GS Options History — March 2014

In March 2014, GS traded between $161.73 and $174.26. ATM implied volatility averaged 20.3%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.2% (HV 20d: 19.1%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2014-03-25: Highest Volume — 49,167 contracts
  • 2014-03-13: Largest IV spike — 8.5% change
  • 2014-03-14: Highest IV Rank — 31.7%
  • 2014-03-14: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.42$161.73$174.26$164.74$163.85
Max Pain$168.10$165.00$170.00$170.00$165.00
ATM IV20.3%17.6%22.4%20.1%20.3%
Expected Move6.6%6.4%6.7%6.6%6.4%
HV 20d19.1%17.4%20.4%18.5%18.9%
HV 60d18.2%17.5%18.7%17.5%18.5%
IV Rank20.6%7.2%31.7%19.7%20.9%
IV Percentile33.8%4.0%57.1%29.4%34.9%
Term Structure0.1%-0.6%1.1%0.1%-0.3%
VWIV23.6%22.5%25.5%22.5%24.6%
Skew 25d2.9%2.5%3.5%3.1%2.8%
Skew 10d5.8%4.3%7.3%6.8%5.4%
Call IV 25d19.2%16.9%21.2%18.8%19.5%
Put IV 25d22.1%19.5%24.4%22.0%22.3%
Bid-Ask Spread %6.825.629.425.729.42
Gamma HHI0.120.090.180.100.11
Net GEX26.9M3.0M50.4M18.9M18.1M
Net DEX-271.2M-823.8M124.5M-115.7M-23.5M
Net VEX-6.9M-7.2M-6.6M-6.7M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.261.370.640.40
Total Volume25,001.57110,53949,16717,44610,539
Total OI264,361.81239,085284,123239,085267,873

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$164.74$170.0020.1%6.6%18.5%19.7%22.5%3.1%0.1%18.9M-115.7M-6.7M0.645.7210,6376,809112,219126,866
2014-03-04$168.73$170.0018.5%6.4%17.4%11.9%24.3%2.9%-0.0%38.3M-383.3M-6.7M0.346.0920,4326,961113,668128,906
2014-03-05$171.90$170.0018.0%6.5%18.0%9.3%25.5%2.8%-0.1%41.7M-611.8M-6.8M0.446.4133,61614,783116,012130,072
2014-03-06$172.60$170.0018.0%6.4%17.5%9.0%22.7%2.7%-0.1%50.3M-655.4M-6.9M0.415.9230,53712,535120,790133,413
2014-03-07$174.26$170.0017.6%6.5%17.6%7.2%22.9%2.6%0.0%40.0M-823.8M-7.0M0.485.9226,09712,495127,312136,700
2014-03-10$173.51$165.0018.9%6.5%17.8%13.5%23.0%2.9%0.3%43.4M-691.2M-7.0M0.845.629,8768,248125,584130,818
2014-03-11$169.89$170.0019.5%6.5%19.6%16.9%23.0%3.0%0.8%30.3M-427.0M-7.1M0.416.3315,6136,438127,978134,338
2014-03-12$169.72$170.0019.1%6.6%18.4%14.9%23.1%2.9%0.7%31.5M-408.4M-7.1M0.566.3613,2207,362130,636135,551
2014-03-13$166.70$170.0020.8%6.6%19.5%23.2%24.3%3.2%1.1%20.8M-193.2M-7.0M0.766.5513,1099,950132,610137,287
2014-03-14$165.35$165.0022.4%6.7%19.8%31.7%25.1%3.5%0.6%6.8M-91.9M-7.1M1.376.4910,92414,952134,226138,868
2014-03-17$166.84$165.0021.4%6.7%20.0%26.6%23.7%3.3%-0.5%24.8M-217.2M-7.0M0.558.298,5904,710128,664136,018
2014-03-18$168.09$165.0020.7%6.6%20.1%22.9%23.6%2.9%0.5%33.4M-319.0M-6.9M0.387.7811,3604,363130,084136,766
2014-03-19$168.18$165.0021.1%6.6%19.7%25.1%23.5%2.9%0.5%36.0M-336.4M-7.2M0.316.7616,7785,121134,653138,271
2014-03-20$169.22$170.0020.5%6.6%19.7%21.8%23.4%2.9%-0.0%50.4M-425.8M-7.1M0.266.4821,5675,510136,609138,275
2014-03-21$166.95$170.0020.5%6.6%20.4%21.8%22.9%2.9%-0.5%27.2M-249.8M-6.9M0.387.5116,8776,387144,307139,745
2014-03-24$165.72$170.0021.2%6.5%20.1%25.6%23.3%3.2%-0.4%20.8M-133.7M-6.9M0.436.8515,2616,495129,173124,130
2014-03-25$163.25$170.0021.8%6.5%19.7%28.6%24.7%2.5%-0.3%4.6M60.6M-6.6M0.555.9231,82417,343127,969126,859
2014-03-26$161.73$170.0022.1%6.6%19.9%30.0%23.2%2.6%-0.3%3.8M124.5M-7.0M0.637.4010,7826,825137,234137,195
2014-03-27$162.29$165.0021.6%6.6%19.1%27.7%24.1%2.5%-0.6%3.0M117.2M-7.0M0.518.3614,1677,210139,546140,250
2014-03-28$162.30$165.0021.0%6.6%18.9%24.5%22.9%2.5%-0.2%19.7M110.6M-7.0M0.627.0511,5947,136142,955141,168
2014-03-31$163.85$165.0020.3%6.4%18.9%20.9%24.6%2.8%-0.3%18.1M-23.5M-6.9M0.409.427,5153,024133,790134,083