GS Options History — October 2014

In October 2014, GS traded between $172.58 and $189.85. ATM implied volatility averaged 21.7%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.1% (HV 20d: 23.8%). Max pain ranged from $180.00 to $180.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.79.

Notable Days

2014-10-15: Highest Volume — 43,830 contracts
2014-10-09: Largest IV spike — 15.8% change
2014-10-13: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$182.15	$172.58	$189.85	$180.70	$189.85
Max Pain	$180.00	$180.00	$180.00	$180.00	$180.00
ATM IV	21.7%	17.1%	29.3%	21.6%	17.1%
Expected Move	5.9%	5.1%	6.8%	5.5%	5.4%
HV 20d	23.8%	16.2%	27.7%	16.2%	25.4%
HV 60d	17.5%	14.1%	19.3%	14.1%	19.0%
IV Rank	51.8%	21.7%	100.0%	44.4%	21.7%
IV Percentile	76.6%	33.3%	100.0%	85.7%	33.3%
Term Structure	-0.3%	-1.3%	1.0%	-1.0%	-0.3%
VWIV	21.8%	18.5%	26.5%	19.6%	19.7%
Skew 25d	4.2%	2.7%	11.1%	3.6%	3.0%
Skew 10d	9.0%	5.5%	25.2%	6.6%	7.4%
Call IV 25d	20.4%	16.2%	27.2%	19.7%	16.2%
Put IV 25d	24.6%	19.3%	37.4%	23.3%	19.3%
Bid-Ask Spread %	26.87	16.98	57.83	21.36	20.60
Gamma HHI	0.13	0.08	0.23	0.10	0.23
Net GEX	41.6M	8.3M	107.3M	18.6M	107.3M
Net DEX	-741.5M	-1.37B	-42.7M	-602.3M	-1.37B
Net VEX	-7.1M	-7.6M	-6.5M	-7.1M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.36	1.47	0.84	0.55
Total Volume	21,432.435	8,436	43,830	10,837	26,859
Total OI	303,264.261	276,924	335,870	295,086	303,550

Daily Data (23 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
2014-10-01	$180.70	$180.00	21.6%	5.5%	16.2%	44.4%	19.6%	3.6%	-1.0%	18.6M	-602.3M	-7.1M	0.84	21.36	5,901	4,936	128,972	166,114
2014-10-02	$182.88	$180.00	20.9%	5.3%	16.7%	40.8%	20.8%	4.9%	-1.1%	27.5M	-774.9M	-7.0M	1.21	19.22	4,318	5,241	129,095	166,057
2014-10-03	$188.07	$180.00	19.6%	5.1%	19.2%	33.4%	19.0%	3.4%	-0.5%	47.3M	-1.18B	-6.6M	0.37	24.17	16,119	6,021	129,871	167,565
2014-10-06	$187.48	$180.00	19.7%	5.3%	19.3%	33.5%	18.5%	2.8%	-0.8%	48.3M	-1.11B	-6.6M	1.47	20.18	3,415	5,021	130,825	164,688
2014-10-07	$183.80	$180.00	21.1%	5.6%	19.9%	41.9%	19.5%	3.2%	0.0%	32.6M	-817.6M	-6.9M	0.67	30.21	9,508	6,357	131,617	166,542
2014-10-08	$187.00	$180.00	20.3%	5.5%	20.3%	37.5%	20.4%	4.0%	-0.2%	49.0M	-1.07B	-6.9M	0.85	20.73	8,399	7,133	136,857	168,945
2014-10-09	$181.56	$180.00	23.5%	6.0%	23.0%	55.8%	21.1%	4.3%	-1.3%	27.4M	-649.4M	-7.2M	0.44	24.00	23,211	10,208	138,789	170,370
2014-10-10	$182.15	$180.00	24.0%	6.2%	22.6%	74.9%	22.5%	3.8%	-0.3%	38.2M	-746.1M	-7.5M	1.00	30.57	8,075	8,069	150,624	171,678
2014-10-13	$178.77	$180.00	26.3%	6.4%	23.5%	100.0%	22.6%	2.9%	0.3%	27.5M	-496.3M	-7.6M	1.01	44.90	8,029	8,123	147,546	169,820
2014-10-14	$179.62	$180.00	25.9%	6.2%	23.6%	96.8%	23.5%	5.2%	-1.0%	33.5M	-574.6M	-7.3M	0.86	30.84	10,130	8,681	149,202	170,723
2014-10-15	$177.39	$180.00	29.3%	6.8%	23.8%	100.0%	26.5%	5.8%	-0.4%	28.5M	-382.7M	-7.5M	1.47	41.62	17,765	26,065	154,617	170,390
2014-10-16	$172.58	$180.00	28.3%	6.7%	24.4%	93.4%	24.8%	11.1%	-0.6%	8.3M	-42.7M	-7.3M	1.02	57.83	14,100	14,399	155,260	172,226
2014-10-17	$176.91	$180.00	24.7%	6.5%	26.4%	70.2%	22.8%	5.9%	-1.0%	24.8M	-361.9M	-7.0M	0.55	34.86	26,203	14,439	158,827	177,043
2014-10-20	$177.72	$180.00	23.4%	6.1%	26.5%	62.0%	23.3%	4.3%	1.0%	21.9M	-402.6M	-7.2M	1.03	20.58	7,946	8,204	126,636	150,288
2014-10-21	$179.74	$180.00	21.5%	6.0%	26.9%	49.9%	21.9%	4.3%	0.9%	28.7M	-499.7M	-7.5M	1.13	16.98	7,102	8,024	128,897	152,233
2014-10-22	$176.97	$180.00	22.2%	6.2%	26.6%	54.3%	23.3%	4.2%	-0.8%	24.5M	-393.0M	-7.2M	0.78	22.71	11,278	8,803	132,254	154,127
2014-10-23	$179.86	$180.00	19.8%	5.9%	26.7%	39.2%	23.7%	3.4%	0.7%	39.2M	-599.6M	-7.3M	0.59	23.34	14,916	8,739	136,419	157,611
2014-10-24	$183.05	$180.00	19.0%	5.7%	27.4%	33.8%	23.6%	3.5%	-0.2%	47.6M	-778.2M	-7.4M	0.45	20.30	20,988	9,412	135,311	159,351
2014-10-27	$183.91	$180.00	18.9%	5.8%	27.4%	33.0%	23.4%	3.6%	-0.1%	53.0M	-870.3M	-7.0M	0.36	21.97	16,789	6,110	135,899	156,483
2014-10-28	$186.32	$180.00	17.2%	5.5%	27.7%	22.4%	19.6%	3.3%	-0.1%	70.6M	-1.07B	-6.9M	0.38	24.62	10,556	4,023	141,181	157,503
2014-10-29	$186.15	$180.00	18.0%	5.6%	27.1%	27.4%	20.9%	2.7%	-0.0%	75.5M	-1.09B	-6.8M	0.47	23.32	15,127	7,128	142,341	158,332
2014-10-30	$187.01	$180.00	17.6%	5.5%	26.8%	25.0%	21.5%	3.2%	-0.2%	77.8M	-1.16B	-6.8M	0.67	23.20	12,617	8,459	143,153	159,246
2014-10-31	$189.85	$180.00	17.1%	5.4%	25.4%	21.7%	19.7%	3.0%	-0.3%	107.3M	-1.37B	-6.5M	0.55	20.60	17,274	9,585	142,526	161,024