GS Options History — September 2014

In September 2014, GS traded between $177.40 and $187.89. ATM implied volatility averaged 17.0%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.2% (HV 20d: 11.7%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2014-09-18: Highest Volume — 31,255 contracts
  • 2014-09-25: Largest IV spike — 10.9% change
  • 2014-09-30: Highest IV Rank — 38.5%
  • 2014-09-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$182.98$177.40$187.89$179.77$183.57
Max Pain$174.52$170.00$180.00$170.00$180.00
ATM IV17.0%14.8%20.5%15.3%20.5%
Expected Move5.1%4.9%5.2%5.0%5.2%
HV 20d11.7%8.2%15.0%11.6%15.0%
HV 60d13.5%12.9%14.5%13.0%14.2%
IV Rank18.2%6.1%38.5%8.6%38.5%
IV Percentile31.0%4.8%79.0%9.1%79.0%
Term Structure0.2%-1.1%1.9%-0.0%-1.0%
VWIV18.0%16.4%21.0%18.9%18.6%
Skew 25d3.3%2.4%4.2%2.6%3.9%
Skew 10d6.9%4.8%10.4%5.3%7.7%
Call IV 25d15.8%13.9%18.6%14.2%18.6%
Put IV 25d19.1%16.3%22.4%16.8%22.4%
Bid-Ask Spread %24.2317.1836.5522.0319.29
Gamma HHI0.140.090.220.200.10
Net GEX51.3M24.2M70.1M66.2M27.7M
Net DEX-961.7M-1.34B-640.9M-877.9M-817.9M
Net VEX-6.7M-7.4M-6.2M-6.7M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.322.480.320.78
Total Volume14,536.197,40331,25511,5227,403
Total OI282,435.048271,642300,157273,047294,089

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$179.77$170.0015.3%5.0%11.6%8.6%18.9%2.6%-0.0%66.2M-877.9M-6.7M0.3222.038,7242,798124,393148,654
2014-09-03$179.60$170.0015.3%5.0%10.2%8.8%18.1%2.6%0.1%70.1M-866.8M-6.7M0.4122.3612,2095,015127,380149,897
2014-09-04$180.08$170.0015.1%5.0%10.1%7.4%16.4%2.7%-0.1%64.1M-865.8M-6.6M0.6323.096,5704,165125,694151,567
2014-09-05$179.75$170.0014.8%5.0%10.0%6.1%17.0%2.4%-0.3%69.4M-798.6M-6.7M0.6219.145,5283,409125,135152,879
2014-09-08$180.11$170.0015.5%5.0%8.2%10.1%17.2%2.7%1.4%52.2M-831.2M-6.6M0.4723.395,3702,513121,404150,238
2014-09-09$177.40$170.0016.2%5.2%10.2%14.0%17.8%3.0%1.9%40.3M-640.9M-6.6M0.7824.389,0577,037122,492151,012
2014-09-10$179.87$170.0016.0%5.1%11.1%12.8%18.7%3.4%1.2%52.9M-812.4M-6.8M0.7224.765,2303,783124,955154,207
2014-09-11$181.00$170.0016.4%5.1%11.2%15.1%17.7%3.4%1.3%57.1M-895.4M-6.6M0.8822.166,3955,655124,151155,057
2014-09-12$183.17$170.0016.5%5.0%11.7%15.5%17.4%2.8%0.5%57.9M-1.06B-6.6M0.7117.1812,8299,158125,326156,936
2014-09-15$183.98$170.0017.2%5.2%11.3%19.5%17.4%3.4%0.2%57.8M-1.09B-6.5M0.5122.1811,8776,019124,647155,759
2014-09-16$184.04$175.0016.9%5.1%10.4%18.1%18.9%4.0%0.5%59.5M-1.08B-6.7M1.1422.665,6446,417127,918157,573
2014-09-17$184.82$175.0017.6%5.1%10.2%21.8%18.2%3.6%0.4%63.3M-1.17B-6.5M0.7022.7610,2297,181128,975159,127
2014-09-18$187.89$175.0016.0%4.9%11.2%12.7%18.0%3.5%1.1%61.1M-1.34B-6.2M0.4730.8821,2629,993128,370161,125
2014-09-19$186.20$180.0017.0%5.0%12.0%18.2%19.1%3.4%0.3%52.4M-1.24B-6.5M0.6427.1112,3477,921134,410165,747
2014-09-22$185.29$180.0016.9%4.9%12.4%17.9%16.5%3.3%0.2%44.1M-1.01B-6.5M0.6827.395,6623,863124,214151,396
2014-09-23$185.09$180.0017.6%5.0%11.7%21.7%21.0%3.5%-0.1%41.2M-984.4M-6.6M1.0524.304,5654,807124,372153,150
2014-09-24$187.81$180.0017.2%4.9%12.5%19.6%17.5%3.8%-0.6%48.6M-1.16B-6.5M1.4830.505,3567,944125,661155,216
2014-09-25$184.09$180.0019.1%5.2%14.9%30.3%19.0%3.6%-0.6%33.8M-895.7M-6.9M1.1636.559,50711,067127,066157,195
2014-09-26$185.12$180.0019.5%5.1%14.9%32.9%17.0%4.2%-1.1%32.8M-958.8M-6.8M2.4823.926,28115,591129,809160,845
2014-09-29$183.83$180.0019.5%5.2%15.0%32.7%17.8%3.6%-0.3%24.2M-784.3M-7.4M1.8322.843,1375,742127,768165,327
2014-09-30$183.57$180.0020.5%5.2%15.0%38.5%18.6%3.9%-1.0%27.7M-817.9M-7.0M0.7819.294,1593,244128,332165,757