GS Options History — June 2015

In June 2015, GS traded between $206.43 and $218.27. ATM implied volatility averaged 17.5%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.5% (HV 20d: 12.9%). Max pain ranged from $190.00 to $202.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2015-06-16: Highest Volume — 56,775 contracts
  • 2015-06-29: Largest IV spike — 18.6% change
  • 2015-06-29: Highest IV Rank — 53.6%
  • 2015-06-29: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$211.79$206.43$218.27$207.69$209.29
Max Pain$196.70$190.00$202.50$202.50$200.00
ATM IV17.5%15.9%22.1%16.0%22.0%
Expected Move5.2%4.5%6.8%4.5%6.6%
HV 20d12.9%11.0%16.1%12.8%16.0%
HV 60d14.4%13.0%17.0%17.0%14.0%
IV Rank23.8%13.5%53.6%14.7%53.2%
IV Percentile46.0%20.2%89.7%27.0%89.3%
Term Structure0.3%-1.5%1.8%-0.2%-0.6%
VWIV18.8%16.6%24.1%16.6%24.1%
Skew 25d2.8%2.2%3.8%2.9%3.0%
Skew 10d5.4%4.2%6.9%5.5%6.7%
Call IV 25d16.5%14.7%20.9%14.8%20.9%
Put IV 25d19.3%17.1%24.2%17.7%24.0%
Bid-Ask Spread %11.575.9015.535.907.95
Gamma HHI0.170.110.280.160.11
Net GEX70.1M34.4M108.7M52.5M37.9M
Net DEX-1.58B-1.98B-1.13B-1.30B-1.22B
Net VEX-9.2M-9.7M-8.7M-9.2M-9.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.551.711.330.66
Total Volume21,546.4556,74056,77514,89919,419
Total OI292,132.682276,868314,010278,466296,694

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$207.69$202.5016.0%4.5%12.8%14.7%16.6%2.9%-0.2%52.5M-1.30B-9.2M1.335.906,3878,512142,776135,690
2015-06-02$206.43$202.5016.0%4.6%12.9%14.7%16.7%2.8%0.0%40.7M-1.18B-9.3M1.209.843,0613,679144,381137,346
2015-06-03$208.52$202.5016.0%4.8%12.3%14.3%17.8%2.7%0.4%58.7M-1.38B-9.3M1.319.418,24210,780145,237138,450
2015-06-04$208.82$190.0016.5%5.2%11.8%17.8%18.8%2.9%0.0%60.9M-1.38B-9.4M1.1813.629,75811,466147,289138,432
2015-06-05$210.26$190.0016.6%5.1%11.7%18.2%18.9%2.7%-0.1%81.6M-1.54B-9.3M0.5511.5220,40911,270148,632140,939
2015-06-08$209.63$195.0017.2%5.3%11.0%22.1%18.5%2.7%1.4%67.6M-1.49B-9.3M1.3511.476,9659,429148,524134,369
2015-06-09$208.94$195.0017.3%5.3%11.0%22.7%20.3%2.9%1.5%64.3M-1.42B-9.3M1.7111.295,6149,574150,371136,898
2015-06-10$213.12$195.0016.3%5.0%12.3%16.2%18.9%2.5%1.3%88.2M-1.78B-9.1M0.7012.5814,71910,267151,253139,187
2015-06-11$213.96$195.0015.9%5.0%12.3%13.5%18.2%2.5%1.8%98.7M-1.88B-9.1M1.2414.447,2478,981154,472141,293
2015-06-12$213.07$195.0016.6%5.1%12.5%18.0%18.3%2.5%1.7%84.8M-1.76B-9.2M1.0613.429,3589,919155,342142,817
2015-06-15$211.88$195.0018.5%5.4%12.9%30.3%19.2%2.8%-0.8%83.0M-1.64B-9.0M1.0911.767,1017,757153,758139,931
2015-06-16$213.29$195.0018.1%5.2%12.7%28.0%18.8%2.7%0.1%96.7M-1.77B-9.1M1.1010.1227,02629,749154,734141,566
2015-06-17$212.78$195.0017.8%5.1%12.8%26.0%19.0%2.6%0.3%79.8M-1.68B-9.3M1.4213.3710,30814,632159,248149,578
2015-06-18$214.61$195.0017.2%4.9%13.0%22.3%17.9%2.5%0.2%108.7M-1.88B-9.1M1.0011.298,8248,836160,668150,895
2015-06-19$213.74$195.0016.8%4.8%13.1%19.5%17.3%2.6%0.8%63.0M-1.77B-9.2M0.8411.7611,2579,480161,980152,030
2015-06-22$216.50$195.0016.3%4.6%13.0%16.2%16.9%2.5%0.1%77.3M-1.83B-8.9M0.7615.5311,1148,431151,260125,608
2015-06-23$218.27$195.0016.7%4.9%12.7%18.8%17.2%2.2%0.2%87.2M-1.98B-8.7M1.0014.7811,32911,364153,912128,315
2015-06-24$214.46$200.0017.1%5.1%14.0%21.5%18.4%2.8%-0.2%64.5M-1.63B-9.1M0.7714.1914,89811,478157,187131,297
2015-06-25$212.77$200.0018.5%5.5%14.3%30.4%19.1%3.2%-0.4%55.2M-1.54B-9.0M0.8511.9112,43010,578159,882133,218
2015-06-26$213.11$200.0018.6%5.5%13.6%31.3%19.7%3.1%-0.0%55.8M-1.56B-9.6M0.9210.939,4218,686164,211136,105
2015-06-29$208.19$200.0022.1%6.8%16.1%53.6%24.0%3.8%-1.5%34.4M-1.13B-9.7M0.977.5012,34511,922158,683132,461
2015-06-30$209.29$200.0022.0%6.6%16.0%53.2%24.1%3.0%-0.6%37.9M-1.22B-9.7M0.667.9511,6687,751160,528136,166