GS Options History — October 2015

In October 2015, GS traded between $173.95 and $191.27. ATM implied volatility averaged 22.3%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.8% (HV 20d: 25.1%). Max pain ranged from $180.00 to $185.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2015-10-15: Highest Volume — 56,283 contracts
  • 2015-10-15: Largest IV drop — 15.1% change
  • 2015-10-01: Highest IV Rank — 63.3%
  • 2015-10-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$183.06$173.95$191.27$173.95$187.84
Max Pain$182.73$180.00$185.00$185.00$185.00
ATM IV22.3%18.7%29.2%29.2%19.6%
Expected Move6.4%5.4%8.9%8.9%5.8%
HV 20d25.1%20.5%28.3%27.5%22.3%
HV 60d25.5%24.3%27.0%24.3%27.0%
IV Rank33.8%18.4%63.3%63.3%21.9%
IV Percentile72.2%50.8%95.2%95.2%60.3%
Term Structure-0.2%-1.2%1.1%-0.3%1.1%
VWIV23.1%19.4%31.6%31.6%20.7%
Skew 25d4.6%2.6%7.0%7.0%3.1%
Skew 10d9.8%3.6%16.2%13.6%3.6%
Call IV 25d20.7%17.1%27.3%27.3%18.0%
Put IV 25d25.3%21.1%34.3%34.3%21.2%
Bid-Ask Spread %30.2812.1068.6819.4748.91
Gamma HHI0.090.070.200.110.08
Net GEX22.8M-18.7M60.3M-18.7M40.9M
Net DEX-48.0M-662.2M564.7M564.7M-395.1M
Net VEX-7.8M-8.3M-7.3M-7.7M-8.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.612.121.351.27
Total Volume25,09213,84356,28313,84319,647
Total OI312,208.045276,895334,601327,051318,651

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$173.95$185.0029.2%8.9%27.5%63.3%31.6%7.0%-0.3%-18.7M564.7M-7.7M1.3519.475,8827,961164,168162,883
2015-10-02$176.70$185.0028.1%8.4%28.1%58.5%29.9%6.4%-0.8%-8.1M364.6M-8.0M0.6117.8518,33811,248167,864163,295
2015-10-05$180.70$180.0025.9%7.1%28.3%48.8%24.8%6.1%-0.6%8.3M100.0M-8.0M0.9217.4216,89715,541165,666152,005
2015-10-06$180.40$180.0025.6%7.1%26.4%47.7%25.7%5.7%-0.1%12.9M125.3M-8.0M1.6418.195,9009,687166,107151,075
2015-10-07$181.90$180.0024.8%7.0%26.6%44.5%24.7%5.5%-0.3%16.3M21.1M-7.9M1.2116.829,43311,388162,645152,623
2015-10-08$181.16$180.0024.6%6.8%26.6%43.3%24.2%5.3%-0.3%10.8M98.9M-7.6M0.8318.0113,25610,938161,159155,228
2015-10-09$179.53$180.0024.4%6.9%26.7%42.6%24.9%6.8%-0.5%7.7M221.3M-7.6M1.4914.528,48512,669167,142156,130
2015-10-12$180.21$180.0023.5%6.6%26.7%38.8%23.6%5.4%-0.5%3.7M206.1M-7.3M1.1513.509,12510,517154,609153,119
2015-10-13$181.08$180.0023.6%6.7%25.6%39.4%23.6%4.7%0.1%9.6M129.0M-7.6M0.8823.0112,45310,920157,482155,093
2015-10-14$179.40$180.0023.7%6.6%25.6%39.6%23.8%6.1%-0.3%3.5M242.1M-7.5M1.0923.6913,55514,752160,069156,694
2015-10-15$185.23$180.0020.1%5.8%28.0%24.3%20.5%4.5%0.1%34.5M-186.6M-7.6M0.9712.1028,61527,668162,563159,793
2015-10-16$185.59$180.0019.9%5.6%25.7%23.4%19.4%4.2%-0.5%49.4M-284.2M-7.8M0.9017.5615,70314,162168,912165,689
2015-10-19$185.63$185.0019.7%5.6%25.3%22.4%21.3%3.5%-0.0%30.7M-186.1M-7.8M1.4225.388,97712,738142,941133,954
2015-10-20$184.45$185.0019.4%5.5%23.1%21.2%21.1%3.9%0.0%25.6M-119.9M-7.7M1.3726.238,52411,675146,346137,874
2015-10-21$179.81$185.0021.7%6.2%24.9%31.1%22.3%2.8%-1.2%11.5M172.9M-7.5M1.1631.5414,45016,738151,428141,008
2015-10-22$183.39$185.0021.1%6.1%25.1%28.3%22.3%3.5%-1.1%27.9M-57.0M-7.8M1.3363.3014,17618,864156,749147,045
2015-10-23$185.76$185.0019.8%5.7%24.9%23.0%21.2%2.6%-0.7%36.4M-274.4M-8.2M1.3262.7412,09216,022162,994152,600
2015-10-26$187.02$185.0019.4%5.6%20.8%21.3%20.2%2.8%-0.0%42.6M-315.5M-8.0M1.0637.6110,70811,383157,118147,105
2015-10-27$186.42$185.0019.1%5.6%20.5%20.2%21.1%3.8%0.2%38.6M-239.6M-8.1M2.1246.424,6289,831159,163148,855
2015-10-28$191.27$185.0018.7%5.4%21.8%18.4%19.4%4.1%-0.2%60.3M-662.2M-8.2M1.1743.1110,95512,839159,725149,344
2015-10-29$189.91$185.0019.3%5.8%22.1%20.9%21.3%2.8%0.8%55.9M-581.2M-8.3M1.0268.6811,20911,475161,877151,787
2015-10-30$187.84$185.0019.6%5.8%22.3%21.9%20.7%3.1%1.1%40.9M-395.1M-8.2M1.2748.918,65310,994164,891153,760