GS Options History — January 2015

In January 2015, GS traded between $172.83 and $194.50. ATM implied volatility averaged 22.4%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.5% (HV 20d: 23.0%). Max pain ranged from $180.00 to $195.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-01-14: Highest Volume — 38,405 contracts
  • 2015-01-05: Largest IV spike — 16.1% change
  • 2015-01-15: Highest IV Rank — 76.7%
  • 2015-01-15: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.64$172.83$194.50$194.50$172.83
Max Pain$185.50$180.00$195.00$190.00$180.00
ATM IV22.4%19.2%25.7%20.1%22.6%
Expected Move6.4%5.4%7.1%5.8%6.6%
HV 20d23.0%19.6%25.1%20.8%24.4%
HV 60d18.7%17.9%19.5%18.6%19.2%
IV Rank55.8%34.9%76.7%41.1%57.0%
IV Percentile84.9%61.9%98.0%74.2%86.1%
Term Structure-0.0%-1.0%1.2%0.5%-0.5%
VWIV22.3%18.5%25.3%21.2%22.5%
Skew 25d3.8%2.7%4.6%4.5%3.6%
Skew 10d7.2%4.9%11.1%11.1%7.3%
Call IV 25d21.2%17.7%23.9%18.7%21.1%
Put IV 25d24.9%20.4%28.2%23.1%24.7%
Bid-Ask Spread %21.6914.1131.3127.4514.79
Gamma HHI0.110.060.320.160.08
Net GEX15.2M-23.5M42.0M34.8M-6.6M
Net DEX-250.5M-904.2M98.5M-904.2M93.3M
Net VEX-5.6M-6.0M-5.0M-5.0M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.501.301.020.99
Total Volume20,810.88,25238,40513,85228,951
Total OI227,653143,141309,300273,703177,333

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$194.50$190.0020.1%5.8%20.8%41.1%21.2%4.5%0.5%34.8M-904.2M-5.0M1.0227.456,8626,990104,532169,171
2015-01-05$188.34$190.0023.4%6.5%23.8%61.9%22.4%4.3%-0.1%27.6M-576.3M-5.1M1.2630.108,28810,423103,228161,999
2015-01-06$184.53$195.0024.0%6.7%23.8%66.1%23.5%3.5%-0.3%22.0M-368.0M-5.3M0.5026.7816,7018,278105,367164,905
2015-01-07$187.28$190.0023.5%6.7%24.3%63.0%23.3%3.7%-0.2%33.0M-566.9M-5.4M0.6925.675,1843,568112,392166,340
2015-01-08$190.00$190.0022.0%6.3%25.1%53.1%21.7%3.8%0.2%42.0M-759.7M-5.5M0.7122.7411,1227,927114,174167,258
2015-01-09$187.53$190.0022.7%6.3%24.0%57.4%22.6%3.8%-0.6%33.9M-586.7M-5.6M0.5822.1012,7837,360115,671170,316
2015-01-12$185.38$190.0023.9%6.8%24.1%65.4%23.2%4.2%0.3%36.0M-445.1M-5.6M0.6629.4511,5337,664115,615167,818
2015-01-13$184.49$190.0023.2%6.6%22.6%60.5%23.4%3.8%-0.0%33.2M-396.7M-5.5M0.7131.3110,4557,415115,265169,355
2015-01-14$180.15$190.0024.7%6.9%23.6%70.6%23.9%4.0%-0.3%25.5M-92.0M-5.4M0.6326.2923,56714,838116,692171,133
2015-01-15$178.59$185.0025.7%7.1%23.4%76.7%25.3%4.3%-1.0%23.8M-68.6M-5.7M0.7922.5219,44915,399125,811174,355
2015-01-16$177.23$185.0023.3%6.8%23.2%61.6%23.1%3.7%0.7%-23.5M65.7M-5.5M1.1825.1615,43418,230131,033178,267
2015-01-20$175.63$185.0023.4%6.7%19.8%62.0%23.4%3.7%0.2%-1.5M30.1M-5.5M0.7016.919,9386,96071,71271,429
2015-01-21$177.15$180.0021.7%6.2%19.6%51.2%22.1%3.8%0.4%3.2M-24.2M-5.6M0.7215.317,4885,36575,19274,461
2015-01-22$182.09$180.0019.5%5.5%22.4%36.9%20.3%3.1%1.2%14.3M-199.1M-5.8M0.6716.1314,6439,75277,08278,000
2015-01-23$180.90$180.0019.2%5.4%22.1%34.9%18.5%2.7%0.6%8.0M-180.0M-5.8M0.8917.868,0907,23080,24780,586
2015-01-26$180.42$180.0020.0%5.6%22.0%40.0%20.3%3.3%-0.2%6.5M-135.6M-5.7M1.3015.513,5854,66775,28478,734
2015-01-27$176.49$180.0020.7%5.9%22.9%45.0%20.7%3.8%-0.0%-1.8M576.4K-5.7M0.7117.648,7266,18876,75980,665
2015-01-28$173.42$180.0022.4%6.5%23.1%55.6%21.9%4.6%-0.8%-5.3M98.5M-5.6M0.7514.1111,7368,79279,98283,784
2015-01-29$175.80$180.0022.3%6.3%24.1%55.0%22.1%3.4%-0.5%-791.2K5.4M-6.0M0.6416.0315,0559,58085,48485,629
2015-01-30$172.83$180.0022.6%6.6%24.4%57.0%22.5%3.6%-0.5%-6.6M93.3M-5.9M0.9914.7914,55714,39489,29988,034