GS Options History — March 2015

In March 2015, GS traded between $182.71 and $193.13. ATM implied volatility averaged 18.7%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.3% (HV 20d: 19.1%). Max pain ranged from $185.00 to $190.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2015-03-06: Highest Volume — 28,958 contracts
  • 2015-03-12: Largest IV drop — 10.8% change
  • 2015-03-26: Highest IV Rank — 43.4%
  • 2015-03-11: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$189.41$182.71$193.13$191.75$188.38
Max Pain$185.68$185.00$190.00$190.00$185.00
ATM IV18.7%16.3%20.5%16.3%19.8%
Expected Move5.5%4.6%6.1%4.6%5.9%
HV 20d19.1%13.6%22.5%16.5%22.5%
HV 60d21.8%21.3%22.3%21.7%22.2%
IV Rank32.1%16.0%43.4%16.0%39.1%
IV Percentile60.8%29.4%78.6%29.4%73.0%
Term Structure0.1%-1.0%1.9%-0.3%-0.0%
VWIV20.0%17.0%24.1%17.0%24.1%
Skew 25d3.3%2.8%4.2%3.5%2.8%
Skew 10d6.6%5.5%8.8%8.8%5.6%
Call IV 25d17.5%15.2%19.1%15.2%18.6%
Put IV 25d20.8%18.7%22.8%18.7%21.4%
Bid-Ask Spread %14.1210.0318.3415.7910.03
Gamma HHI0.120.080.160.120.11
Net GEX31.5M9.5M47.6M28.9M29.7M
Net DEX-526.5M-758.5M-166.7M-554.1M-554.7M
Net VEX-8.0M-8.4M-7.7M-7.7M-8.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.381.371.180.96
Total Volume14,645.7277,12628,95817,05114,208
Total OI222,409.136205,585235,022209,503227,820

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$191.75$190.0016.3%4.6%16.5%16.0%17.0%3.5%-0.3%28.9M-554.1M-7.7M1.1815.797,8329,219104,080105,423
2015-03-03$191.20$190.0017.3%5.0%16.3%23.0%17.9%2.8%-0.6%28.0M-534.3M-7.7M1.1016.888,0258,837104,747107,002
2015-03-04$189.75$190.0017.4%5.1%14.2%23.4%17.9%3.3%-0.4%29.2M-509.1M-7.7M1.3716.896,1878,461108,103107,040
2015-03-05$190.00$185.0017.5%5.3%13.6%24.2%18.1%3.6%-0.3%30.5M-520.7M-7.7M1.0817.807,8658,522109,829107,888
2015-03-06$186.81$185.0018.7%5.8%15.0%31.6%20.4%3.2%-0.1%16.8M-348.4M-7.7M0.8418.3415,75313,205111,959108,750
2015-03-09$187.93$185.0018.5%5.5%14.5%30.7%19.5%2.9%0.7%24.8M-402.4M-7.8M0.5815.414,5212,605111,840107,130
2015-03-10$182.71$185.0020.3%6.0%17.9%42.2%21.8%4.2%0.6%9.5M-166.7M-7.7M0.9915.547,5757,469114,024107,950
2015-03-11$184.18$185.0020.0%6.1%17.5%40.1%22.1%3.5%1.1%14.2M-240.1M-7.9M1.1115.425,1735,731117,510110,247
2015-03-12$189.95$185.0017.8%5.4%20.1%26.4%19.3%3.4%1.4%42.7M-577.5M-8.0M0.7813.989,8127,616118,716111,296
2015-03-13$189.34$185.0018.3%5.6%19.6%29.1%20.2%3.5%1.9%38.2M-530.4M-8.1M0.6314.098,3035,210119,857114,523
2015-03-16$191.90$185.0019.2%5.6%20.1%35.0%20.0%3.6%-1.0%41.8M-658.2M-8.0M0.7312.897,6155,581115,831108,739
2015-03-17$190.57$185.0019.6%5.7%20.2%37.4%20.3%3.6%-0.5%38.2M-582.2M-8.0M1.3412.244,1785,619117,509110,886
2015-03-18$192.32$185.0019.2%5.5%20.3%35.1%19.2%2.9%-0.8%47.3M-680.1M-8.1M0.4816.196,8023,242118,704113,079
2015-03-19$189.97$185.0019.1%5.5%20.8%34.5%18.8%3.4%-0.2%43.7M-558.5M-8.0M0.3815.558,6803,334120,069112,759
2015-03-20$193.13$185.0017.7%5.0%21.2%25.2%18.7%3.3%0.4%47.6M-758.5M-8.0M0.6513.1910,6126,894120,816114,206
2015-03-23$191.96$185.0018.2%5.3%21.1%28.8%19.2%3.1%-0.2%36.6M-673.7M-8.0M0.6613.219,2066,051109,63395,952
2015-03-24$191.28$185.0018.0%5.2%20.7%27.0%18.9%3.3%0.2%36.5M-649.0M-8.1M0.7712.314,2743,306113,21497,992
2015-03-25$187.35$185.0019.6%5.8%22.0%37.6%20.7%3.4%-0.2%21.5M-430.5M-8.2M0.7210.239,3216,668114,76799,552
2015-03-26$187.45$185.0020.5%6.0%21.9%43.4%21.4%3.7%-0.2%21.9M-447.8M-8.3M0.8710.128,0216,962118,696103,038
2015-03-27$188.06$185.0020.0%5.9%21.6%40.0%23.1%3.2%-0.2%25.5M-493.8M-8.3M0.6611.958,5975,656121,309104,730
2015-03-30$190.92$185.0019.4%5.7%22.0%36.4%20.9%2.9%-0.0%39.5M-711.7M-8.4M0.6712.4911,6237,835122,108103,678
2015-03-31$188.38$185.0019.8%5.9%22.5%39.1%24.1%2.8%-0.0%29.7M-554.7M-8.3M0.9610.037,2666,942123,498104,322