GS Options History — May 2015

In May 2015, GS traded between $195.79 and $209.24. ATM implied volatility averaged 16.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.8% (HV 20d: 13.3%). Max pain ranged from $190.00 to $202.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-05-28: Highest Volume — 48,542 contracts
  • 2015-05-26: Largest IV spike — 8.4% change
  • 2015-05-06: Highest IV Rank — 26.8%
  • 2015-05-07: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$202.78$195.79$209.24$197.54$206.39
Max Pain$197.13$190.00$202.50$190.00$202.50
ATM IV16.1%14.4%17.9%17.4%15.7%
Expected Move4.6%4.1%5.3%5.0%4.4%
HV 20d13.3%12.0%15.1%13.2%12.8%
HV 60d17.0%16.7%17.2%17.2%16.9%
IV Rank14.9%4.3%26.8%23.2%12.2%
IV Percentile27.7%2.8%57.1%49.6%20.2%
Term Structure0.2%-0.4%1.0%-0.2%-0.2%
VWIV16.8%15.1%18.8%17.5%16.1%
Skew 25d2.8%2.2%3.7%3.0%2.6%
Skew 10d6.0%4.4%8.2%6.1%5.2%
Call IV 25d15.2%13.5%16.3%16.2%14.9%
Put IV 25d18.0%15.7%19.7%19.2%17.5%
Bid-Ask Spread %8.976.0014.649.358.31
Gamma HHI0.150.100.230.100.15
Net GEX69.9M28.7M99.6M46.4M43.0M
Net DEX-1.19B-1.59B-719.3M-862.0M-1.16B
Net VEX-9.2M-9.5M-8.9M-9.4M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.403.621.651.31
Total Volume24,772.8510,28748,54223,65823,114
Total OI293,092.9274,597314,657289,661304,305

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$197.54$190.0017.4%5.0%13.2%23.2%17.5%3.0%-0.2%46.4M-862.0M-9.4M1.659.358,93714,721146,060143,601
2015-05-04$199.30$195.0016.8%4.8%13.5%19.5%17.1%2.6%-0.1%53.0M-1.02B-9.1M0.4914.646,9203,367143,705140,382
2015-05-05$197.18$195.0017.2%5.1%14.2%22.2%17.4%3.0%-0.0%40.1M-849.3M-9.2M1.3512.317,80710,554146,797141,907
2015-05-06$195.79$195.0017.9%5.2%14.5%26.8%18.2%3.7%-0.2%28.7M-719.3M-9.3M1.2911.538,16710,504147,319144,096
2015-05-07$197.40$195.0017.6%5.3%14.1%24.5%18.8%3.3%-0.0%40.2M-866.0M-9.4M1.868.327,80614,495149,331144,938
2015-05-08$200.50$195.0016.6%4.8%15.1%18.6%17.0%3.0%0.5%77.0M-1.17B-9.4M1.2510.5510,38612,934151,529153,708
2015-05-11$201.73$195.0016.4%4.8%15.1%17.3%16.7%2.6%0.5%65.4M-1.20B-9.2M1.1511.847,8198,970148,738143,690
2015-05-12$200.49$195.0017.0%4.9%14.9%20.6%17.6%3.2%0.2%56.6M-1.10B-9.2M0.997.6713,45813,367150,798148,151
2015-05-13$201.43$195.0016.6%4.8%13.8%18.3%17.2%2.7%0.2%65.3M-1.16B-9.5M0.997.027,1617,119152,153151,722
2015-05-14$202.49$195.0016.0%4.8%13.9%14.3%16.0%2.6%1.0%75.2M-1.27B-9.2M1.546.6710,06615,503152,954150,462
2015-05-15$202.80$195.0015.2%4.3%12.2%9.6%17.6%2.8%-0.4%94.3M-1.32B-9.2M1.576.0010,36016,260155,112159,545
2015-05-18$204.66$200.0015.2%4.4%12.5%9.3%16.6%3.1%0.3%75.9M-1.26B-9.0M1.3910.029,60113,351140,385134,212
2015-05-19$205.40$200.0015.3%4.4%12.1%10.3%15.9%2.9%0.3%83.4M-1.32B-9.0M0.9411.0110,1449,573143,382141,836
2015-05-20$205.08$200.0015.2%4.3%12.1%9.0%15.6%2.6%0.4%89.1M-1.30B-9.2M1.488.908,26912,246145,751146,054
2015-05-21$205.11$200.0015.1%4.3%12.0%8.5%16.2%2.7%0.6%90.8M-1.29B-9.2M3.627.497,23926,183146,877147,903
2015-05-22$207.99$200.0014.4%4.1%12.2%4.3%15.1%2.2%0.5%87.9M-1.57B-9.0M1.126.0315,84617,791147,214151,888
2015-05-26$206.48$200.0015.6%4.5%12.2%12.1%16.5%3.1%0.0%92.0M-1.33B-9.0M1.297.659,72712,564144,685137,336
2015-05-27$209.24$200.0014.9%4.3%12.8%7.5%17.4%2.5%0.2%99.6M-1.59B-8.9M0.407.6931,79412,792145,363138,339
2015-05-28$208.53$200.0015.4%4.4%12.9%10.9%15.9%2.6%0.0%95.0M-1.40B-9.0M0.896.5025,74322,799139,246140,384
2015-05-29$206.39$202.5015.7%4.4%12.8%12.2%16.1%2.6%-0.2%43.0M-1.16B-9.4M1.318.3110,01213,102151,320152,985