GS Options History — October 2013

In October 2013, GS traded between $153.05 and $162.25. ATM implied volatility averaged 23.8%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.3% (HV 20d: 20.5%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2013-10-17: Highest Volume — 62,271 contracts
2013-10-17: Largest IV drop — 15.8% change
2013-10-09: Highest IV Rank — 69.8%
2013-10-09: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$158.80	$153.05	$162.25	$159.00	$160.86
Max Pain	$169.57	$165.00	$170.00	$170.00	$165.00
ATM IV	23.8%	19.3%	31.3%	25.6%	19.4%
Expected Move	7.4%	7.2%	7.9%	7.4%	7.2%
HV 20d	20.5%	16.5%	23.1%	21.4%	20.6%
HV 60d	19.9%	18.7%	20.7%	19.8%	20.0%
IV Rank	28.4%	3.5%	69.8%	38.2%	4.1%
IV Percentile	42.8%	1.6%	96.4%	65.1%	2.0%
Term Structure	-0.4%	-2.2%	0.5%	-0.6%	0.1%
VWIV	25.3%	23.5%	28.4%	25.6%	26.1%
Skew 25d	3.0%	1.8%	3.9%	3.6%	2.8%
Skew 10d	6.1%	3.5%	9.3%	6.9%	5.3%
Call IV 25d	22.7%	17.8%	30.0%	24.4%	17.8%
Put IV 25d	25.7%	20.5%	33.9%	28.0%	20.6%
Bid-Ask Spread %	4.09	3.15	7.51	3.70	5.20
Gamma HHI	0.16	0.10	0.79	0.10	0.13
Net GEX	31.2M	-7.6M	357.9M	4.4M	22.6M
Net DEX	-323.0M	-659.1M	91.8M	-205.8M	-484.7M
Net VEX	-7.1M	-7.4M	-6.7M	-7.2M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.28	1.00	0.47	0.55
Total Volume	28,711.696	14,295	62,271	21,941	14,295
Total OI	349,222.826	308,073	388,354	342,186	335,617

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2013-10-01	$159.00	$170.00	25.6%	7.4%	21.4%	38.2%	25.6%	3.6%	-0.6%	4.4M	-205.8M	-7.2M	0.47	3.70	14,913	7,028	139,604	202,582
2013-10-02	$158.67	$170.00	26.5%	7.5%	21.4%	43.4%	27.9%	3.2%	-0.7%	6.1M	-213.8M	-7.3M	0.54	3.78	13,977	7,528	143,817	203,855
2013-10-03	$156.85	$170.00	28.1%	7.6%	21.8%	52.3%	28.4%	3.2%	-1.1%	1.2M	-95.5M	-7.4M	0.70	3.31	18,241	12,727	148,382	205,174
2013-10-04	$156.55	$170.00	27.9%	7.5%	21.8%	51.1%	24.1%	3.4%	-1.2%	3.3M	-85.4M	-7.4M	0.83	7.51	16,137	13,344	151,301	207,160
2013-10-07	$154.25	$170.00	29.5%	7.7%	21.3%	59.8%	24.6%	3.6%	-1.3%	-4.3M	29.5M	-7.3M	0.42	3.47	17,076	7,093	149,298	207,051
2013-10-08	$153.05	$170.00	30.5%	7.8%	16.5%	65.5%	26.2%	3.8%	-2.0%	-7.6M	91.8M	-7.2M	1.00	3.83	13,744	13,722	152,811	209,762
2013-10-09	$154.44	$170.00	31.3%	7.9%	17.1%	69.8%	27.2%	3.9%	-2.2%	-3.4M	14.9M	-7.4M	0.53	3.62	15,560	8,208	154,444	211,948
2013-10-10	$158.01	$170.00	27.4%	7.6%	19.2%	48.3%	26.5%	3.9%	-0.8%	17.0M	-297.0M	-7.4M	0.42	3.46	21,664	9,099	157,890	214,274
2013-10-11	$160.00	$170.00	25.6%	7.5%	19.7%	38.1%	24.1%	3.5%	-0.7%	357.9M	-476.5M	-7.2M	0.28	4.77	28,820	7,925	160,453	215,538
2013-10-14	$159.46	$165.00	25.8%	7.5%	18.3%	39.6%	25.0%	3.7%	-0.5%	20.6M	-390.6M	-7.1M	0.34	3.84	17,988	6,028	151,902	208,790
2013-10-15	$157.63	$170.00	25.7%	7.5%	18.5%	39.1%	24.7%	3.8%	-0.4%	11.3M	-238.3M	-7.3M	0.58	3.87	12,973	7,512	156,330	210,498
2013-10-16	$162.25	$170.00	24.3%	7.3%	21.6%	31.3%	23.9%	3.3%	-0.4%	39.8M	-659.1M	-7.1M	0.47	6.21	40,588	18,984	158,396	212,781
2013-10-17	$158.32	$170.00	20.5%	7.2%	23.1%	10.1%	23.7%	2.9%	0.4%	13.3M	-227.8M	-6.7M	0.65	4.89	37,838	24,433	160,125	215,546
2013-10-18	$158.69	$170.00	20.5%	7.2%	22.5%	10.2%	23.8%	2.6%	0.5%	20.2M	-268.8M	-7.0M	0.48	3.34	29,383	14,186	166,667	221,687
2013-10-21	$159.77	$170.00	20.5%	7.2%	21.0%	10.0%	25.3%	2.6%	0.1%	23.0M	-440.1M	-6.8M	0.46	3.29	18,953	8,757	126,462	181,611
2013-10-22	$159.25	$170.00	20.0%	7.2%	20.5%	7.1%	23.8%	2.3%	0.2%	24.1M	-414.4M	-6.9M	0.64	3.82	14,221	9,112	130,906	185,069
2013-10-23	$157.74	$170.00	19.6%	7.2%	20.7%	5.2%	23.5%	1.9%	0.3%	14.6M	-271.0M	-7.1M	0.65	4.37	14,292	9,260	133,097	189,784
2013-10-24	$159.96	$170.00	19.3%	7.2%	21.4%	3.5%	28.3%	2.1%	0.4%	27.9M	-454.4M	-6.9M	0.77	3.15	13,563	10,386	134,345	192,459
2013-10-25	$162.09	$170.00	19.7%	7.2%	21.3%	5.9%	26.1%	1.8%	0.1%	27.9M	-634.9M	-7.1M	0.53	4.02	19,315	10,162	136,021	195,691
2013-10-28	$161.45	$170.00	20.3%	7.2%	20.9%	9.3%	23.9%	2.1%	-0.0%	30.8M	-557.9M	-7.0M	0.70	3.72	12,136	8,443	132,714	193,236
2013-10-29	$162.11	$170.00	19.9%	7.2%	20.9%	7.0%	24.5%	2.3%	0.2%	33.7M	-583.1M	-7.2M	0.38	3.36	16,136	6,080	135,016	197,519
2013-10-30	$162.05	$170.00	19.6%	7.2%	20.9%	5.2%	24.0%	2.7%	-0.1%	34.0M	-566.2M	-7.1M	0.40	3.63	13,287	5,252	135,723	198,789
2013-10-31	$160.86	$165.00	19.4%	7.2%	20.6%	4.1%	26.1%	2.8%	0.1%	22.6M	-484.7M	-7.0M	0.55	5.20	9,217	5,078	135,732	199,885