GS Options History — May 2013

In May 2013, GS traded between $142.61 and $164.35. ATM implied volatility averaged 22.6%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.7% (HV 20d: 20.9%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2013-05-22: Highest Volume — 68,261 contracts
  • 2013-05-02: Largest IV drop — 22.2% change
  • 2013-05-31: Highest IV Rank — 30.3%
  • 2013-05-31: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$154.31$142.61$164.35$142.61$162.08
Max Pain$148.41$145.00$155.00$145.00$155.00
ATM IV22.6%19.7%28.3%27.4%28.3%
Expected Move6.3%5.9%7.2%6.3%7.2%
HV 20d20.9%17.9%23.4%21.7%19.4%
HV 60d23.0%21.2%24.7%23.8%21.6%
IV Rank12.4%3.3%30.3%27.4%30.3%
IV Percentile21.6%1.6%71.4%60.3%71.4%
Term Structure1.1%-0.4%1.6%-0.4%1.2%
VWIV22.6%21.3%25.3%23.0%25.3%
Skew 25d2.3%1.4%3.3%2.6%1.7%
Skew 10d5.0%2.9%7.3%5.9%3.5%
Call IV 25d21.5%19.9%24.6%22.2%24.6%
Put IV 25d23.9%22.2%26.3%24.8%26.3%
Bid-Ask Spread %22.938.9242.6210.2810.99
Gamma HHI0.180.090.240.090.14
Net GEX27.5M-1.0M45.3M-1.0M26.7M
Net DEX-668.0M-1.13B48.4M48.4M-951.5M
Net VEX-7.6M-8.5M-7.1M-7.2M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.340.870.770.55
Total Volume40,656.04515,83668,26129,68935,812
Total OI329,997.318303,787361,110303,787361,110

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$142.61$145.0027.4%6.3%21.7%27.4%23.0%2.6%-0.4%-1.0M48.4M-7.2M0.7710.2816,74212,947128,562175,225
2013-05-02$143.67$145.0021.3%6.0%21.9%8.3%21.7%2.2%0.2%5.6M-25.8M-7.1M0.6842.6216,87811,523131,352175,754
2013-05-03$145.37$145.0022.3%6.2%22.2%11.6%22.0%2.2%1.2%13.4M-204.0M-7.3M0.6314.4525,27316,020133,910177,706
2013-05-06$148.45$145.0025.5%6.4%23.4%21.5%22.7%3.1%0.8%23.1M-404.8M-7.3M0.378.9234,79112,914133,661177,106
2013-05-07$149.32$145.0024.6%6.2%22.6%18.7%22.1%3.1%0.8%27.7M-479.2M-7.3M0.579.5525,42514,464138,619180,137
2013-05-08$150.26$145.0020.3%6.1%21.5%5.0%21.8%3.1%1.1%31.9M-548.1M-7.2M0.5413.7229,31215,814140,378181,948
2013-05-09$148.54$145.0019.7%6.0%21.9%3.3%21.4%2.9%1.3%24.9M-422.5M-7.3M0.7113.9912,6969,024143,076184,227
2013-05-10$149.10$145.0020.2%6.0%22.0%4.9%21.4%2.9%1.3%24.3M-451.1M-7.3M0.6017.439,8915,945142,884185,515
2013-05-13$149.63$145.0021.8%6.1%20.9%9.8%22.1%2.3%1.4%30.6M-514.7M-7.2M0.6424.4420,23112,950139,780181,309
2013-05-14$154.52$145.0020.6%5.9%22.6%6.1%21.3%2.3%1.6%42.4M-897.9M-7.1M0.3425.0143,42614,730143,492186,232
2013-05-15$155.61$145.0019.8%6.1%20.0%3.4%21.5%2.9%1.2%45.3M-951.8M-7.3M0.4328.8338,28616,282148,110187,795
2013-05-16$154.47$150.0021.3%6.1%19.3%8.5%22.0%3.3%1.1%40.0M-785.5M-7.5M0.7028.4819,18613,442148,039191,285
2013-05-17$158.18$150.0021.0%6.0%20.2%7.2%21.8%2.9%1.3%26.1M-1.05B-7.4M0.5625.2027,59415,564149,042195,789
2013-05-20$158.90$150.0021.7%6.2%20.3%9.7%22.2%1.8%1.4%26.9M-811.1M-7.3M0.3824.5940,95815,434129,316177,630
2013-05-21$160.73$150.0021.2%6.1%19.3%8.1%21.7%1.5%1.5%39.6M-971.1M-7.5M0.5319.7928,50514,996142,975181,556
2013-05-22$159.34$150.0021.3%6.1%19.9%8.3%21.8%1.4%1.6%32.4M-850.6M-7.9M0.8125.4437,68330,578145,849186,732
2013-05-23$157.41$150.0023.6%6.8%20.8%15.6%23.7%1.6%1.3%20.5M-661.5M-8.1M0.8741.6726,46623,071147,685193,820
2013-05-24$158.72$150.0023.1%6.6%20.6%13.9%23.8%2.0%1.6%22.2M-730.6M-8.5M0.7938.0719,18715,196151,025198,560
2013-05-28$160.70$155.0024.1%6.9%20.8%17.0%24.2%1.8%1.2%31.3M-888.9M-8.1M0.6128.6321,62613,221145,550196,278
2013-05-29$162.87$155.0024.0%6.9%21.0%16.8%24.7%2.0%1.2%33.7M-1.01B-8.1M0.7535.7324,30218,210148,696199,196
2013-05-30$164.35$155.0024.3%7.0%17.9%17.6%24.8%1.8%1.2%37.1M-1.13B-8.0M0.5416.7324,53713,301149,937203,093
2013-05-31$162.08$155.0028.3%7.2%19.4%30.3%25.3%1.7%1.2%26.7M-951.5M-8.3M0.5510.9923,11512,697153,149207,961