GS Options History — February 2015

In February 2015, GS traded between $175.49 and $192.39. ATM implied volatility averaged 18.6%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 4.1% (HV 20d: 22.7%). Max pain ranged from $175.00 to $190.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2015-02-06: Highest Volume — 23,828 contracts
  • 2015-02-03: Largest IV drop — 6.3% change
  • 2015-02-02: Highest IV Rank — 55.8%
  • 2015-02-02: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$186.70$175.49$192.39$175.49$190.05
Max Pain$180.00$175.00$190.00$180.00$190.00
ATM IV18.6%16.0%22.4%22.4%16.7%
Expected Move5.4%4.6%6.3%6.3%4.7%
HV 20d22.7%17.5%25.8%25.3%18.2%
HV 60d21.0%19.5%21.7%19.5%21.7%
IV Rank31.1%14.7%55.8%55.8%18.7%
IV Percentile54.8%25.0%85.7%85.7%36.1%
Term Structure0.3%-0.1%1.2%0.7%0.2%
VWIV19.3%16.4%22.1%22.1%16.6%
Skew 25d3.4%2.7%3.9%3.4%2.8%
Skew 10d6.9%5.2%10.3%8.1%5.2%
Call IV 25d17.5%15.3%21.5%21.5%15.4%
Put IV 25d20.9%18.0%24.9%24.9%18.2%
Bid-Ask Spread %14.2110.3617.7013.4317.66
Gamma HHI0.100.060.150.060.15
Net GEX24.7M1.7M38.5M1.7M3.7M
Net DEX-479.2M-740.0M-19.8M-19.8M-490.1M
Net VEX-7.1M-7.7M-6.4M-6.4M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.511.420.631.06
Total Volume17,494.47410,04923,82810,75623,308
Total OI196,661.947179,342212,266179,342212,266

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$175.49$180.0022.4%6.3%25.3%55.8%22.1%3.4%0.7%1.7M-19.8M-6.4M0.6313.436,6014,15589,59789,745
2015-02-03$180.41$180.0021.0%5.7%25.8%46.8%20.1%3.8%0.1%16.1M-228.5M-6.5M0.6617.589,8296,45391,36991,848
2015-02-04$178.85$180.0020.8%5.9%25.0%45.0%21.7%3.6%-0.0%13.4M-175.9M-6.5M1.0315.716,5476,74692,57793,095
2015-02-05$180.72$175.0020.5%6.0%24.7%43.4%21.2%3.7%0.0%18.8M-255.9M-6.7M1.0217.705,5905,72594,43294,515
2015-02-06$183.05$175.0019.8%5.7%24.5%38.9%20.9%3.6%0.3%28.5M-378.1M-6.8M0.8314.1713,00910,81995,83995,523
2015-02-09$182.24$175.0020.2%6.1%24.2%41.7%21.7%3.9%0.9%18.0M-296.6M-6.8M1.3412.956,3498,51294,23891,491
2015-02-10$184.54$175.0019.2%5.6%24.4%35.0%20.2%3.9%0.4%25.4M-409.1M-7.1M0.8411.478,5537,18996,43295,522
2015-02-11$187.23$175.0018.8%5.7%24.8%32.2%20.2%3.1%1.2%29.9M-528.3M-7.2M1.0313.979,94510,20597,57397,347
2015-02-12$189.73$175.0018.0%5.3%23.4%27.1%19.5%3.8%0.4%33.0M-663.3M-7.3M0.6115.0713,3668,17899,919100,048
2015-02-13$189.02$180.0017.9%5.2%23.2%26.8%19.3%3.3%0.4%29.2M-627.1M-7.3M0.9514.809,2468,763103,185101,917
2015-02-17$189.91$180.0018.2%5.2%22.9%28.6%18.7%3.1%0.2%32.8M-644.6M-7.3M1.0412.737,0667,343101,45297,865
2015-02-18$188.70$180.0017.9%5.1%22.7%26.6%19.3%3.3%0.7%32.0M-576.7M-7.2M1.2212.107,0088,541102,75499,920
2015-02-19$189.11$180.0017.7%5.1%22.6%25.3%18.6%2.9%0.3%34.4M-590.9M-7.3M1.0510.364,9055,144103,379101,276
2015-02-20$191.51$180.0017.3%5.0%21.0%22.7%18.0%3.0%-0.1%23.1M-740.0M-7.3M0.5112.7915,7017,986104,936102,400
2015-02-23$190.12$180.0017.6%5.0%21.1%24.8%18.8%3.5%0.2%25.7M-561.5M-7.5M1.4215.047,49310,60498,78194,150
2015-02-24$192.39$185.0016.7%4.7%21.3%19.2%16.7%3.4%0.1%33.7M-679.1M-7.5M0.8015.819,7807,779101,04598,751
2015-02-25$191.85$185.0016.0%4.6%19.2%14.7%16.4%2.7%0.3%32.2M-638.7M-7.7M0.7713.5213,0519,993101,827100,484
2015-02-26$192.38$190.0016.4%4.7%17.5%17.2%17.5%3.0%0.0%38.5M-600.4M-7.7M0.9013.0710,9979,916105,122103,957
2015-02-27$190.05$190.0016.7%4.7%18.2%18.7%16.6%2.8%0.2%3.7M-490.1M-7.7M1.0617.6611,33711,971106,443105,823