GS Options History — June 2013

In June 2013, GS traded between $150.78 and $167.49. ATM implied volatility averaged 28.3%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.3% (HV 20d: 26.0%). Max pain ranged from $150.00 to $155.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2013-06-07: Highest Volume — 57,864 contracts
  • 2013-06-06: Largest IV drop — 24.2% change
  • 2013-06-24: Highest IV Rank — 65.3%
  • 2013-06-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$159.52$150.78$167.49$163.56$151.25
Max Pain$151.00$150.00$155.00$155.00$150.00
ATM IV28.3%24.4%35.8%30.4%24.6%
Expected Move7.8%7.1%8.9%7.1%8.2%
HV 20d26.0%19.3%30.2%19.3%30.0%
HV 60d23.1%21.0%24.7%21.4%24.6%
IV Rank45.0%20.3%65.3%37.1%31.3%
IV Percentile70.2%37.7%96.4%81.7%42.5%
Term Structure-0.3%-1.6%1.4%1.4%-0.6%
VWIV27.4%25.5%31.1%25.5%27.9%
Skew 25d3.4%2.1%4.2%2.3%3.6%
Skew 10d6.8%4.4%8.5%4.4%7.6%
Call IV 25d25.9%23.8%29.5%24.5%26.7%
Put IV 25d29.3%26.8%33.2%26.8%30.4%
Bid-Ask Spread %9.505.5417.5216.126.49
Gamma HHI0.130.080.180.150.09
Net GEX20.0M218.8K38.9M29.8M218.8K
Net DEX-666.0M-1.29B-79.3M-1.01B-80.4M
Net VEX-8.2M-8.5M-8.0M-8.1M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.571.340.761.34
Total Volume35,732.6519,32157,86439,81319,819
Total OI372,143327,616396,850357,125352,988

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$163.56$155.0030.4%7.1%19.3%37.1%25.5%2.3%1.4%29.8M-1.01B-8.1M0.7616.1222,66117,152151,301205,824
2013-06-04$161.68$155.0033.8%7.5%19.4%47.8%26.5%2.5%0.7%25.9M-857.4M-8.3M0.9117.5218,14816,495154,969208,931
2013-06-05$158.30$155.0035.8%7.5%21.4%54.0%26.7%2.1%0.4%15.8M-591.6M-8.4M1.1515.7520,53523,649157,601211,521
2013-06-06$159.68$155.0027.2%7.1%21.4%26.8%25.7%3.3%1.0%22.5M-687.1M-8.5M0.8417.0622,85619,150161,283214,327
2013-06-07$166.01$150.0024.4%7.2%24.2%20.3%25.6%3.5%0.2%38.8M-1.25B-8.2M0.829.8631,87325,991163,856217,911
2013-06-10$167.49$150.0029.5%7.5%24.2%57.3%26.3%3.1%-0.5%37.7M-1.29B-8.0M1.2211.1917,35221,107159,018218,230
2013-06-11$163.31$150.0029.8%7.6%26.6%58.8%27.1%3.4%-0.5%27.0M-917.6M-8.4M1.327.6514,15418,628161,099223,100
2013-06-12$161.86$150.0026.7%8.0%24.9%42.3%27.8%3.6%-1.0%26.9M-829.9M-8.5M1.328.5716,40121,690163,437224,017
2013-06-13$165.82$150.0026.5%7.6%26.0%41.4%27.4%3.7%-0.5%38.9M-1.14B-8.3M0.966.8518,88618,163165,196227,399
2013-06-14$162.92$150.0026.1%7.5%26.8%39.3%26.9%3.9%-0.2%30.6M-889.2M-8.4M0.957.4112,97212,352165,998230,852
2013-06-17$164.11$150.0026.1%7.5%25.7%39.1%27.1%3.5%-0.2%35.7M-996.5M-8.1M0.839.5213,26810,968161,852224,784
2013-06-18$164.15$150.0025.4%7.3%25.7%35.5%26.6%3.4%0.1%34.2M-1.01B-8.1M0.8510.5710,4608,861163,210227,004
2013-06-19$161.56$150.0025.8%7.4%26.1%37.8%25.8%3.2%0.6%18.7M-783.7M-8.1M0.647.8222,20514,262163,146230,059
2013-06-20$155.41$150.0029.9%8.6%29.5%59.2%29.8%3.9%-1.4%496.7K-217.6M-8.2M1.006.9428,40528,514161,236224,722
2013-06-21$154.25$150.0029.1%8.3%29.3%55.2%29.3%3.4%-1.0%2.9M-166.7M-8.1M0.997.7126,77926,570164,517224,669
2013-06-24$150.78$150.0031.0%8.9%30.0%65.3%31.1%3.7%-1.6%1.2M-79.3M-8.3M0.595.6120,63912,081136,441191,175
2013-06-25$153.06$150.0028.3%8.1%30.2%50.7%28.6%3.6%-0.9%5.6M-197.5M-8.2M0.575.8517,74510,132141,081196,313
2013-06-26$151.66$150.0029.1%8.3%29.7%55.2%28.4%3.6%-0.6%769.1K-110.6M-8.3M1.235.9913,75516,954143,696199,987
2013-06-27$153.51$150.0027.4%7.8%29.9%46.0%28.1%4.2%-0.5%6.2M-216.8M-8.3M0.705.5413,5309,491145,797204,313
2013-06-28$151.25$150.0024.6%8.2%30.0%31.3%27.9%3.6%-0.6%218.8K-80.4M-8.2M1.346.498,47511,344146,908206,080