GS Options History — November 2015

In November 2015, GS traded between $188.67 and $199.17. ATM implied volatility averaged 21.3%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.4% (HV 20d: 22.8%). Max pain ranged from $185.00 to $190.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2015-11-06: Highest Volume — 49,801 contracts
  • 2015-11-12: Largest IV spike — 12.7% change
  • 2015-11-13: Highest IV Rank — 39.9%
  • 2015-11-13: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$192.43$188.67$199.17$189.69$190.02
Max Pain$189.25$185.00$190.00$185.00$190.00
ATM IV21.3%19.4%23.8%19.4%21.5%
Expected Move6.2%5.7%6.9%5.7%6.5%
HV 20d22.8%20.5%24.9%21.3%20.5%
HV 60d26.2%23.7%28.3%27.0%23.7%
IV Rank29.6%21.2%39.9%21.2%30.3%
IV Percentile70.6%57.1%82.9%57.1%70.6%
Term Structure0.1%-0.7%1.4%0.7%-0.1%
VWIV22.1%20.1%24.5%20.1%22.7%
Skew 25d2.9%2.5%3.4%2.9%3.0%
Skew 10d5.8%3.1%7.8%6.0%5.7%
Call IV 25d20.6%18.6%22.8%19.1%20.5%
Put IV 25d23.4%21.7%25.8%22.0%23.5%
Bid-Ask Spread %18.686.9840.3840.3812.66
Gamma HHI0.100.080.140.090.09
Net GEX55.7M21.4M92.7M53.5M35.9M
Net DEX-642.4M-1.35B-170.7M-522.1M-308.8M
Net VEX-8.1M-8.5M-7.7M-8.0M-7.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.291.641.400.29
Total Volume20,968.512,99449,80113,94713,876
Total OI324,477.15299,473342,651309,740317,763

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$189.69$185.0019.4%5.7%21.3%21.2%20.1%2.9%0.7%53.5M-522.1M-8.0M1.4040.385,8028,145161,635148,105
2015-11-03$191.41$185.0019.6%5.7%21.4%22.1%20.1%3.4%-0.1%61.6M-668.2M-8.1M1.0731.147,9988,547162,959149,342
2015-11-04$191.71$185.0019.7%5.7%21.3%22.4%20.5%2.8%0.1%62.7M-687.4M-8.2M0.9725.699,1658,906164,625151,405
2015-11-05$192.31$190.0020.1%6.0%21.2%24.2%20.8%3.4%0.3%67.5M-735.1M-8.4M0.7917.8010,8888,634165,783152,772
2015-11-06$199.17$190.0019.9%5.9%23.5%23.3%21.3%2.7%0.1%68.1M-1.35B-8.2M0.3520.2736,83612,965164,518154,287
2015-11-09$196.76$190.0021.2%6.5%24.3%28.9%22.6%2.7%1.4%75.4M-1.09B-8.4M0.3618.4715,6125,662167,230152,072
2015-11-10$197.76$190.0020.8%6.1%24.3%27.1%21.6%2.7%0.4%88.2M-1.18B-8.3M0.7417.3311,4908,473172,795153,721
2015-11-11$198.13$190.0020.8%6.1%23.8%27.1%22.2%2.6%0.4%92.7M-1.21B-8.3M1.6436.004,9318,063174,687155,930
2015-11-12$192.77$190.0023.4%6.7%24.2%38.4%24.5%2.9%0.0%56.7M-697.0M-8.3M0.9519.0615,71615,000173,515157,253
2015-11-13$190.40$190.0023.8%6.9%24.7%39.9%23.9%3.0%0.6%41.2M-442.5M-8.5M1.0717.0113,54714,461177,156164,832
2015-11-16$192.16$190.0023.6%6.8%24.8%39.3%23.9%3.1%-0.7%58.9M-589.2M-8.3M0.6516.999,5406,183169,274160,117
2015-11-17$190.74$190.0023.7%6.8%24.9%39.6%24.1%3.0%-0.4%50.1M-464.1M-8.2M1.2116.956,1637,470170,049162,999
2015-11-18$193.71$190.0021.9%6.3%23.2%32.1%22.1%2.8%0.2%73.2M-750.7M-8.1M0.7214.729,5946,936171,140164,155
2015-11-19$193.14$190.0021.4%6.1%22.5%29.7%21.5%2.8%0.4%71.1M-687.7M-8.0M0.6716.6112,3278,286172,555165,186
2015-11-20$191.33$190.0020.9%6.0%22.5%27.7%21.1%2.7%-0.4%35.3M-481.6M-8.1M0.936.9810,3649,609175,284167,367
2015-11-23$189.19$190.0020.9%6.1%22.9%27.9%22.0%3.0%0.2%25.6M-208.2M-7.7M0.6310.3517,18610,817152,509146,964
2015-11-24$188.67$190.0022.0%6.4%22.8%32.2%22.3%2.9%-0.1%21.4M-170.7M-7.9M0.769.528,8706,719163,323154,151
2015-11-25$189.12$190.0021.2%6.2%20.9%29.0%22.6%2.8%0.0%27.3M-218.2M-7.9M0.7313.7012,4619,061166,669156,781
2015-11-27$190.47$190.0021.2%6.2%20.9%28.8%21.5%2.5%0.0%48.1M-375.1M-7.9M0.5611.9714,7638,304169,986158,649
2015-11-30$190.02$190.0021.5%6.5%20.5%30.3%22.7%3.0%-0.1%35.9M-308.8M-7.8M0.2912.6610,7493,127161,757156,006