GS Options History — February 2014

In February 2014, GS traded between $159.82 and $166.54. ATM implied volatility averaged 21.0%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.0% (HV 20d: 20.0%). Max pain ranged from $170.00 to $170.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-02-11: Highest Volume — 42,041 contracts
  • 2014-02-11: Largest IV drop — 11.9% change
  • 2014-02-03: Highest IV Rank — 51.4%
  • 2014-02-05: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.36$159.82$166.54$159.82$166.45
Max Pain$170.00$170.00$170.00$170.00$170.00
ATM IV21.0%18.1%26.3%26.3%18.2%
Expected Move6.8%6.5%7.0%7.0%6.5%
HV 20d20.0%18.5%22.0%19.5%18.5%
HV 60d17.0%16.5%17.7%17.6%17.5%
IV Rank24.2%9.8%51.4%51.4%10.3%
IV Percentile33.5%6.7%85.3%85.3%7.1%
Term Structure-0.1%-1.0%0.8%-1.0%0.0%
VWIV23.9%21.7%26.4%25.6%22.6%
Skew 25d3.1%2.4%4.5%4.5%2.6%
Skew 10d6.3%4.9%8.3%8.1%5.5%
Call IV 25d20.0%17.4%24.8%24.8%17.7%
Put IV 25d23.2%20.2%29.3%29.3%20.3%
Bid-Ask Spread %7.755.3512.179.956.83
Gamma HHI0.090.070.140.080.11
Net GEX9.9M-10.0M30.7M-9.5M24.0M
Net DEX52.9M-250.6M313.2M313.2M-250.6M
Net VEX-6.6M-6.8M-6.3M-6.5M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.290.960.960.41
Total Volume23,850.73713,65242,04124,68333,747
Total OI242,642.263220,715260,564221,073247,081

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$159.82$170.0026.3%7.0%19.5%51.4%25.6%4.5%-1.0%-9.5M313.2M-6.5M0.969.9512,61112,07299,385121,688
2014-02-04$161.76$170.0024.1%7.0%20.1%40.2%24.3%3.9%-0.3%-7.0M244.6M-6.6M0.8812.179,7858,621103,238125,775
2014-02-05$160.42$170.0025.1%7.0%20.1%45.1%24.6%4.5%-1.0%-10.0M311.3M-6.6M0.8010.588,9317,179105,235127,899
2014-02-06$161.75$170.0023.9%7.0%20.5%39.1%25.3%4.0%0.1%-6.9M242.0M-6.7M0.539.239,8555,236107,726130,407
2014-02-07$161.93$170.0022.7%6.9%20.7%33.2%25.8%3.8%0.0%-3.9M219.9M-6.7M0.629.0713,4068,264110,503131,089
2014-02-10$161.00$170.0023.3%7.0%20.3%36.3%26.4%3.8%-0.4%-3.8M227.5M-6.5M0.836.629,4277,843105,899128,892
2014-02-11$164.39$170.0020.5%6.8%22.0%22.1%25.0%2.7%-0.3%6.1M37.1M-6.6M0.377.7330,76111,280108,722132,156
2014-02-12$163.50$170.0021.0%6.9%21.8%24.2%23.7%2.9%-0.5%10.4M43.4M-6.8M0.456.6313,4996,086115,767134,133
2014-02-13$164.06$170.0020.2%6.8%21.2%20.4%23.3%2.6%-0.1%13.3M21.8M-6.8M0.357.0716,6955,773117,966135,378
2014-02-14$163.72$170.0019.8%6.8%20.3%18.2%21.7%2.4%-0.4%9.9M38.5M-6.7M0.297.6216,8774,950123,757136,807
2014-02-18$164.65$170.0019.6%6.8%20.3%17.3%26.0%2.6%0.2%17.0M-39.7M-6.6M0.546.6814,9938,147122,141133,280
2014-02-19$163.26$170.0019.6%6.8%19.7%17.4%22.7%3.0%0.8%15.7M42.5M-6.6M0.497.0018,1878,975126,085133,615
2014-02-20$164.50$170.0019.0%6.7%19.9%14.1%22.6%2.9%0.3%22.3M-41.2M-6.4M0.686.778,1055,547126,254132,941
2014-02-21$164.50$170.0018.1%6.7%19.2%9.8%21.8%2.9%0.4%26.1M-29.4M-6.4M0.617.1613,3908,223126,032133,829
2014-02-24$166.54$170.0018.6%6.6%18.8%12.1%23.7%2.9%0.4%29.1M-203.8M-6.5M0.407.1820,0717,991104,877115,838
2014-02-25$163.48$170.0019.6%6.6%18.9%17.0%24.6%2.8%0.4%14.4M-16.2M-6.3M0.565.3519,01610,629108,546118,679
2014-02-26$162.80$170.0019.7%6.6%18.6%17.9%21.9%2.6%0.1%10.6M15.8M-6.5M0.966.1517,20616,523111,917122,593
2014-02-27$165.38$170.0018.7%6.5%18.8%12.9%21.7%2.5%0.1%30.7M-170.9M-6.7M0.647.4014,1899,074114,401129,672
2014-02-28$166.45$170.0018.2%6.5%18.5%10.3%22.6%2.6%0.0%24.0M-250.6M-6.7M0.416.8323,9939,754115,624131,457