GS Options History — November 2013

In November 2013, GS traded between $159.64 and $169.48. ATM implied volatility averaged 18.0%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.1% (HV 20d: 17.9%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2013-11-26: Highest Volume — 60,672 contracts
  • 2013-11-07: Largest IV spike — 7.2% change
  • 2013-11-07: Highest IV Rank — 7.1%
  • 2013-11-21: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$164.89$159.64$169.48$162.05$168.94
Max Pain$166.00$165.00$170.00$165.00$170.00
ATM IV18.0%17.1%19.1%18.7%17.6%
Expected Move7.1%7.0%7.2%7.1%7.1%
HV 20d17.9%15.5%21.5%20.7%15.6%
HV 60d20.0%19.2%20.9%20.0%19.2%
IV Rank2.1%0.0%7.1%0.3%2.5%
IV Percentile1.0%0.0%3.2%0.4%2.0%
Term Structure0.7%-0.0%2.0%0.1%0.5%
VWIV25.4%23.4%29.9%25.0%24.0%
Skew 25d2.6%2.2%3.1%2.5%2.5%
Skew 10d5.0%4.1%5.7%4.9%5.7%
Call IV 25d17.2%16.4%18.1%17.1%16.9%
Put IV 25d19.8%18.9%20.9%19.6%19.5%
Bid-Ask Spread %3.662.417.544.142.72
Gamma HHI0.180.120.450.130.18
Net GEX39.4M12.8M90.9M25.0M44.1M
Net DEX-583.4M-825.5M-246.6M-564.7M-627.5M
Net VEX-6.9M-7.2M-6.7M-7.1M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.120.920.920.26
Total Volume25,728.411,64860,67216,38420,641
Total OI345,540.85327,685362,710337,276341,788

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$162.05$165.0018.7%7.1%20.7%0.3%25.0%2.5%0.1%25.0M-564.7M-7.1M0.924.148,5357,849136,717200,559
2013-11-04$163.16$165.0018.1%7.0%19.8%0.0%23.9%2.5%0.2%31.6M-604.7M-6.9M0.683.756,9214,727129,983197,702
2013-11-05$161.95$165.0019.1%7.1%19.8%5.8%23.4%2.6%0.3%28.2M-508.8M-6.9M0.813.749,3807,624131,449199,006
2013-11-06$163.52$165.0017.8%7.0%19.8%0.0%23.6%2.6%0.4%37.8M-644.9M-6.9M0.504.1321,67310,934133,526203,324
2013-11-07$159.64$165.0019.1%7.1%20.5%7.1%25.0%3.1%0.2%12.8M-246.6M-6.9M0.893.5817,07515,186140,292207,169
2013-11-08$163.17$165.0017.9%7.1%21.5%0.4%25.2%2.8%0.6%31.9M-544.5M-6.9M0.363.7722,2938,024142,851210,382
2013-11-11$163.84$165.0018.3%7.0%21.4%2.6%27.6%2.8%0.7%42.1M-605.4M-7.0M0.533.3515,1047,953143,510208,569
2013-11-12$162.89$165.0018.4%7.0%21.1%3.0%28.2%2.8%0.7%40.2M-519.7M-7.1M0.742.7712,6049,292146,203210,063
2013-11-13$162.94$165.0018.3%7.0%18.4%2.8%25.6%2.4%0.3%44.2M-528.1M-7.2M0.477.5413,7096,462149,267213,443
2013-11-14$163.20$165.0018.1%7.0%16.0%1.3%26.2%2.4%0.1%47.8M-545.9M-6.7M0.832.9510,3828,657146,453213,031
2013-11-15$164.40$165.0017.3%7.1%16.1%0.0%24.9%2.6%0.4%90.9M-627.9M-6.7M0.292.7227,2828,036148,503213,061
2013-11-18$165.68$165.0017.7%7.2%16.1%2.1%25.3%2.4%1.9%31.1M-562.8M-6.7M0.473.9926,47912,408130,602198,404
2013-11-19$166.60$165.0018.3%7.2%16.1%5.5%23.9%2.5%1.9%35.7M-630.3M-6.8M0.554.0917,8549,815136,294201,005
2013-11-20$165.00$165.0017.9%7.2%16.1%3.0%24.1%2.9%2.0%27.6M-511.4M-6.9M0.583.1111,6076,700139,137204,699
2013-11-21$167.07$165.0017.8%7.2%15.9%2.3%29.9%2.6%0.2%34.2M-632.0M-7.1M0.312.4913,8334,292140,601205,228
2013-11-22$168.10$165.0017.2%7.1%15.5%0.0%24.9%2.2%-0.0%37.6M-729.7M-7.1M0.422.5919,6498,282143,736206,307
2013-11-25$169.48$170.0017.4%7.1%15.5%1.3%27.9%2.5%1.8%55.1M-825.5M-7.1M0.342.4120,9627,027144,571201,649
2013-11-26$168.04$170.0017.6%7.1%15.9%2.2%23.4%2.5%2.0%42.6M-712.0M-7.0M0.122.6554,2066,466146,103203,174
2013-11-27$168.22$170.0017.1%7.1%15.9%0.0%27.1%2.3%0.6%48.5M-496.2M-7.0M0.366.7110,7313,914137,198205,258
2013-11-29$168.94$170.0017.6%7.1%15.6%2.5%24.0%2.5%0.5%44.1M-627.5M-7.0M0.262.7216,3804,261140,766201,022