GS Options History — June 2014

In June 2014, GS traded between $160.03 and $170.24. ATM implied volatility averaged 16.0%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.9% (HV 20d: 13.1%). Max pain ranged from $160.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2014-06-06: Highest Volume — 28,085 contracts
  • 2014-06-16: Largest IV spike — 5.4% change
  • 2014-06-26: Highest IV Rank — 11.1%
  • 2014-06-02: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.44$160.03$170.24$160.03$167.44
Max Pain$160.00$160.00$160.00$160.00$160.00
ATM IV16.0%14.9%16.7%16.2%16.6%
Expected Move5.6%5.4%6.0%6.0%5.5%
HV 20d13.1%11.1%15.6%15.6%12.0%
HV 60d17.1%16.6%17.7%17.5%16.6%
IV Rank6.2%0.1%11.1%6.3%10.4%
IV Percentile6.7%0.4%13.5%4.4%12.3%
Term Structure0.3%-0.5%1.8%-0.1%-0.2%
VWIV20.3%18.9%21.9%21.9%19.5%
Skew 25d2.3%1.5%2.9%1.9%2.3%
Skew 10d4.9%3.6%6.5%4.2%5.0%
Call IV 25d15.0%13.9%15.9%15.3%15.6%
Put IV 25d17.3%16.0%18.8%17.2%17.9%
Bid-Ask Spread %16.8811.0026.1011.0018.76
Gamma HHI0.140.090.410.090.13
Net GEX27.6M5.3M86.4M5.3M17.3M
Net DEX-325.6M-584.1M17.7M17.7M-266.5M
Net VEX-7.1M-7.3M-6.7M-7.1M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.301.750.600.44
Total Volume13,698.3817,84528,08514,0339,444
Total OI270,779.571252,671281,840264,197257,276

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$160.03$160.0016.2%6.0%15.6%6.3%21.9%1.9%-0.1%5.3M17.7M-7.1M0.6011.008,7825,251116,917147,280
2014-06-03$161.80$160.0015.7%6.0%14.7%3.7%21.0%1.8%-0.0%17.8M-108.8M-7.1M0.5411.458,4904,547119,440148,991
2014-06-04$162.39$160.0015.5%5.8%13.9%2.6%21.2%1.9%-0.2%24.2M-172.3M-7.1M1.0016.906,6446,658121,184149,868
2014-06-05$162.58$160.0015.7%5.7%13.8%3.7%20.2%1.5%-0.3%27.0M-166.9M-7.3M0.6315.959,9536,245121,820152,988
2014-06-06$166.19$160.0014.9%5.7%15.1%0.1%20.4%2.0%-0.1%27.7M-423.5M-7.3M0.4215.2619,7498,336122,345154,953
2014-06-09$166.00$160.0015.5%5.7%15.1%3.5%19.4%1.9%1.1%27.9M-345.9M-7.2M0.6714.627,4925,021119,195152,217
2014-06-10$166.36$160.0015.0%5.7%14.4%0.4%20.8%2.2%1.8%30.1M-373.6M-7.2M0.6716.486,1084,063120,708154,335
2014-06-11$165.43$160.0015.2%5.7%14.6%2.0%20.6%2.6%1.0%25.4M-286.0M-7.3M1.5215.893,7665,741122,003155,199
2014-06-12$165.96$160.0015.7%5.7%14.4%4.9%20.0%2.3%1.6%28.9M-331.7M-7.2M0.8216.855,7434,702122,495157,419
2014-06-13$165.89$160.0015.8%5.6%12.4%5.2%21.7%2.1%1.2%22.0M-322.8M-7.2M0.7821.025,7084,449122,864158,976
2014-06-16$165.85$160.0016.6%5.7%12.4%10.4%21.2%2.7%-0.0%22.3M-283.7M-7.1M0.7315.674,7533,464119,495154,940
2014-06-17$168.22$160.0016.2%5.6%12.9%8.0%20.2%2.9%0.4%34.5M-462.5M-7.1M0.5115.0111,1345,670120,025155,823
2014-06-18$169.86$160.0016.3%5.5%12.3%8.7%20.0%2.9%0.6%40.9M-555.9M-7.1M0.5326.1014,4027,646121,798157,248
2014-06-19$169.73$160.0016.1%5.6%11.1%7.4%19.5%2.6%0.5%40.8M-563.0M-7.0M0.3018.1511,2343,338121,593156,810
2014-06-20$169.84$160.0015.8%5.6%11.2%5.4%19.8%2.6%0.2%86.4M-584.1M-7.0M0.9017.7010,4349,414123,426157,784
2014-06-23$170.24$160.0016.0%5.5%11.2%6.8%19.3%2.6%-0.5%28.6M-452.5M-7.0M0.7417.394,5323,335113,576139,095
2014-06-24$168.23$160.0016.6%5.4%12.0%10.5%19.6%2.3%0.0%21.4M-329.6M-7.0M0.9519.247,7437,387115,061140,736
2014-06-25$168.38$160.0016.7%5.5%11.8%10.8%18.9%2.5%-0.5%19.6M-332.0M-6.9M1.7515.444,5888,044115,982143,429
2014-06-26$168.01$160.0016.7%5.4%11.8%11.1%20.3%2.1%-0.2%15.8M-279.1M-7.0M0.7116.574,5823,263117,930146,938
2014-06-27$166.78$160.0016.3%5.5%12.0%8.6%20.2%2.5%-0.1%15.0M-216.0M-6.8M1.2318.977,0998,712119,420146,789
2014-06-30$167.44$160.0016.6%5.5%12.0%10.4%19.5%2.3%-0.2%17.3M-266.5M-6.7M0.4418.766,5762,868115,078142,198