GS Options History — July 2013

In July 2013, GS traded between $150.43 and $166.26. ATM implied volatility averaged 22.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.4% (HV 20d: 23.2%). Max pain ranged from $145.00 to $170.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2013-07-15: Highest Volume — 65,936 contracts
  • 2013-07-02: Largest IV drop — 9.2% change
  • 2013-07-01: Highest IV Rank — 47.5%
  • 2013-07-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.10$150.43$166.26$151.75$164.03
Max Pain$156.50$145.00$170.00$150.00$165.00
ATM IV22.8%19.1%27.7%27.7%21.3%
Expected Move6.6%5.4%8.3%8.3%6.1%
HV 20d23.2%17.3%29.7%29.7%17.4%
HV 60d23.9%23.1%24.6%24.6%23.1%
IV Rank22.1%2.3%47.5%47.5%13.8%
IV Percentile29.0%1.2%71.8%71.8%15.5%
Term Structure-0.1%-1.6%1.2%-1.1%0.0%
VWIV23.6%19.8%29.3%29.3%22.0%
Skew 25d3.1%1.9%7.2%3.7%3.3%
Skew 10d6.1%4.1%8.8%8.8%6.3%
Call IV 25d22.0%18.0%27.3%27.0%20.2%
Put IV 25d25.1%20.9%30.7%30.7%23.5%
Bid-Ask Spread %26.826.0874.5914.8417.85
Gamma HHI0.190.080.620.090.17
Net GEX35.0M-4.4M178.3M-809.2K23.7M
Net DEX-585.5M-1.13B-8.0M-101.5M-576.4M
Net VEX-7.7M-8.3M-7.2M-8.2M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.361.311.190.73
Total Volume29,124.77314,83965,93621,91629,094
Total OI348,515290,152399,922345,308316,523

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$151.75$150.0027.7%8.3%29.7%47.5%29.3%3.7%-1.1%-809.2K-101.5M-8.2M1.1914.849,98511,931142,795202,513
2013-07-02$150.92$150.0025.1%8.1%29.6%34.1%28.2%3.3%-0.8%-1.9M-56.4M-8.1M1.3115.4010,48013,713145,488205,769
2013-07-03$150.43$150.0025.8%8.1%28.8%37.5%28.2%3.3%-0.8%-4.4M-8.0M-8.3M1.136.086,9527,887148,057210,222
2013-07-05$153.24$0.0026.1%7.5%29.5%39.0%25.4%7.2%0.7%6.1M-216.1M-8.1M0.6574.599,6476,267150,814211,260
2013-07-08$153.81$150.0027.1%7.8%25.4%44.7%27.6%3.3%-0.9%9.2M-264.0M-8.0M0.9939.669,9999,851149,341209,488
2013-07-09$156.94$145.0027.2%7.8%26.5%45.0%26.8%2.8%-1.4%19.3M-512.1M-7.9M0.4229.9324,78810,316152,285211,691
2013-07-10$155.83$145.0027.0%7.8%25.2%44.2%26.8%3.1%-1.6%21.7M-441.8M-7.9M0.6045.4613,3028,032157,875214,283
2013-07-11$157.71$0.0024.8%7.1%25.6%32.1%24.9%3.0%-0.9%28.5M-582.4M-7.9M0.418.0921,9318,902159,556215,238
2013-07-12$160.11$150.0023.4%6.8%24.6%25.2%23.9%3.1%-1.0%178.3M-825.2M-7.7M0.3626.5225,1269,090162,520216,035
2013-07-15$163.00$150.0023.4%6.6%24.8%24.8%23.8%2.1%-0.0%35.4M-971.3M-7.4M0.426.8646,57619,360156,656212,570
2013-07-16$160.24$155.0022.0%6.3%25.3%17.5%22.1%1.9%1.2%33.9M-765.5M-7.6M0.4343.0540,77217,514169,389218,735
2013-07-17$161.50$155.0020.6%5.9%25.5%10.3%20.7%2.2%1.2%45.5M-883.7M-7.6M0.3844.6527,85810,614176,597221,941
2013-07-18$164.06$155.0019.6%5.6%25.5%4.8%20.2%2.7%0.4%91.2M-1.13B-7.4M0.4741.4126,02212,293178,036220,533
2013-07-19$164.36$155.0019.1%5.4%20.8%2.3%19.8%2.9%0.9%106.7M-1.06B-7.4M0.4841.3418,6979,004176,188223,734
2013-07-22$166.25$160.0019.5%5.6%20.6%4.2%21.2%2.9%0.3%26.5M-749.7M-7.2M0.6925.5214,44910,006116,542173,610
2013-07-23$166.26$165.0019.5%5.6%18.2%4.5%20.4%2.9%0.1%26.9M-741.9M-7.5M0.8120.2110,7598,754120,433177,865
2013-07-24$165.04$165.0019.9%5.7%18.3%6.3%21.2%3.4%0.4%21.6M-661.3M-7.4M0.8917.2711,42210,173121,414181,706
2013-07-25$165.91$165.0020.3%5.8%17.6%8.6%21.0%2.8%0.7%24.1M-696.2M-7.6M0.7120.2516,54611,679122,134183,545
2013-07-26$165.26$165.0020.2%5.7%17.6%8.3%20.4%2.9%0.6%49.1M-683.1M-7.7M0.6311.3117,29610,973127,102186,743
2013-07-29$163.17$170.0020.7%6.0%17.3%10.6%22.3%3.2%0.3%14.9M-503.2M-7.6M0.6920.0713,7019,470122,399184,911
2013-07-30$162.43$165.0022.4%6.4%17.6%19.8%22.8%3.4%-0.1%13.8M-451.9M-7.9M0.8519.5810,5418,973125,571187,223
2013-07-31$164.03$165.0021.3%6.1%17.4%13.8%22.0%3.3%0.0%23.7M-576.4M-7.9M0.7317.8516,82512,269127,370189,153