GS Options History — December 2014

In December 2014, GS traded between $183.68 and $196.87. ATM implied volatility averaged 19.5%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.4% (HV 20d: 15.1%). Max pain ranged from $185.00 to $195.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-12-05: Highest Volume — 38,809 contracts
  • 2014-12-18: Largest IV drop — 13.8% change
  • 2014-12-16: Highest IV Rank — 71.3%
  • 2014-12-16: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$192.34$183.68$196.87$188.40$193.83
Max Pain$187.86$185.00$195.00$185.00$195.00
ATM IV19.5%14.8%24.9%15.9%20.7%
Expected Move5.9%5.2%6.9%5.3%5.8%
HV 20d15.1%6.1%20.9%6.1%20.8%
HV 60d19.3%18.2%20.6%18.5%19.1%
IV Rank36.9%6.7%71.3%13.7%44.7%
IV Percentile61.8%6.0%97.6%20.6%79.8%
Term Structure0.7%-0.5%2.5%0.1%-0.1%
VWIV20.7%17.8%24.6%19.5%21.5%
Skew 25d3.5%1.8%4.8%2.9%3.9%
Skew 10d7.3%2.9%11.4%6.0%6.9%
Call IV 25d18.3%14.2%23.6%14.6%19.4%
Put IV 25d21.8%16.4%28.1%17.5%23.3%
Bid-Ask Spread %32.9026.6548.4030.1331.50
Gamma HHI0.130.090.250.100.15
Net GEX43.9M13.0M86.1M36.9M32.4M
Net DEX-894.3M-1.29B-268.2M-687.5M-881.9M
Net VEX-5.5M-6.1M-5.0M-5.6M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.192.731.182.73
Total Volume19,2915,14338,80915,03811,912
Total OI280,839.182263,317302,241263,317269,164

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$188.40$185.0015.9%5.3%6.1%13.7%19.5%2.9%0.1%36.9M-687.5M-5.6M1.1830.136,8928,146106,931156,386
2014-12-02$190.48$185.0015.8%5.3%7.0%13.1%20.5%2.5%0.6%44.9M-821.1M-5.6M0.7326.6511,2358,147107,972159,225
2014-12-03$191.36$185.0015.4%5.3%7.1%10.8%18.1%2.4%0.6%57.4M-941.6M-5.5M0.5927.7112,3197,235111,573161,613
2014-12-04$191.95$185.0014.8%5.3%7.1%6.7%17.8%2.3%0.9%66.7M-988.6M-5.4M0.1932.1814,8782,766113,882163,106
2014-12-05$195.28$185.0015.5%5.2%9.1%11.2%18.3%1.8%0.6%86.1M-1.29B-5.3M0.6329.6623,86114,948118,444164,172
2014-12-08$196.66$185.0016.7%5.4%9.2%18.9%19.2%3.4%2.0%57.6M-1.27B-5.3M0.9630.4014,80914,149116,077164,135
2014-12-09$196.87$185.0016.7%5.6%9.0%19.1%19.1%3.7%2.5%56.2M-1.26B-5.4M1.0630.8911,30112,034118,861168,017
2014-12-10$192.11$185.0019.0%6.0%12.8%33.7%20.7%3.1%2.5%40.3M-922.0M-5.6M0.6029.9118,75811,219119,347169,260
2014-12-11$193.26$185.0019.1%5.9%12.6%34.4%22.0%2.8%1.3%52.5M-1.03B-5.8M0.7732.3010,9908,421123,903173,062
2014-12-12$188.59$185.0021.6%6.6%15.4%50.1%24.6%3.3%1.9%29.6M-601.2M-6.0M1.1732.8811,46613,396122,554174,021
2014-12-15$185.88$185.0023.9%6.8%16.2%65.1%22.6%4.0%0.3%21.0M-414.4M-6.1M1.0436.3111,83312,268118,109173,090
2014-12-16$183.68$185.0024.9%6.9%16.7%71.3%23.9%4.8%-0.0%13.0M-268.2M-5.9M1.2728.359,64012,268116,742176,826
2014-12-17$185.40$185.0024.7%6.7%17.1%70.2%23.3%4.5%0.1%16.7M-353.7M-6.0M1.0248.347,3107,464118,279181,060
2014-12-18$191.09$185.0021.3%6.4%20.4%48.2%22.4%3.9%0.6%49.7M-839.4M-5.6M0.8748.4011,2479,739118,293180,499
2014-12-19$193.28$185.0021.1%6.1%20.7%47.5%21.0%4.3%1.3%55.8M-1.05B-5.5M1.0842.6413,36814,443119,657182,584
2014-12-22$194.16$0.0020.9%5.8%20.7%46.1%20.1%4.3%0.0%40.9M-924.6M-5.3M1.3932.385,4937,647104,413161,610
2014-12-23$195.66$195.0020.6%5.7%20.9%43.7%20.3%3.9%-0.5%42.2M-1.02B-5.2M1.1228.276,6767,497104,721163,534
2014-12-24$195.89$195.0019.9%5.7%20.8%39.4%20.1%3.4%0.2%43.3M-1.05B-5.1M1.5728.064,4666,991105,944165,361
2014-12-26$195.71$195.0020.2%5.6%20.7%41.6%19.9%3.3%-0.5%39.8M-1.05B-5.1M1.2034.305,2956,328106,548165,851
2014-12-29$196.22$195.0020.1%5.7%20.7%41.0%20.3%4.0%0.5%40.2M-1.01B-5.0M1.2132.774,7015,703103,163162,878
2014-12-30$195.71$195.0020.2%5.6%20.7%41.3%20.8%4.3%0.1%41.7M-997.1M-5.0M1.7729.821,8543,289103,768163,827
2014-12-31$193.83$195.0020.7%5.8%20.8%44.7%21.5%3.9%-0.1%32.4M-881.9M-5.2M2.7331.503,1918,721104,032165,132