GS Options History — August 2014

In August 2014, GS traded between $169.10 and $179.11. ATM implied volatility averaged 16.2%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.3% (HV 20d: 14.8%). Max pain ranged from $165.00 to $180.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2014-08-25: Highest Volume — 33,532 contracts
  • 2014-08-18: Largest IV drop — 11.7% change
  • 2014-08-05: Highest IV Rank — 29.7%
  • 2014-08-08: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$173.70$169.10$179.11$170.25$179.11
Max Pain$169.25$165.00$180.00$165.00$175.00
ATM IV16.2%13.8%19.4%19.2%14.2%
Expected Move5.6%5.0%6.3%5.7%5.0%
HV 20d14.8%11.8%16.4%16.4%11.8%
HV 60d13.8%13.3%14.5%14.2%13.6%
IV Rank12.0%0.0%29.7%28.5%2.7%
IV Percentile16.7%0.0%48.4%46.0%1.6%
Term Structure0.2%-1.0%1.3%-1.0%0.4%
VWIV20.0%17.3%22.6%20.4%18.3%
Skew 25d2.9%2.1%4.0%3.0%2.4%
Skew 10d5.9%4.0%8.6%5.1%5.7%
Call IV 25d15.2%13.1%18.0%18.0%13.6%
Put IV 25d18.1%15.8%21.4%21.0%16.0%
Bid-Ask Spread %18.888.5845.0313.4422.34
Gamma HHI0.120.080.200.080.20
Net GEX31.5M4.3M64.6M9.1M64.6M
Net DEX-464.7M-850.0M-165.4M-222.6M-850.0M
Net VEX-7.1M-7.8M-6.5M-7.7M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.241.060.820.36
Total Volume14,500.197,02233,53223,83220,147
Total OI267,237247,280281,706270,978281,706

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$170.25$165.0019.2%5.7%16.4%28.5%20.4%3.0%-1.0%9.1M-222.6M-7.7M0.8213.4413,07610,756122,509148,469
2014-08-04$171.69$165.0018.3%5.9%16.2%22.8%21.2%3.9%-0.5%19.1M-340.5M-7.6M0.9012.516,8106,096121,206146,001
2014-08-05$169.42$165.0019.4%6.1%15.6%29.7%21.4%3.6%-0.6%10.6M-203.2M-7.5M0.8713.976,9196,022123,681147,585
2014-08-06$169.74$165.0019.0%6.1%15.6%27.2%21.3%4.0%-0.8%8.6M-202.2M-7.7M0.7213.797,1305,135122,820149,553
2014-08-07$169.10$165.0018.8%6.1%15.3%26.2%22.3%2.9%-0.1%4.3M-165.4M-7.8M1.0611.004,6134,900124,976150,380
2014-08-08$172.26$165.0018.0%6.3%16.3%21.4%22.6%3.6%-0.2%27.9M-398.3M-7.7M0.8913.785,8805,216124,027151,306
2014-08-11$172.46$165.0017.7%6.1%15.8%19.7%21.3%2.9%0.7%25.4M-405.8M-7.6M0.8911.385,3764,763120,166147,196
2014-08-12$172.33$165.0017.0%6.0%15.2%15.0%21.3%3.5%0.8%27.1M-403.7M-7.5M0.6711.244,3812,933121,586148,429
2014-08-13$172.37$165.0015.8%6.0%15.0%8.1%20.8%2.9%1.1%26.0M-403.2M-7.4M0.658.584,2462,776122,358149,209
2014-08-14$172.73$165.0015.5%5.8%15.0%6.3%20.7%3.2%-0.8%25.4M-405.4M-7.0M0.8610.214,9564,251116,878144,912
2014-08-15$171.90$165.0016.0%5.8%14.9%9.1%22.5%2.9%0.5%15.6M-359.1M-7.0M0.6014.9315,1079,133117,759146,689
2014-08-18$174.55$0.0014.1%5.5%15.8%0.0%19.5%2.6%1.3%30.5M-492.6M-6.5M1.0345.035,8906,081107,606139,674
2014-08-19$173.96$170.0013.8%5.2%14.3%0.0%18.5%2.7%0.8%29.1M-461.0M-6.5M0.9628.325,0064,808109,363141,682
2014-08-20$174.03$175.0014.3%5.1%13.8%2.9%18.8%2.6%0.7%26.1M-431.7M-6.9M0.4119.486,9792,845111,361144,094
2014-08-21$175.15$180.0014.0%5.2%14.0%1.6%18.8%2.6%1.1%41.6M-554.4M-6.6M0.4033.3611,0804,477113,919145,158
2014-08-22$175.47$175.0014.1%5.2%13.9%2.0%17.3%2.7%0.6%44.6M-558.5M-7.0M0.5019.1715,3117,731116,048146,545
2014-08-25$177.87$175.0014.8%5.1%14.7%6.1%18.0%2.1%0.3%46.6M-680.5M-6.8M0.2431.9627,1236,409114,533145,803
2014-08-26$177.90$170.0015.1%5.1%14.6%7.5%18.0%2.4%0.2%61.4M-753.8M-6.6M0.3826.6114,4915,488123,340147,442
2014-08-27$177.81$175.0015.2%5.1%14.6%8.3%19.3%2.6%0.2%61.1M-742.3M-6.9M0.4416.545,9532,648126,240150,904
2014-08-28$177.65$175.0014.9%5.1%13.2%6.4%17.6%2.4%-0.0%56.9M-724.6M-6.9M0.9218.866,0295,533127,127151,737
2014-08-29$179.11$175.0014.2%5.0%11.8%2.7%18.3%2.4%0.4%64.6M-850.0M-6.8M0.3622.3414,8565,291128,587153,119