GS Options History — September 2013

In September 2013, GS traded between $154.76 and $169.75. ATM implied volatility averaged 23.4%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.1% (HV 20d: 21.3%). Max pain ranged from $155.00 to $185.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2013-09-10: Highest Volume — 41,446 contracts
  • 2013-09-23: Largest IV spike — 14.3% change
  • 2013-09-03: Highest IV Rank — 39.1%
  • 2013-09-24: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$162.56$154.76$169.75$154.76$158.21
Max Pain$165.28$155.00$185.00$155.00$170.00
ATM IV23.4%20.4%25.7%25.7%25.4%
Expected Move7.0%6.2%7.5%7.4%7.4%
HV 20d21.3%17.9%24.1%18.7%22.1%
HV 60d20.3%19.0%21.5%21.4%19.8%
IV Rank26.2%9.5%39.1%39.1%37.0%
IV Percentile39.2%10.7%63.5%62.7%63.5%
Term Structure0.4%-0.6%1.5%0.6%-0.5%
VWIV24.4%21.8%26.0%25.8%25.6%
Skew 25d3.6%1.3%4.2%4.2%3.7%
Skew 10d7.1%2.3%8.6%8.1%7.3%
Call IV 25d22.1%20.3%24.3%24.3%24.3%
Put IV 25d25.7%21.8%28.5%28.5%27.9%
Bid-Ask Spread %12.133.0040.9518.353.90
Gamma HHI0.130.100.180.100.11
Net GEX16.0M-23.6M48.5M-4.4M-4.1M
Net DEX-470.8M-942.1M-16.8M-16.8M-109.1M
Net VEX-7.0M-7.4M-6.2M-7.4M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.380.940.940.66
Total Volume23,266.112,89741,44616,41026,260
Total OI334,234.85314,719345,576328,364327,162

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$154.76$155.0025.7%7.4%18.7%39.1%25.8%4.2%0.6%-4.4M-16.8M-7.4M0.9418.358,4767,934129,554198,810
2013-09-04$155.74$155.0025.2%7.2%17.9%35.9%26.0%4.0%0.9%-2.1M-81.5M-7.4M0.7720.037,5615,804131,054200,621
2013-09-05$156.17$155.0025.0%7.2%17.9%35.2%24.8%4.0%0.7%-2.7M-107.5M-7.4M0.5716.259,2365,266132,600201,122
2013-09-06$156.66$155.0025.1%7.2%17.9%35.7%25.5%4.0%0.9%1.0M-149.5M-7.3M0.8840.9510,2859,091133,013202,116
2013-09-09$159.49$155.0023.8%6.8%19.2%28.6%23.7%4.1%0.7%8.6M-309.5M-7.2M0.659.8310,4096,791127,958199,234
2013-09-10$165.14$160.0022.1%6.3%23.0%19.0%22.5%3.8%1.1%24.4M-667.3M-7.1M0.5914.2926,01215,434129,092200,228
2013-09-11$165.06$160.0021.5%6.2%22.6%15.5%22.0%3.5%1.4%28.9M-680.0M-7.1M0.5915.738,0924,805135,509204,993
2013-09-12$163.35$0.0021.7%6.2%22.9%16.6%22.5%3.7%1.1%23.3M-549.2M-7.2M0.7620.2710,2497,832135,755205,107
2013-09-13$164.00$165.0022.0%6.2%22.1%18.2%21.8%3.7%1.5%22.4M-597.6M-7.2M0.5227.8510,7545,616137,873205,728
2013-09-16$167.03$0.0023.5%7.1%23.0%27.0%24.3%3.9%-0.6%33.8M-802.3M-6.8M0.5311.3515,4068,196133,407201,418
2013-09-17$167.42$185.0023.3%7.2%22.3%25.6%24.9%3.6%-0.1%36.2M-827.7M-6.7M0.664.8311,1557,386135,951203,312
2013-09-18$168.06$170.0021.8%7.0%22.3%17.2%25.8%3.6%0.5%41.2M-880.0M-6.7M0.383.7317,4936,616137,663205,209
2013-09-19$167.78$170.0021.4%7.0%21.3%15.4%25.2%3.2%0.5%42.5M-822.7M-6.6M0.493.0018,0528,826135,817204,414
2013-09-20$169.75$170.0020.4%7.0%21.1%9.5%24.6%1.3%-0.2%48.5M-942.1M-6.2M0.486.8326,64412,777139,059206,517
2013-09-23$165.25$170.0023.3%7.2%23.6%25.5%23.3%3.4%-0.3%18.7M-561.3M-6.7M0.643.2217,91511,533124,272190,447
2013-09-24$162.97$170.0023.3%7.5%24.1%25.6%24.4%3.5%-0.2%9.6M-404.4M-7.1M0.5910.4914,9438,758128,097195,188
2013-09-25$162.31$170.0024.5%7.3%21.2%32.2%25.6%3.6%-0.3%8.5M-376.8M-7.0M0.524.4418,7979,735132,061198,455
2013-09-26$162.29$170.0024.5%7.4%21.2%32.3%25.1%3.3%0.1%9.2M-361.9M-7.2M0.443.9314,6206,386135,611200,915
2013-09-27$159.85$170.0024.8%7.3%22.1%33.6%24.0%3.5%-0.1%-23.6M-168.2M-7.2M0.513.2522,62411,553136,783202,572
2013-09-30$158.21$170.0025.4%7.4%22.1%37.0%25.6%3.7%-0.5%-4.1M-109.1M-7.1M0.663.9015,83610,424129,031198,131