GS Options History — July 2014 In July 2014, GS traded between $163.42 and $176.82. ATM implied volatility averaged 16.4%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.6% (HV 20d: 13.8%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2014-07-15 : Highest Volume — 36,962 contracts2014-07-15 : Largest IV drop — 16.2% change2014-07-10 : Highest IV Rank — 30.1%2014-07-31 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $170.56 $163.42 $176.82 $166.81 $172.87 Max Pain $161.14 $160.00 $165.00 $160.00 $165.00 ATM IV 16.4% 14.4% 19.9% 16.5% 17.6% Expected Move 5.4% 5.2% 5.9% 5.5% 5.9% HV 20d 13.8% 11.0% 16.1% 11.7% 16.1% HV 60d 14.5% 13.5% 16.2% 16.2% 13.8% IV Rank 10.6% 0.0% 30.1% 9.8% 19.1% IV Percentile 14.6% 0.0% 51.2% 12.3% 28.2% Term Structure -0.3% -1.2% 0.6% -0.2% -0.4% VWIV 19.0% 17.7% 21.1% 18.7% 21.1% Skew 25d 2.2% 1.4% 3.5% 2.3% 2.6% Skew 10d 4.8% 3.9% 6.1% 4.1% 6.0% Call IV 25d 15.5% 13.4% 19.3% 15.6% 16.6% Put IV 25d 17.7% 15.4% 20.7% 17.9% 19.2% Bid-Ask Spread % 19.29 12.66 24.79 20.53 17.06 Gamma HHI 0.16 0.09 0.38 0.13 0.09 Net GEX 42.0M 11.2M 95.0M 18.5M 24.4M Net DEX -487.3M -826.3M -37.1M -234.3M -441.6M Net VEX -7.1M -7.6M -6.7M -7.0M -7.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.33 1.36 0.64 1.36 Total Volume 20,214.091 7,671 36,962 17,775 14,655 Total OI 278,581.682 243,421 311,221 267,042 269,117
Daily Data (22 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 2014-07-01 $166.81 $160.00 16.5% 5.5% 11.7% 9.8% 18.7% 2.3% -0.2% 18.5M -234.3M -7.0M 0.64 20.53 10,826 6,949 121,091 145,951 2014-07-02 $166.89 $160.00 16.6% 5.5% 11.7% 10.0% 19.2% 2.4% -0.4% 24.4M -262.3M -7.0M 0.50 24.79 12,033 6,017 125,198 148,209 2014-07-03 $169.46 $160.00 16.1% 5.4% 12.7% 7.3% 18.9% 1.7% -0.1% 45.1M -470.6M -7.1M 0.33 17.81 13,560 4,496 129,303 151,081 2014-07-07 $167.78 $160.00 17.5% 5.4% 11.0% 16.1% 18.4% 1.9% -1.1% 28.9M -333.2M -6.9M 0.39 20.80 10,483 4,097 127,725 148,922 2014-07-08 $164.91 $160.00 18.9% 5.6% 12.7% 24.3% 19.5% 1.8% -0.9% 13.8M -129.6M -6.9M 0.58 16.08 19,033 10,991 131,266 150,078 2014-07-09 $164.67 $160.00 18.6% 5.5% 12.6% 22.4% 18.9% 2.1% -0.7% 17.9M -118.8M -7.0M 0.58 23.23 10,978 6,409 135,386 151,558 2014-07-10 $163.42 $160.00 19.9% 5.5% 12.8% 30.1% 19.0% 1.4% -1.2% 11.2M -37.1M -7.2M 0.67 20.60 11,417 7,639 139,944 154,407 2014-07-11 $164.80 $160.00 19.1% 5.5% 13.1% 25.2% 20.5% 1.8% -0.6% 34.7M -169.0M -7.3M 0.86 17.16 8,102 7,006 145,384 156,403 2014-07-14 $167.00 $160.00 18.2% 5.5% 14.0% 19.8% 19.8% 1.7% -0.5% 44.1M -381.1M -7.0M 0.75 21.23 20,800 15,528 141,753 153,850 2014-07-15 $169.17 $160.00 15.2% 5.3% 14.6% 1.9% 18.6% 1.5% -0.0% 80.0M -558.9M -7.0M 0.46 17.80 25,374 11,588 145,547 161,305 2014-07-16 $170.47 $160.00 14.4% 5.2% 14.0% 0.0% 17.9% 1.8% 0.1% 95.0M -697.3M -7.1M 0.33 23.00 25,135 8,360 147,015 164,206 2014-07-17 $170.14 $160.00 15.5% 5.4% 13.6% 6.4% 18.9% 1.8% -0.2% 83.9M -617.0M -7.1M 0.48 19.88 20,602 9,789 147,531 162,472 2014-07-18 $171.47 $160.00 14.4% 5.2% 13.9% 0.2% 18.4% 2.1% 0.0% 55.3M -759.8M -7.0M 0.34 22.05 13,412 4,581 145,854 164,779 2014-07-21 $171.72 $160.00 14.6% 5.4% 13.9% 1.4% 18.9% 2.2% 0.6% 41.0M -487.8M -6.8M 1.03 20.27 5,916 6,109 112,442 130,979 2014-07-22 $175.02 $160.00 14.5% 5.3% 15.4% 0.4% 17.7% 2.3% 0.6% 47.7M -703.5M -6.9M 0.41 23.61 20,549 8,480 114,871 134,839 2014-07-23 $176.82 $160.00 14.7% 5.3% 14.8% 1.9% 18.6% 2.8% -0.2% 50.5M -826.3M -6.7M 0.58 18.54 14,419 8,320 118,071 138,684 2014-07-24 $176.26 $160.00 15.1% 5.3% 15.0% 3.8% 18.7% 2.2% 0.5% 47.7M -772.9M -7.1M 0.90 23.17 7,666 6,888 121,464 141,975 2014-07-25 $175.40 $165.00 15.0% 5.4% 15.1% 3.5% 17.8% 2.3% 0.6% 38.4M -711.7M -7.3M 0.56 12.66 10,193 5,658 122,909 144,523 2014-07-28 $175.95 $165.00 15.9% 5.6% 14.7% 8.7% 18.3% 3.5% -0.8% 41.9M -683.4M -7.0M 0.72 14.45 4,461 3,210 118,023 140,204 2014-07-29 $175.54 $165.00 15.9% 5.6% 14.8% 8.9% 20.6% 2.5% -0.4% 39.7M -647.5M -7.3M 1.13 12.79 4,955 5,610 119,421 141,294 2014-07-30 $175.76 $165.00 16.4% 5.6% 14.6% 11.6% 19.1% 3.1% -0.7% 39.4M -677.4M -7.0M 0.74 16.87 7,116 5,300 119,961 143,802 2014-07-31 $172.87 $165.00 17.6% 5.9% 16.1% 19.1% 21.1% 2.6% -0.4% 24.4M -441.6M -7.6M 1.36 17.06 6,220 8,435 122,384 146,733
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