GS Options History — April 2014

In April 2014, GS traded between $152.72 and $167.27. ATM implied volatility averaged 20.3%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.9% (HV 20d: 19.4%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2014-04-16: Highest Volume — 39,823 contracts
2014-04-07: Largest IV spike — 14.0% change
2014-04-11: Highest IV Rank — 42.1%
2014-04-11: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$159.11	$152.72	$167.27	$165.92	$159.82
Max Pain	$162.38	$160.00	$165.00	$165.00	$160.00
ATM IV	20.3%	17.3%	24.5%	19.8%	17.5%
Expected Move	6.5%	6.3%	6.8%	6.4%	6.3%
HV 20d	19.4%	16.2%	21.4%	17.4%	21.2%
HV 60d	19.5%	18.6%	20.1%	18.6%	18.7%
IV Rank	20.8%	5.7%	42.1%	18.5%	6.4%
IV Percentile	34.0%	2.4%	75.8%	28.2%	4.0%
Term Structure	-0.4%	-1.7%	0.1%	0.1%	-0.2%
VWIV	22.7%	21.2%	24.0%	22.5%	23.1%
Skew 25d	2.6%	2.1%	3.7%	2.4%	2.4%
Skew 10d	4.8%	3.6%	7.4%	4.7%	4.2%
Call IV 25d	19.2%	16.2%	23.3%	18.7%	16.2%
Put IV 25d	21.8%	18.5%	26.9%	21.2%	18.6%
Bid-Ask Spread %	9.50	6.90	15.07	8.20	9.28
Gamma HHI	0.11	0.08	0.30	0.12	0.09
Net GEX	6.6M	-29.0M	49.6M	33.6M	11.4M
Net DEX	150.6M	-313.2M	644.5M	-193.4M	-15.0M
Net VEX	-7.0M	-7.5M	-6.4M	-7.0M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.31	1.47	0.37	0.60
Total Volume	22,752.667	10,961	39,823	20,605	15,544
Total OI	277,323	241,013	318,828	275,473	263,117

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-04-01	$165.92	$165.00	19.8%	6.4%	17.4%	18.5%	22.5%	2.4%	0.1%	33.6M	-193.4M	-7.0M	0.37	8.20	15,006	5,599	137,451	138,022
2014-04-02	$167.27	$165.00	19.1%	6.5%	16.2%	14.7%	23.7%	2.4%	-0.0%	46.2M	-313.2M	-7.0M	0.75	6.90	8,446	6,367	139,377	138,875
2014-04-03	$166.09	$165.00	19.6%	6.5%	16.2%	17.2%	23.4%	2.7%	-0.1%	36.9M	-214.6M	-6.9M	0.46	7.49	8,171	3,728	139,783	140,601
2014-04-04	$163.24	$165.00	20.1%	6.4%	16.4%	19.9%	22.3%	2.2%	-0.4%	11.1M	41.4M	-6.7M	0.92	7.33	9,041	8,281	139,393	140,838
2014-04-07	$158.56	$165.00	22.9%	6.6%	18.8%	34.3%	23.1%	2.7%	-1.5%	-9.0M	299.9M	-6.4M	0.81	8.51	20,763	16,800	134,240	137,991
2014-04-08	$156.56	$165.00	22.9%	6.6%	18.1%	33.9%	22.7%	2.5%	-0.3%	-15.3M	415.8M	-6.6M	0.51	8.97	22,372	11,483	139,716	144,116
2014-04-09	$158.16	$165.00	22.4%	6.5%	18.7%	31.5%	23.1%	2.6%	-1.2%	-4.8M	291.1M	-6.7M	0.45	9.74	17,186	7,718	144,732	146,893
2014-04-10	$155.98	$165.00	23.4%	6.7%	18.4%	36.4%	23.3%	2.8%	-1.1%	-10.3M	427.0M	-6.7M	1.19	8.54	12,498	14,910	149,388	149,735
2014-04-11	$152.72	$165.00	24.5%	6.8%	19.4%	42.1%	23.2%	3.7%	-1.7%	-29.0M	644.5M	-6.6M	1.47	10.94	15,752	23,156	150,011	153,993
2014-04-14	$154.74	$165.00	23.1%	6.7%	19.8%	35.0%	24.0%	3.1%	-0.2%	-20.1M	488.9M	-6.8M	0.76	15.04	10,032	7,588	141,361	154,566
2014-04-15	$154.92	$160.00	23.5%	6.7%	19.5%	37.4%	23.3%	2.8%	-0.8%	-19.6M	468.7M	-6.8M	0.43	15.07	11,928	5,096	143,887	157,193
2014-04-16	$157.22	$160.00	22.0%	6.6%	20.5%	29.6%	21.2%	2.2%	-0.4%	-6.2M	294.2M	-6.8M	0.39	13.31	28,658	11,165	145,708	155,624
2014-04-17	$157.44	$160.00	19.1%	6.6%	20.3%	14.5%	21.9%	2.5%	-0.2%	49.6M	220.9M	-7.2M	0.72	10.30	19,560	14,048	160,290	158,538
2014-04-21	$157.80	$160.00	18.8%	6.4%	20.1%	13.2%	21.6%	2.4%	-0.2%	2.5M	128.2M	-7.2M	0.53	9.45	9,834	5,182	111,252	129,761
2014-04-22	$160.46	$160.00	17.4%	6.3%	21.1%	6.2%	22.7%	2.1%	-0.0%	18.8M	-58.0M	-7.4M	0.31	7.31	18,396	5,769	115,826	132,493
2014-04-23	$160.45	$160.00	17.3%	6.3%	20.5%	5.7%	22.3%	2.4%	-0.1%	20.6M	-69.2M	-7.4M	0.92	8.24	5,701	5,260	119,690	134,078
2014-04-24	$160.85	$160.00	17.4%	6.4%	20.3%	6.2%	21.5%	2.2%	-0.1%	24.3M	-95.3M	-7.5M	0.98	7.82	9,410	9,259	121,071	134,922
2014-04-25	$158.24	$160.00	18.4%	6.4%	21.0%	10.9%	22.8%	2.4%	0.1%	1.8M	94.2M	-7.3M	0.84	7.49	11,078	9,255	122,561	140,169
2014-04-28	$156.54	$160.00	19.0%	6.5%	21.3%	14.0%	22.2%	2.6%	-0.5%	-7.0M	213.4M	-7.2M	0.81	10.32	13,675	11,013	116,494	137,659
2014-04-29	$158.24	$160.00	18.2%	6.3%	21.4%	10.2%	21.9%	2.6%	-0.5%	2.8M	92.3M	-7.4M	0.80	9.29	7,247	5,831	121,124	141,244
2014-04-30	$159.82	$160.00	17.5%	6.3%	21.2%	6.4%	23.1%	2.4%	-0.2%	11.4M	-15.0M	-7.3M	0.60	9.28	9,693	5,851	120,912	142,205