GS Options History — May 2014

In May 2014, GS traded between $154.54 and $161.77. ATM implied volatility averaged 16.3%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.3% (HV 20d: 17.6%). Max pain ranged from $160.00 to $160.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2014-05-27: Highest Volume — 23,939 contracts
  • 2014-05-21: Largest IV drop — 8.0% change
  • 2014-05-07: Highest IV Rank — 9.0%
  • 2014-05-08: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.55$154.54$161.77$160.37$159.81
Max Pain$160.00$160.00$160.00$160.00$160.00
ATM IV16.3%14.9%18.0%16.7%15.6%
Expected Move6.1%5.9%6.5%6.3%5.9%
HV 20d17.6%15.8%21.0%20.9%15.9%
HV 60d18.7%17.6%19.1%18.5%17.6%
IV Rank2.9%0.0%9.0%2.7%3.2%
IV Percentile2.2%0.0%9.9%0.8%2.4%
Term Structure0.1%-0.3%0.9%-0.2%0.0%
VWIV21.6%20.3%23.5%23.3%20.3%
Skew 25d2.3%1.9%2.6%2.4%2.0%
Skew 10d4.7%4.1%5.6%4.9%4.4%
Call IV 25d15.5%14.1%17.0%15.8%14.9%
Put IV 25d17.8%16.3%19.5%18.2%16.8%
Bid-Ask Spread %11.048.5319.828.5311.43
Gamma HHI0.110.080.220.100.22
Net GEX4.3M-23.6M40.1M15.4M40.1M
Net DEX105.5M-88.5M371.8M-53.1M66.0M
Net VEX-7.1M-7.4M-6.9M-7.4M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.551.671.310.56
Total Volume16,249.7629,58223,93912,72416,824
Total OI269,380.81251,279285,064265,312271,843

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$160.37$160.0016.7%6.3%20.9%2.7%23.3%2.4%-0.2%15.4M-53.1M-7.4M1.318.535,5027,222122,230143,082
2014-05-02$158.88$160.0016.5%6.2%21.0%1.4%21.7%2.4%-0.3%3.5M65.1M-7.2M1.638.997,06011,512122,835145,404
2014-05-05$156.35$160.0017.2%6.4%20.9%5.1%21.8%2.3%-0.0%-11.8M262.1M-7.0M1.249.239,96212,339116,866142,879
2014-05-06$154.54$160.0017.8%6.3%18.7%7.9%21.6%2.5%0.0%-21.7M371.8M-7.0M1.099.099,68410,573118,622147,157
2014-05-07$155.52$160.0018.0%6.4%18.4%9.0%21.4%2.3%-0.2%-17.7M299.4M-7.0M1.319.438,50511,141121,460151,399
2014-05-08$157.40$160.0017.4%6.5%18.6%6.3%21.4%2.4%-0.1%-4.4M167.3M-7.2M0.7819.829,4077,353122,825154,930
2014-05-09$157.20$160.0016.9%6.3%17.9%3.5%21.3%2.6%0.2%-2.9M193.5M-7.2M1.2510.027,5039,403123,161157,287
2014-05-12$159.55$160.0016.3%6.2%16.6%0.5%21.5%2.4%0.2%8.3M2.4M-7.2M0.6210.409,7146,055121,047153,216
2014-05-13$160.28$160.0016.1%6.1%16.2%0.0%21.3%2.4%0.1%12.7M-43.0M-7.1M0.7810.616,4165,022122,862154,950
2014-05-14$159.45$160.0016.0%6.0%16.3%0.0%23.5%2.4%0.3%11.1M19.3M-7.1M1.539.125,4278,305124,422155,639
2014-05-15$156.64$160.0016.9%6.1%16.9%4.8%21.1%2.4%0.4%-22.3M266.4M-6.9M1.2610.969,99012,553123,245157,034
2014-05-16$156.43$160.0016.4%6.1%16.9%2.0%23.2%2.2%0.5%-23.6M269.4M-7.0M0.8511.0911,4419,703125,233159,831
2014-05-19$157.67$160.0015.5%6.0%17.1%0.0%20.8%2.5%0.9%-3.6M164.6M-7.0M0.9612.175,7925,545110,962140,317
2014-05-20$156.35$160.0016.7%6.1%16.2%5.7%21.0%2.4%-0.2%-8.9M244.9M-6.9M0.9410.486,9786,556112,755142,879
2014-05-21$159.35$160.0015.4%6.0%17.7%0.0%22.6%2.4%0.7%8.3M48.0M-7.1M0.6313.4912,7248,028115,142145,607
2014-05-22$159.85$160.0015.3%6.0%17.7%0.0%21.7%2.3%0.5%16.4M17.1M-7.1M1.6710.804,1666,973117,353147,651
2014-05-23$160.16$160.0014.9%5.9%16.7%0.0%21.7%2.2%0.3%36.7M2.9M-7.0M0.5513.036,1673,415117,764150,440
2014-05-27$161.77$160.0015.3%5.9%16.4%1.9%21.1%2.2%-0.1%18.0M-88.5M-7.0M0.5510.7415,4178,522115,159146,349
2014-05-28$161.19$160.0015.7%5.9%16.1%3.7%20.9%2.1%-0.1%17.3M-35.2M-7.1M0.6211.847,6064,679116,367149,690
2014-05-29$160.74$160.0015.5%5.9%15.8%2.6%21.1%1.9%0.1%18.6M-24.9M-7.1M0.7910.505,6304,431118,494150,609
2014-05-30$159.81$160.0015.6%5.9%15.9%3.2%20.3%2.0%0.0%40.1M66.0M-7.1M0.5611.4310,7776,047119,771152,072