GS Options History — July 2015

In July 2015, GS traded between $204.49 and $213.21. ATM implied volatility averaged 19.0%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.3% (HV 20d: 15.8%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2015-07-16: Highest Volume — 50,492 contracts
  • 2015-07-13: Largest IV drop — 10.9% change
  • 2015-07-08: Highest IV Rank — 65.1%
  • 2015-07-08: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$208.97$204.49$213.21$209.61$205.20
Max Pain$206.02$200.00$210.00$200.00$207.50
ATM IV19.0%15.3%23.9%21.7%17.6%
Expected Move5.4%4.2%6.7%6.6%4.9%
HV 20d15.8%14.3%16.8%15.6%14.7%
HV 60d14.1%13.8%14.4%14.0%14.2%
IV Rank33.9%9.8%65.1%51.3%24.8%
IV Percentile58.2%12.3%94.8%88.5%47.2%
Term Structure-0.0%-0.9%1.0%-0.7%0.2%
VWIV19.3%15.5%24.8%23.4%17.4%
Skew 25d3.1%2.2%4.0%3.1%2.3%
Skew 10d6.5%3.7%9.8%7.0%4.3%
Call IV 25d18.0%14.4%22.9%20.7%16.7%
Put IV 25d21.1%16.7%26.6%23.8%19.0%
Bid-Ask Spread %14.336.1665.228.578.70
Gamma HHI0.140.090.270.130.10
Net GEX44.2M-13.2M122.3M44.7M13.9M
Net DEX-1.18B-1.70B-748.3M-1.30B-774.7M
Net VEX-9.2M-9.8M-8.7M-9.4M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.531.760.911.76
Total Volume23,556.31814,04550,49216,70616,985
Total OI289,147.045254,850321,363301,679283,869

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$209.61$200.0021.7%6.6%15.6%51.3%23.4%3.1%-0.7%44.7M-1.30B-9.4M0.918.578,7617,945164,773136,906
2015-07-02$209.31$200.0021.2%6.6%15.7%48.0%24.8%3.3%-0.7%47.1M-1.25B-9.7M1.259.388,42010,496166,965137,752
2015-07-06$208.27$205.0022.1%6.1%15.5%53.5%21.7%3.9%-0.5%36.2M-1.21B-9.5M0.6815.3211,8828,116163,845135,046
2015-07-07$208.34$205.0022.6%6.1%15.5%56.9%22.0%3.3%-0.5%37.9M-1.23B-9.5M1.0119.7713,47213,651165,980137,367
2015-07-08$204.49$205.0023.9%6.7%16.8%65.1%24.1%3.7%-0.0%7.2M-896.2M-9.8M1.1117.998,3949,304169,300142,062
2015-07-09$205.27$205.0023.6%6.5%15.0%63.2%22.7%3.6%-0.3%7.2M-967.2M-9.7M1.3315.9514,37119,095170,643142,495
2015-07-10$207.06$205.0022.0%6.2%15.4%52.8%21.9%3.4%-0.2%62.3M-1.18B-9.5M1.1915.849,49011,285167,447135,056
2015-07-13$210.21$205.0019.6%5.6%16.4%37.4%19.9%3.2%0.1%63.7M-1.41B-9.3M0.7615.4310,9818,391157,652133,285
2015-07-14$212.12$205.0018.6%5.4%16.7%31.0%19.2%2.8%0.8%71.7M-1.60B-9.1M0.5812.8013,2477,621160,026132,576
2015-07-15$212.79$205.0018.4%5.2%16.5%30.1%19.4%2.9%-0.4%79.6M-1.70B-8.7M1.0814.8114,44715,609163,607134,070
2015-07-16$210.94$205.0016.4%4.6%16.8%17.3%16.4%2.8%-0.7%77.2M-1.51B-8.7M0.7513.4228,86821,624167,050142,304
2015-07-17$212.70$205.0015.3%4.2%16.8%9.8%15.5%2.4%-0.9%122.3M-1.68B-8.7M0.5965.2221,26612,636171,732149,631
2015-07-20$212.32$205.0015.6%4.5%16.7%11.8%15.8%2.2%0.5%60.7M-1.25B-9.2M0.7015.0712,9249,029139,498115,352
2015-07-21$211.61$205.0015.7%4.5%16.0%12.6%16.2%2.4%0.6%56.6M-1.24B-8.8M0.716.1610,8297,647142,792118,131
2015-07-22$213.21$210.0015.7%4.5%16.0%12.5%16.1%2.4%0.7%68.3M-1.38B-8.7M1.068.5310,96911,669145,336120,418
2015-07-23$210.86$210.0017.0%4.8%15.2%20.6%16.7%3.1%0.6%39.4M-1.16B-9.3M0.539.0421,11711,225146,511126,923
2015-07-24$207.79$210.0017.9%5.1%15.8%26.8%17.8%3.2%1.0%-13.2M-910.3M-9.1M0.936.4815,37514,332150,707127,812
2015-07-27$205.07$210.0019.4%5.5%16.3%36.5%19.8%3.7%-0.4%18.0M-748.3M-9.3M0.979.9610,65410,345143,521124,709
2015-07-28$206.17$210.0019.2%5.3%14.4%34.9%19.0%4.0%-0.4%19.8M-815.1M-9.2M0.717.759,3706,688144,184128,835
2015-07-29$206.79$207.5017.6%4.9%14.3%25.0%17.2%2.4%0.2%23.1M-860.3M-9.4M0.687.988,3505,695145,924130,116
2015-07-30$207.22$207.5017.5%4.8%14.3%24.3%16.7%3.8%0.1%29.2M-924.7M-9.0M1.3111.036,7958,869147,908131,119
2015-07-31$205.20$207.5017.6%4.9%14.7%24.8%17.4%2.3%0.2%13.9M-774.7M-9.2M1.768.706,14810,837149,468134,401