GS Options History — August 2013

In August 2013, GS traded between $152.13 and $168.32. ATM implied volatility averaged 22.2%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.9% (HV 20d: 17.3%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-08-01: Highest Volume — 38,655 contracts
  • 2013-08-27: Largest IV spike — 11.7% change
  • 2013-08-30: Highest IV Rank — 43.3%
  • 2013-08-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.45$152.13$168.32$167.49$152.13
Max Pain$159.76$155.00$165.00$165.00$155.00
ATM IV22.2%19.7%26.5%21.6%26.5%
Expected Move6.4%5.7%7.6%6.2%7.6%
HV 20d17.3%15.7%19.8%18.1%17.2%
HV 60d22.9%22.4%23.8%23.4%22.7%
IV Rank19.5%6.0%43.3%15.7%43.3%
IV Percentile26.8%3.6%71.8%17.9%71.8%
Term Structure0.7%-0.3%1.9%-0.3%-0.0%
VWIV22.5%20.3%26.6%21.7%26.1%
Skew 25d3.6%3.0%4.4%3.4%3.8%
Skew 10d7.5%5.7%9.5%6.4%7.6%
Call IV 25d21.1%19.1%24.8%19.8%24.6%
Put IV 25d24.7%22.2%29.2%23.3%28.4%
Bid-Ask Spread %25.999.2154.3551.6419.88
Gamma HHI0.120.100.190.190.10
Net GEX4.8M-12.9M35.3M35.3M-10.4M
Net DEX-308.1M-808.5M179.9M-797.1M179.9M
Net VEX-7.5M-7.8M-7.3M-7.6M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.471.480.480.79
Total Volume24,07512,55138,65538,65516,385
Total OI324,728.455301,957338,301320,224338,301

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$167.49$165.0021.6%6.2%18.1%15.7%21.7%3.4%-0.3%35.3M-797.1M-7.6M0.4851.6426,16612,489129,376190,848
2013-08-02$167.62$165.0019.9%5.7%17.5%6.3%22.1%3.3%-0.1%23.6M-808.2M-7.6M0.6011.169,4025,657132,753195,012
2013-08-05$168.32$165.0019.8%5.7%17.5%6.2%21.0%3.1%0.6%27.9M-808.5M-7.5M0.6116.0118,43611,295127,100192,677
2013-08-06$164.78$160.0020.6%5.9%18.7%10.8%20.3%3.4%0.8%15.4M-555.2M-7.6M0.5329.7619,43310,205130,345195,280
2013-08-07$163.45$160.0020.8%6.0%18.8%11.8%20.8%3.4%0.7%12.6M-468.6M-7.7M0.6422.2612,2527,823131,995194,968
2013-08-08$162.84$160.0020.6%5.9%18.5%10.9%20.6%3.2%0.9%13.0M-436.1M-7.7M0.5820.3314,5678,472133,956195,829
2013-08-09$162.13$165.0021.7%6.2%17.9%16.9%20.6%3.2%0.6%5.1M-367.3M-7.6M0.5824.0815,4969,052132,652197,017
2013-08-12$161.69$165.0021.7%6.2%16.8%16.8%21.8%3.1%0.8%3.3M-346.4M-7.8M0.5214.1310,9525,690128,960195,543
2013-08-13$163.71$160.0020.1%5.8%16.1%7.8%20.4%3.0%1.2%18.9M-536.1M-7.6M0.4910.5417,9118,709132,177196,092
2013-08-14$163.34$160.0019.7%5.7%16.0%6.0%20.6%3.1%1.4%17.9M-524.1M-7.6M0.6913.639,8116,752135,041198,539
2013-08-15$160.75$0.0021.7%6.2%15.9%17.0%21.1%3.5%0.6%-4.4M-311.1M-7.3M0.5513.6619,41510,621132,209197,742
2013-08-16$160.66$155.0021.4%6.1%15.9%15.0%22.1%3.6%0.6%-10.3M-333.0M-7.5M0.8316.0212,29710,233134,289198,820
2013-08-19$158.63$160.0021.9%6.3%15.7%18.0%22.7%3.6%1.9%-763.7K-175.3M-7.3M0.6649.3112,3408,170119,142182,815
2013-08-20$159.56$160.0022.7%6.5%15.9%22.4%24.0%4.3%1.8%3.0M-219.5M-7.6M1.4852.9715,15922,446122,836186,029
2013-08-21$157.11$160.0024.2%7.0%16.5%30.8%23.8%4.1%1.3%-10.2M-63.0M-7.5M0.7354.3518,84513,849126,143194,420
2013-08-22$159.41$160.0022.4%6.4%17.4%20.7%22.5%3.9%0.6%1.2M-241.7M-7.4M0.4744.468,5304,021128,283195,566
2013-08-23$158.65$160.0021.8%6.2%17.4%17.6%22.0%4.1%0.8%360.6K-155.8M-7.4M0.9146.987,1386,482128,502196,194
2013-08-26$157.90$155.0023.2%6.7%17.0%24.9%24.6%4.4%1.2%-1.3M-146.3M-7.4M0.7624.3515,69011,871123,784190,222
2013-08-27$153.23$155.0025.9%7.4%19.8%39.9%26.6%4.4%0.3%-12.3M128.7M-7.4M0.579.2122,83412,981128,269193,249
2013-08-28$152.97$155.0025.2%7.2%19.2%36.2%24.9%4.1%0.4%-12.9M129.7M-7.4M0.7512.8911,2578,388131,181197,526
2013-08-29$153.63$155.0025.0%7.2%17.2%35.1%25.8%3.7%0.0%-9.7M77.8M-7.4M0.7914.2911,2468,882133,243199,101
2013-08-30$152.13$155.0026.5%7.6%17.2%43.3%26.1%3.8%-0.0%-10.4M179.9M-7.4M0.7919.889,1737,212135,677202,624