GS Options History — April 2015

In April 2015, GS traded between $191.75 and $200.84. ATM implied volatility averaged 17.8%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.2% (HV 20d: 17.6%). Max pain ranged from $185.00 to $190.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2015-04-16: Highest Volume — 68,196 contracts
  • 2015-04-17: Largest IV spike — 7.6% change
  • 2015-04-06: Highest IV Rank — 38.6%
  • 2015-04-01: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.28$191.75$200.84$192.03$196.44
Max Pain$189.76$185.00$190.00$185.00$190.00
ATM IV17.8%15.9%19.8%19.1%17.6%
Expected Move5.1%4.5%5.8%5.8%5.1%
HV 20d17.6%13.1%23.4%23.4%13.1%
HV 60d19.7%17.3%21.6%21.6%17.3%
IV Rank26.1%13.6%38.6%34.4%24.8%
IV Percentile50.9%21.8%73.0%66.3%53.2%
Term Structure-0.1%-1.0%0.4%-0.2%-0.1%
VWIV18.2%15.8%20.8%20.8%18.5%
Skew 25d2.9%2.5%3.5%2.9%3.0%
Skew 10d5.8%4.7%7.2%7.2%5.7%
Call IV 25d16.8%14.9%18.7%18.3%16.6%
Put IV 25d19.7%17.5%21.9%21.2%19.7%
Bid-Ask Spread %12.478.2518.358.2514.17
Gamma HHI0.130.110.240.110.11
Net GEX54.5M31.6M96.9M45.8M31.6M
Net DEX-956.6M-1.43B-774.7M-774.7M-776.5M
Net VEX-8.7M-9.2M-8.2M-8.5M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.451.860.681.56
Total Volume24,011.9057,22768,19618,79916,820
Total OI256,592.476230,211294,863230,211287,216

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$192.03$185.0019.1%5.8%23.4%34.4%20.8%2.9%-0.2%45.8M-774.7M-8.5M0.688.2511,2227,577124,266105,945
2015-04-02$191.75$190.0019.1%5.6%23.4%34.3%19.6%2.8%-0.1%41.2M-774.7M-8.5M0.6913.9511,1747,690127,374107,690
2015-04-06$192.08$190.0019.8%5.7%22.5%38.6%19.5%3.5%0.1%44.0M-786.2M-8.3M0.5113.6311,3285,749125,045106,010
2015-04-07$192.47$190.0019.5%5.6%22.5%36.9%18.8%3.3%0.1%49.5M-828.4M-8.2M0.5815.4711,0106,340128,013107,095
2015-04-08$192.56$190.0019.5%5.4%19.6%37.0%19.1%2.8%-0.6%47.0M-791.9M-8.3M0.6315.964,4242,803129,236108,741
2015-04-09$194.91$190.0018.8%5.3%19.8%32.2%18.4%2.7%-0.3%62.2M-969.5M-8.4M0.4513.2412,8055,798131,205109,718
2015-04-10$195.53$190.0018.8%5.4%16.8%32.1%18.8%2.8%0.1%74.3M-1.07B-8.4M0.5013.1113,8916,918135,452110,865
2015-04-13$195.32$190.0019.2%5.5%16.8%35.0%18.9%3.1%-0.6%63.5M-1.02B-8.4M0.5811.9113,7718,026134,471109,201
2015-04-14$197.57$190.0018.5%5.3%16.6%30.4%18.7%2.9%-0.1%72.2M-1.16B-8.4M0.6412.0516,07710,363137,153111,313
2015-04-15$200.84$190.0018.1%5.2%17.1%27.8%19.4%2.8%-0.4%76.7M-1.42B-8.2M0.4818.3534,78316,575139,494113,595
2015-04-16$200.50$190.0016.8%4.8%17.0%19.3%17.2%2.6%0.1%96.9M-1.43B-8.2M0.609.6542,64525,551148,284119,282
2015-04-17$197.05$190.0018.0%5.3%17.6%27.4%18.2%2.7%-1.0%45.2M-1.04B-9.1M1.118.4717,89819,881162,736132,127
2015-04-20$198.02$190.0016.7%4.8%16.8%18.8%16.6%3.0%0.4%53.7M-936.2M-9.1M0.6711.7711,5927,792138,471107,529
2015-04-21$196.85$190.0016.5%4.7%16.8%17.7%16.8%2.8%0.1%46.0M-844.3M-9.1M1.1510.196,7937,842141,060110,431
2015-04-22$198.30$190.0016.3%4.7%16.8%16.4%16.9%2.5%0.1%55.5M-940.9M-9.1M1.6710.848,79414,706142,841113,440
2015-04-23$199.47$190.0015.9%4.5%14.6%13.6%16.0%2.6%-0.2%69.9M-1.04B-9.2M1.8611.708,85416,473144,575122,403
2015-04-24$197.95$190.0016.2%4.6%15.1%15.6%15.8%2.6%0.3%45.3M-912.9M-9.1M1.8313.739,11316,632145,592132,425
2015-04-27$196.49$190.0016.5%4.7%15.5%17.5%17.2%3.0%-0.2%37.7M-794.7M-9.1M1.689.986,56711,055141,172133,396
2015-04-28$197.15$190.0016.6%4.7%14.8%18.2%20.2%2.9%-0.5%35.9M-815.5M-9.1M1.8511.496,55412,135141,715137,385
2015-04-29$198.65$190.0016.8%4.9%13.8%19.6%17.0%2.6%-0.3%49.4M-957.2M-9.2M1.4513.907,45110,778143,293141,187
2015-04-30$196.44$190.0017.6%5.1%13.1%24.8%18.5%3.0%-0.1%31.6M-776.5M-9.1M1.5614.176,56410,256144,835142,381