2013-04-23$142.94$140.0020.4%5.9%21.4%5.5%21.6%3.4%0.3%17.0M-108.1M-7.1M0.4725.1722,69110,597124,747162,053
2013-04-24$143.93$140.0020.7%5.9%21.6%6.5%21.8%3.3%-0.0%22.1M-165.8M-7.0M0.4030.8016,1696,519126,051164,763
2013-04-25$144.76$140.0020.2%5.8%21.4%4.8%20.6%2.8%0.2%26.5M-229.7M-7.0M0.664.3516,71510,950127,392165,309
2013-04-26$144.11$140.0020.4%6.0%21.4%5.4%21.3%2.7%-0.2%9.9M-130.7M-7.1M1.279.9011,21014,189126,645167,488
2013-04-29$145.11$145.0025.5%6.2%21.5%21.5%21.8%2.6%-0.3%9.5M-155.0M-7.2M0.7110.1317,17612,235123,094167,724
2013-04-30$146.07$145.0025.9%6.0%21.5%22.9%20.8%3.1%0.3%13.6M-192.9M-7.3M0.759.4712,0339,031127,679172,247