GS Options History — November 2014

In November 2014, GS traded between $188.41 and $191.84. ATM implied volatility averaged 16.1%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.6% (HV 20d: 15.4%). Max pain ranged from $180.00 to $185.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.09.

Notable Days

2014-11-25: Highest Volume — 27,016 contracts
2014-11-20: Largest IV drop — 6.8% change
2014-11-06: Highest IV Rank — 25.3%
2014-11-06: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$190.06	$188.41	$191.84	$190.90	$188.41
Max Pain	$182.37	$180.00	$185.00	$180.00	$185.00
ATM IV	16.1%	14.5%	17.7%	17.2%	15.3%
Expected Move	5.3%	5.0%	5.4%	5.4%	5.1%
HV 20d	15.4%	8.2%	25.5%	25.5%	8.2%
HV 60d	18.6%	18.5%	18.8%	18.7%	18.5%
IV Rank	14.8%	4.6%	25.3%	21.9%	10.2%
IV Percentile	21.2%	3.2%	43.3%	33.7%	13.1%
Term Structure	0.2%	-0.8%	1.1%	0.0%	-0.1%
VWIV	19.0%	18.2%	20.3%	19.7%	18.3%
Skew 25d	2.7%	1.7%	3.8%	2.7%	2.3%
Skew 10d	5.6%	3.8%	7.8%	7.3%	4.1%
Call IV 25d	15.2%	13.9%	16.5%	16.2%	14.3%
Put IV 25d	17.9%	16.1%	19.9%	18.9%	16.6%
Bid-Ask Spread %	27.80	22.31	46.90	22.80	29.86
Gamma HHI	0.14	0.11	0.24	0.14	0.12
Net GEX	62.0M	30.2M	71.2M	70.8M	30.2M
Net DEX	-1.17B	-1.41B	-718.4M	-1.35B	-718.4M
Net VEX	-5.9M	-6.4M	-5.3M	-6.2M	-5.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.25	1.88	0.76	0.88
Total Volume	12,679.105	3,429	27,016	16,155	3,429
Total OI	294,989.842	263,728	308,243	295,604	268,701

Daily Data (19 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
2014-11-03	$190.90	$180.00	17.2%	5.4%	25.5%	21.9%	19.7%	2.7%	0.0%	70.8M	-1.35B	-6.2M	0.76	22.80	9,163	6,992	136,464	159,140
2014-11-04	$190.23	$180.00	17.3%	5.4%	24.3%	22.8%	19.2%	3.8%	0.4%	68.3M	-1.28B	-6.3M	1.69	23.45	4,754	8,030	136,461	160,584
2014-11-05	$189.81	$180.00	17.4%	5.4%	23.7%	23.7%	20.3%	2.7%	-0.3%	67.8M	-1.25B	-6.4M	1.82	24.26	4,266	7,753	137,566	162,705
2014-11-06	$191.00	$180.00	17.7%	5.4%	20.8%	25.3%	19.7%	3.5%	0.4%	69.1M	-1.33B	-6.2M	1.61	22.31	4,683	7,549	137,792	163,718
2014-11-07	$190.51	$180.00	17.1%	5.4%	20.9%	21.7%	19.6%	2.9%	0.4%	69.9M	-1.30B	-6.2M	1.09	24.08	6,655	7,227	138,830	166,148
2014-11-10	$191.73	$180.00	16.5%	5.4%	19.4%	17.6%	18.5%	3.1%	0.4%	70.1M	-1.37B	-6.0M	1.22	23.42	4,992	6,073	135,469	162,797
2014-11-11	$191.84	$180.00	16.1%	5.3%	19.4%	15.2%	18.9%	2.8%	0.4%	71.2M	-1.41B	-5.8M	0.90	25.11	5,800	5,221	135,305	160,756
2014-11-12	$190.15	$180.00	16.4%	5.3%	19.1%	16.7%	18.9%	3.1%	-0.2%	67.3M	-1.23B	-6.0M	1.07	24.03	5,648	6,070	137,061	164,477
2014-11-13	$190.30	$180.00	16.4%	5.3%	15.2%	17.1%	18.4%	3.1%	-0.1%	70.1M	-1.26B	-5.9M	1.16	27.67	7,164	8,328	137,976	165,799
2014-11-14	$189.98	$180.00	16.2%	5.3%	13.5%	15.4%	19.9%	2.9%	-0.8%	57.5M	-1.22B	-6.0M	0.69	31.54	3,647	2,515	140,345	167,898
2014-11-17	$189.99	$185.00	16.2%	5.2%	13.5%	15.7%	18.7%	2.9%	0.1%	68.4M	-1.21B	-5.8M	1.18	22.45	6,200	7,304	137,898	165,267
2014-11-18	$189.86	$185.00	16.1%	5.2%	13.2%	15.2%	18.7%	2.8%	-0.1%	71.2M	-1.20B	-5.8M	1.12	22.54	5,085	5,708	139,484	167,138
2014-11-19	$189.19	$185.00	15.6%	5.2%	11.6%	12.1%	19.3%	2.7%	0.1%	70.0M	-1.14B	-5.9M	0.56	29.40	5,307	2,994	139,866	167,915
2014-11-20	$189.81	$185.00	14.6%	5.2%	10.6%	5.2%	19.3%	2.4%	0.8%	63.7M	-1.10B	-5.5M	1.48	25.53	4,924	7,272	134,478	166,403
2014-11-21	$189.59	$185.00	14.5%	5.2%	9.1%	4.6%	18.2%	2.2%	1.1%	63.3M	-1.10B	-5.5M	0.80	28.58	10,024	8,001	134,666	168,919
2014-11-24	$190.07	$185.00	14.6%	5.1%	9.0%	5.5%	19.2%	2.5%	-0.0%	44.9M	-946.6M	-5.3M	1.88	32.91	2,929	5,499	111,674	152,054
2014-11-25	$189.22	$185.00	14.6%	5.0%	8.2%	5.7%	18.2%	1.7%	0.4%	39.6M	-888.6M	-5.5M	0.47	41.39	18,385	8,631	112,877	155,247
2014-11-26	$188.52	$185.00	15.1%	5.1%	8.3%	8.7%	18.2%	1.9%	0.1%	44.2M	-840.8M	-5.4M	0.25	46.90	13,380	3,301	117,154	157,775
2014-11-28	$188.41	$185.00	15.3%	5.1%	8.2%	10.2%	18.3%	2.3%	-0.1%	30.2M	-718.4M	-5.5M	0.88	29.86	1,826	1,603	109,663	159,038