GS Options History — September 2015

In September 2015, GS traded between $171.89 and $188.65. ATM implied volatility averaged 28.8%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.8% (HV 20d: 30.5%). Max pain ranged from $185.00 to $200.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2015-09-18: Highest Volume — 58,906 contracts
  • 2015-09-28: Largest IV spike — 16.7% change
  • 2015-09-01: Highest IV Rank — 82.0%
  • 2015-09-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.78$171.89$188.65$181.91$173.79
Max Pain$193.33$185.00$200.00$195.00$185.00
ATM IV28.8%24.9%33.6%33.6%29.5%
Expected Move8.4%7.1%10.6%10.6%8.8%
HV 20d30.5%28.0%33.6%28.8%28.0%
HV 60d22.3%20.5%24.5%20.7%24.5%
IV Rank61.3%44.7%82.0%82.0%64.3%
IV Percentile95.0%90.5%99.2%99.2%96.4%
Term Structure-0.1%-1.4%1.1%0.4%-0.5%
VWIV29.8%25.2%38.4%38.4%31.2%
Skew 25d6.6%5.1%8.4%8.4%7.5%
Skew 10d14.2%11.3%19.1%19.1%15.1%
Call IV 25d26.2%22.4%31.4%31.4%27.2%
Put IV 25d32.8%28.1%39.8%39.8%34.7%
Bid-Ask Spread %16.577.6952.8150.1816.79
Gamma HHI0.080.070.120.070.11
Net GEX-9.7M-24.7M2.0M-3.4M-17.5M
Net DEX285.0M-70.6M702.8M331.5M567.0M
Net VEX-8.4M-9.3M-7.5M-9.3M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.431.700.731.22
Total Volume25,373.14313,76058,90625,19518,745
Total OI311,995.619290,272324,963301,970324,963

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$181.91$195.0033.6%10.6%28.8%82.0%38.4%8.4%0.4%-3.4M331.5M-9.3M0.7350.1814,53710,658153,417148,553
2015-09-02$184.13$195.0031.5%8.8%29.3%72.9%33.8%6.3%-1.2%-2.4M243.7M-9.1M1.2652.8110,54513,293154,072152,301
2015-09-03$185.17$200.0028.3%8.3%29.6%59.2%28.5%7.3%0.7%-446.5K201.6M-9.1M0.6918.7312,5388,651155,162154,455
2015-09-04$180.90$200.0032.4%9.2%30.3%76.9%31.6%8.2%0.0%-15.5M430.2M-8.9M0.7715.9019,72615,108153,744155,656
2015-09-08$185.88$195.0028.5%8.4%31.8%60.1%28.8%6.0%0.4%-9.5M112.1M-8.9M0.4315.1110,7754,619152,077154,435
2015-09-09$185.52$195.0028.5%8.4%31.3%60.4%29.3%5.4%0.9%-4.3M113.0M-8.9M1.0811.2512,50413,567156,829156,134
2015-09-10$185.73$195.0028.9%8.5%31.4%61.9%28.6%7.1%1.1%-6.6M120.3M-8.9M1.0610.028,4328,959157,668160,000
2015-09-11$184.88$195.0028.6%8.3%31.3%60.7%29.4%6.4%0.4%-14.3M181.0M-8.7M0.9011.818,7867,887159,703161,629
2015-09-14$183.63$195.0029.4%8.4%31.1%64.1%30.5%6.9%0.5%-11.0M255.0M-8.5M1.089.126,6047,156157,511154,098
2015-09-15$187.45$195.0027.6%7.9%32.4%56.3%27.0%6.5%-1.4%-10.2M11.6M-8.5M1.7010.817,91613,442158,190155,306
2015-09-16$188.65$195.0024.9%7.1%32.6%44.7%25.2%6.1%0.5%-7.8M-70.6M-8.3M1.618.017,69812,364156,717162,669
2015-09-17$186.31$195.0025.7%7.4%32.7%48.0%25.3%5.9%-1.2%-15.9M135.9M-8.3M1.499.9618,50527,619158,276166,615
2015-09-18$180.82$195.0027.1%7.8%33.6%54.0%26.5%6.4%-0.4%1.3M400.3M-7.8M0.997.6929,57229,334149,789163,641
2015-09-21$183.33$195.0025.1%7.2%30.3%45.8%25.2%5.7%0.1%2.0M158.1M-8.1M0.958.9812,47911,866144,949145,323
2015-09-22$178.19$190.0027.6%8.1%29.1%56.1%28.4%5.1%-0.0%-9.5M397.2M-7.8M1.1116.697,6158,436149,292151,819
2015-09-23$179.48$190.0026.7%7.8%29.2%52.5%29.0%6.3%0.3%-5.9M314.0M-8.1M0.848.9910,5708,899153,153154,266
2015-09-24$176.80$190.0028.5%8.5%28.9%60.1%29.7%5.8%0.4%-13.4M461.6M-7.9M1.699.8611,26619,072156,369155,580
2015-09-25$179.60$190.0027.8%8.2%28.2%57.3%30.5%6.3%0.1%-12.4M303.9M-8.1M1.629.9910,20916,548158,649161,711
2015-09-28$173.39$190.0032.5%9.9%30.5%77.1%34.4%7.1%-1.2%-21.7M615.3M-7.5M1.1032.2010,56711,628153,531156,720
2015-09-29$171.89$185.0031.3%9.5%30.2%72.1%34.1%7.5%-1.1%-24.7M702.8M-7.5M1.3312.9514,64219,499157,764159,172
2015-09-30$173.79$185.0029.5%8.8%28.0%64.3%31.2%7.5%-0.5%-17.5M567.0M-7.6M1.2216.798,44010,305163,632161,331