GS Options History — August 2015

In August 2015, GS traded between $181.16 and $205.90. ATM implied volatility averaged 22.8%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.8% (HV 20d: 17.0%). Max pain ranged from $200.00 to $207.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2015-08-20: Highest Volume — 49,787 contracts
  • 2015-08-21: Largest IV spike — 33.1% change
  • 2015-08-21: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.04$181.16$205.90$204.69$189.00
Max Pain$203.93$200.00$207.50$207.50$200.00
ATM IV22.8%17.0%37.8%17.7%28.2%
Expected Move6.7%4.7%11.6%4.9%8.6%
HV 20d17.0%12.7%26.2%14.6%26.2%
HV 60d15.7%13.7%19.4%14.1%19.4%
IV Rank46.1%20.6%100.0%25.4%59.1%
IV Percentile70.1%37.3%100.0%49.6%96.8%
Term Structure-0.4%-2.1%1.1%-0.0%-0.7%
VWIV23.8%16.5%41.6%17.5%30.4%
Skew 25d4.9%2.8%12.3%3.5%6.6%
Skew 10d10.4%5.2%20.5%6.4%17.6%
Call IV 25d21.1%15.4%33.1%16.4%26.1%
Put IV 25d25.9%18.9%45.3%19.9%32.7%
Bid-Ask Spread %26.647.3561.969.2842.53
Gamma HHI0.100.070.120.110.08
Net GEX4.9M-19.8M21.3M18.2M5.5M
Net DEX-322.0M-823.3M424.1M-743.1M-61.1M
Net VEX-9.0M-9.5M-8.6M-9.1M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.701.700.700.97
Total Volume20,12110,88149,78710,88118,729
Total OI286,646.81272,519307,882272,519297,086

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$204.69$207.5017.7%4.9%14.6%25.4%17.5%3.5%-0.0%18.2M-743.1M-9.1M0.709.286,3914,490141,970130,549
2015-08-04$205.11$207.5017.6%4.9%14.7%24.5%17.8%3.2%-0.4%19.0M-776.7M-9.1M1.228.116,3607,772143,234132,403
2015-08-05$205.66$207.5017.0%4.7%13.1%20.6%16.5%3.5%-0.0%21.3M-823.3M-9.0M0.927.357,6597,071143,939133,476
2015-08-06$205.24$205.0017.3%5.2%13.0%22.6%18.3%2.9%0.0%16.1M-756.7M-9.4M1.3415.076,4208,586144,583133,983
2015-08-07$203.29$205.0017.8%5.1%13.0%26.0%20.1%2.8%-0.1%11.7M-628.7M-9.0M1.4415.158,10711,698145,601134,943
2015-08-10$205.90$205.0017.6%4.9%12.7%24.6%17.5%3.7%-1.0%19.6M-809.4M-9.1M0.8513.786,7425,727143,467133,112
2015-08-11$201.70$205.0018.7%5.6%13.9%31.5%19.9%3.7%0.6%2.1M-499.7M-9.1M0.7114.158,6136,154145,073134,796
2015-08-12$201.13$205.0019.0%5.7%13.7%33.5%21.6%3.9%0.8%-116.2K-483.2M-9.1M1.1113.4210,46411,650146,704135,830
2015-08-13$201.03$205.0018.5%5.6%13.5%30.6%19.7%3.0%1.1%4.3K-480.5M-9.2M1.1915.348,61610,217148,560136,692
2015-08-14$202.13$205.0017.9%5.4%13.3%27.0%18.2%3.4%0.9%20.3M-583.5M-8.9M1.0615.558,4448,929149,759137,631
2015-08-17$202.38$205.0018.2%5.3%13.3%28.7%18.7%3.9%-0.1%4.6M-589.8M-8.7M0.9512.046,5116,157146,854135,889
2015-08-18$201.35$205.0018.4%5.3%13.4%29.5%18.9%3.6%-0.2%1.7M-522.7M-8.6M0.9813.175,7515,631148,207136,466
2015-08-19$200.95$205.0019.3%5.5%12.8%35.8%19.4%3.6%-0.4%-1.6M-483.9M-8.6M1.5715.095,3288,340148,469137,129
2015-08-20$197.20$205.0022.2%6.4%13.8%53.7%23.1%4.3%-1.4%-19.8M-157.5M-8.7M1.2818.1821,86427,923149,483141,294
2015-08-21$188.33$205.0029.6%8.5%20.2%100.0%29.7%5.9%0.2%-6.8M316.2M-9.1M1.4942.8913,76420,483159,603148,279
2015-08-24$181.46$200.0037.8%11.6%23.1%100.0%41.6%12.3%-1.8%-4.7M381.8M-8.7M1.4661.9613,67819,975141,695133,925
2015-08-25$181.16$200.0036.1%10.4%22.7%92.7%35.5%5.1%-2.1%-5.4M424.1M-8.8M1.1056.8313,40314,719146,120140,811
2015-08-26$184.19$200.0032.1%9.5%24.0%75.9%35.7%9.2%-1.4%-3.1M297.7M-9.0M1.7056.169,54516,232152,743146,531
2015-08-27$188.44$200.0029.2%8.4%25.9%63.5%30.4%6.4%-2.1%1.6M99.2M-9.5M1.1955.368,2789,841153,929151,622
2015-08-28$187.49$200.0029.2%8.6%25.9%63.4%30.0%7.3%-1.2%3.7M118.6M-9.4M1.1057.997,7558,524154,323152,820
2015-08-31$189.00$200.0028.2%8.6%26.2%59.1%30.4%6.6%-0.7%5.5M-61.1M-9.4M0.9742.539,5139,216151,632145,454