GS Options History — January 2014

In January 2014, GS traded between $163.90 and $179.37. ATM implied volatility averaged 20.0%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.4% (HV 20d: 14.7%). Max pain ranged from $170.00 to $170.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2014-01-16: Highest Volume — 44,318 contracts
  • 2014-01-23: Largest IV spike — 16.5% change
  • 2014-01-27: Highest IV Rank — 37.7%
  • 2014-01-09: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$173.32$163.90$179.37$176.89$164.12
Max Pain$170.00$170.00$170.00$170.00$170.00
ATM IV20.0%16.2%23.6%20.3%23.1%
Expected Move6.8%6.5%6.9%6.9%6.9%
HV 20d14.7%11.8%18.3%15.0%18.3%
HV 60d15.8%14.2%16.8%16.8%16.8%
IV Rank17.4%0.0%37.7%17.2%35.0%
IV Percentile26.1%0.0%61.1%26.2%56.7%
Term Structure-0.4%-1.9%1.2%0.5%-0.6%
VWIV25.1%23.0%28.1%26.1%26.2%
Skew 25d3.2%2.3%4.4%2.8%4.2%
Skew 10d6.2%4.3%8.4%5.8%7.9%
Call IV 25d18.9%15.5%22.0%19.3%21.8%
Put IV 25d22.1%18.1%26.3%22.1%26.0%
Bid-Ask Spread %7.265.7411.986.676.26
Gamma HHI0.150.070.350.170.08
Net GEX28.0M-9.5M59.4M51.1M-2.1M
Net DEX-531.1M-1.08B177.2M-942.3M160.5M
Net VEX-6.1M-6.6M-5.7M-6.1M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.361.100.690.95
Total Volume25,555.76213,87244,31815,85417,760
Total OI283,818.857178,815360,924327,247234,009

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$176.89$170.0020.3%6.9%15.0%17.2%26.1%2.8%0.5%51.1M-942.3M-6.1M0.696.679,3656,489124,290202,957
2014-01-03$178.15$170.0019.6%6.9%15.1%13.2%26.1%2.8%-0.6%50.8M-1.08B-5.8M0.416.1412,2585,045125,661204,166
2014-01-06$179.37$170.0020.0%6.9%12.8%15.2%26.7%3.0%-0.3%54.4M-1.07B-5.9M0.415.7422,1388,965123,581201,154
2014-01-07$178.29$170.0019.4%6.9%13.1%12.1%23.8%3.0%-0.4%59.4M-1.02B-6.0M0.546.6421,14311,512129,706203,599
2014-01-08$178.44$170.0019.6%6.8%13.1%13.1%26.3%2.7%-1.1%54.9M-973.5M-5.9M0.367.2015,4405,489129,318208,387
2014-01-09$177.40$170.0019.8%6.9%13.0%14.4%23.9%2.8%-0.2%49.3M-941.1M-5.8M0.586.7010,8696,313129,971210,087
2014-01-10$178.39$170.0019.7%6.8%11.8%14.0%24.0%2.8%-1.2%46.2M-1.01B-5.9M0.876.368,9847,847131,957212,253
2014-01-13$175.88$170.0021.0%6.9%13.3%20.6%28.1%3.2%-1.2%42.9M-848.4M-5.9M0.867.2510,4989,028125,857208,317
2014-01-14$176.60$170.0019.5%6.9%13.3%12.7%24.3%3.0%-0.5%48.0M-903.4M-5.8M0.946.4010,2799,614128,450209,930
2014-01-15$178.75$170.0020.6%6.7%12.9%18.9%26.9%3.2%-1.9%50.3M-1.05B-5.7M0.586.6126,75815,592126,262211,214
2014-01-16$175.17$170.0017.6%6.7%15.1%2.7%24.7%2.3%-0.6%42.4M-776.7M-5.7M0.536.1929,01615,302134,075218,336
2014-01-17$176.28$170.0016.2%6.6%12.4%0.0%24.3%2.5%0.2%47.3M-837.3M-5.8M0.3910.5926,78210,364140,726220,198
2014-01-21$173.20$170.0016.8%6.5%14.0%3.0%23.0%2.5%0.9%7.2M-167.3M-5.8M0.509.1124,94812,35380,68398,132
2014-01-22$173.68$170.0016.2%6.6%14.0%0.0%24.0%2.6%1.2%16.2M-221.5M-6.1M0.4711.9812,0845,73289,887104,010
2014-01-23$170.75$170.0018.9%6.7%14.9%13.6%26.3%3.1%0.4%817.1K-72.0M-6.3M1.107.7414,65916,07493,270106,296
2014-01-24$167.64$170.0020.4%6.7%16.0%21.1%24.6%3.5%1.1%-7.0M102.5M-6.4M0.918.9214,23112,91697,786114,615
2014-01-27$164.69$170.0023.6%6.9%16.8%37.7%24.2%4.3%-1.4%-5.7M162.7M-6.4M0.986.0518,69618,23993,027113,223
2014-01-28$166.25$170.0022.7%6.8%17.4%32.9%23.6%3.9%-1.4%-3.9M87.8M-6.5M0.726.988,8006,36198,378122,175
2014-01-29$163.90$170.0023.1%6.9%17.8%35.3%25.5%4.4%-1.0%-9.5M177.2M-6.5M0.576.8115,8598,997101,357122,419
2014-01-30$165.84$170.0022.8%6.8%18.2%33.4%23.8%3.7%-0.8%-4.8M83.1M-6.6M0.576.218,8315,041105,542124,935
2014-01-31$164.12$170.0023.1%6.9%18.3%35.0%26.2%4.2%-0.6%-2.1M160.5M-6.6M0.956.269,0898,671107,665126,344