GS Options History — December 2013

In December 2013, GS traded between $165.56 and $177.26. ATM implied volatility averaged 19.9%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.8% (HV 20d: 15.1%). Max pain ranged from $170.00 to $170.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2013-12-18: Highest Volume — 50,419 contracts
  • 2013-12-05: Largest IV spike — 8.8% change
  • 2013-12-17: Highest IV Rank — 27.7%
  • 2013-12-05: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$171.69$165.56$177.26$169.72$177.26
Max Pain$170.00$170.00$170.00$170.00$170.00
ATM IV19.9%18.3%22.3%18.3%20.0%
Expected Move7.1%6.8%7.4%7.2%6.9%
HV 20d15.1%12.6%17.0%15.5%15.6%
HV 60d17.9%17.1%19.3%19.3%17.1%
IV Rank15.0%6.4%27.7%6.4%15.6%
IV Percentile20.1%5.6%45.2%5.6%21.4%
Term Structure1.0%-0.5%2.9%1.7%-0.2%
VWIV26.4%24.1%31.0%27.6%25.6%
Skew 25d2.9%2.3%3.4%2.6%2.7%
Skew 10d6.0%4.4%7.7%4.7%5.3%
Call IV 25d19.0%17.6%21.3%17.6%19.0%
Put IV 25d21.9%20.2%24.4%20.2%21.7%
Bid-Ask Spread %5.533.139.193.137.04
Gamma HHI0.220.140.470.190.17
Net GEX50.1M18.1M112.8M48.3M52.5M
Net DEX-773.9M-1.14B-340.9M-694.1M-950.0M
Net VEX-6.7M-7.2M-6.1M-6.9M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.271.230.270.89
Total Volume22,713.0958,28250,41938,28213,639
Total OI343,568.286320,066366,364333,923322,604

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$169.72$170.0018.3%7.2%15.5%6.4%27.6%2.6%1.7%48.3M-694.1M-6.9M0.273.1330,0328,250136,420197,503
2013-12-03$168.05$170.0018.8%7.2%16.0%9.1%25.7%3.1%1.7%41.5M-571.2M-7.0M0.566.2416,9379,569141,825199,157
2013-12-04$168.70$170.0019.1%7.2%15.6%10.6%25.4%3.0%1.9%40.8M-605.0M-7.0M0.554.3214,7028,086143,611203,730
2013-12-05$165.56$170.0020.8%7.4%17.0%19.6%26.2%3.0%2.0%18.1M-340.9M-7.2M0.474.6420,3789,586145,419206,648
2013-12-06$167.21$170.0019.5%7.3%14.6%12.7%27.8%3.4%2.1%34.1M-492.7M-7.0M0.694.4916,83511,651149,761208,518
2013-12-09$167.67$170.0018.7%7.2%12.6%8.5%29.6%3.1%2.5%34.2M-531.6M-6.9M0.963.829,6409,269137,993206,890
2013-12-10$169.73$170.0018.5%7.2%13.2%7.5%25.0%3.0%2.9%46.5M-695.3M-7.0M0.443.5322,3119,843140,125211,059
2013-12-11$167.60$170.0019.3%7.2%13.9%11.4%25.8%2.9%2.6%31.7M-502.7M-6.9M0.783.6915,49312,160144,014212,222
2013-12-12$168.33$170.0020.7%7.3%13.9%19.2%24.2%3.1%1.6%39.8M-589.4M-7.0M1.233.287,5679,326145,778215,628
2013-12-13$168.39$170.0020.1%7.2%13.9%15.7%27.5%3.2%1.8%36.7M-592.0M-6.9M0.763.4010,6568,125146,091220,273
2013-12-16$170.95$170.0021.4%7.2%14.6%23.1%29.7%3.3%0.3%49.4M-770.1M-6.7M0.395.3215,9106,186136,725208,741
2013-12-17$170.49$170.0022.3%7.2%14.5%27.7%25.4%3.1%-0.1%51.2M-746.2M-6.7M0.525.919,0384,724139,912208,957
2013-12-18$174.84$170.0021.1%7.1%16.8%21.4%27.3%2.8%0.5%70.7M-1.12B-6.5M0.368.3037,15713,262141,989209,933
2013-12-19$174.77$170.0021.1%7.1%16.2%21.3%24.5%2.9%-0.4%77.9M-1.12B-6.5M0.407.5322,5018,892144,907209,892
2013-12-20$175.16$170.0020.8%7.0%15.8%19.6%24.1%2.7%-0.4%112.8M-1.14B-6.5M0.447.0520,8909,164146,864212,085
2013-12-23$176.47$170.0020.1%7.0%15.8%15.8%24.4%2.6%0.4%56.1M-1.00B-6.3M0.449.1911,2994,918123,685197,054
2013-12-24$176.16$170.0020.0%7.0%15.8%15.2%31.0%2.7%-0.1%51.7M-956.5M-6.5M0.696.114,8943,388125,203199,317
2013-12-26$176.45$170.0019.2%7.0%15.3%11.2%25.4%2.4%-0.1%58.5M-969.7M-6.3M0.385.947,4062,802125,783200,743
2013-12-27$176.35$170.0018.9%6.9%15.3%9.7%27.0%2.3%-0.1%47.1M-941.1M-6.4M0.445.727,8553,454126,236201,573
2013-12-30$175.73$170.0019.7%6.8%15.4%13.7%25.2%2.6%-0.5%52.8M-908.0M-6.1M0.857.474,9554,225121,882198,184
2013-12-31$177.26$170.0020.0%6.9%15.6%15.6%25.6%2.7%-0.2%52.5M-950.0M-6.2M0.897.047,1986,441122,661199,943