GS Options History — December 2015

In December 2015, GS traded between $175.92 and $193.07. ATM implied volatility averaged 24.5%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.8% (HV 20d: 27.3%). Max pain ranged from $180.00 to $190.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.79.

Notable Days

2015-12-11: Highest Volume — 64,139 contracts
2015-12-11: Largest IV spike — 27.0% change
2015-12-14: Highest IV Rank — 71.6%
2015-12-14: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$182.76	$175.92	$193.07	$193.07	$180.81
Max Pain	$182.95	$180.00	$190.00	$190.00	$180.00
ATM IV	24.5%	20.9%	31.2%	20.9%	23.8%
Expected Move	7.0%	6.1%	8.9%	6.3%	6.5%
HV 20d	27.3%	21.0%	32.7%	21.0%	31.9%
HV 60d	25.0%	23.0%	26.6%	23.4%	25.2%
IV Rank	43.1%	27.7%	71.6%	27.7%	40.0%
IV Percentile	80.6%	65.5%	96.8%	65.5%	80.6%
Term Structure	-0.1%	-0.8%	0.7%	0.0%	-0.4%
VWIV	24.6%	21.9%	30.8%	22.4%	22.6%
Skew 25d	3.7%	2.8%	4.6%	2.9%	4.0%
Skew 10d	7.5%	5.0%	10.9%	6.0%	7.2%
Call IV 25d	23.3%	19.9%	30.1%	19.9%	22.3%
Put IV 25d	27.0%	22.8%	34.4%	22.8%	26.3%
Bid-Ask Spread %	14.57	6.62	26.40	6.62	12.80
Gamma HHI	0.10	0.07	0.12	0.11	0.12
Net GEX	11.1M	-25.4M	57.6M	57.6M	5.9M
Net DEX	139.5M	-604.6M	782.2M	-604.6M	239.3M
Net VEX	-6.9M	-7.8M	-5.8M	-7.8M	-5.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.45	1.91	0.50	0.77
Total Volume	24,141.818	11,470	64,139	16,624	14,831
Total OI	339,880.682	321,024	360,158	321,024	336,542

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-12-01	$193.07	$190.00	20.9%	6.3%	21.0%	27.7%	22.4%	2.9%	0.0%	57.6M	-604.6M	-7.8M	0.50	6.62	11,051	5,573	164,406	156,618
2015-12-02	$190.14	$190.00	21.7%	6.6%	21.5%	31.2%	23.4%	2.8%	0.0%	38.4M	-359.0M	-7.8M	0.75	7.72	9,811	7,336	167,334	158,052
2015-12-03	$185.43	$185.00	23.7%	6.8%	23.2%	39.8%	24.0%	3.2%	-0.3%	6.8M	66.6M	-7.7M	0.85	9.37	12,991	11,096	169,236	158,941
2015-12-04	$190.08	$185.00	21.0%	6.1%	25.0%	28.2%	21.9%	2.8%	-0.1%	33.1M	-370.2M	-7.7M	0.45	10.95	17,643	7,877	172,715	161,271
2015-12-07	$185.49	$185.00	23.1%	6.7%	22.5%	37.1%	23.5%	3.0%	0.3%	9.4M	22.2M	-7.4M	0.47	10.03	16,512	7,744	171,143	155,902
2015-12-08	$183.17	$185.00	24.3%	6.9%	22.6%	42.2%	25.1%	3.0%	-0.1%	-4.0M	233.6M	-7.3M	0.76	10.45	11,951	9,064	174,309	157,853
2015-12-09	$180.71	$185.00	25.6%	7.3%	22.6%	47.5%	25.0%	3.5%	-0.1%	-10.3M	417.6M	-7.1M	0.49	10.21	23,396	11,518	177,660	157,377
2015-12-10	$181.93	$180.00	24.5%	7.2%	22.8%	42.9%	23.9%	3.3%	0.6%	-9.7M	291.2M	-7.2M	0.91	14.86	11,429	10,451	180,998	159,376
2015-12-11	$176.09	$180.00	31.1%	8.9%	23.6%	71.1%	29.9%	4.4%	-0.2%	-5.8M	694.6M	-7.0M	0.63	16.89	39,417	24,722	181,796	162,397
2015-12-14	$175.92	$180.00	31.2%	8.9%	23.4%	71.6%	30.8%	4.6%	-0.8%	-9.4M	640.7M	-7.1M	0.75	17.93	13,453	10,127	189,402	167,122
2015-12-15	$182.34	$180.00	27.0%	7.8%	27.0%	53.9%	26.5%	4.4%	-0.8%	7.7M	155.0M	-7.4M	0.61	19.59	15,825	9,586	181,916	169,506
2015-12-16	$186.63	$185.00	23.5%	6.7%	28.5%	38.7%	23.2%	3.9%	-0.2%	34.2M	-257.0M	-7.2M	0.51	25.09	18,753	9,540	183,418	171,225
2015-12-17	$182.84	$185.00	23.2%	6.6%	28.6%	37.4%	24.2%	4.1%	0.7%	3.4M	140.6M	-6.9M	1.19	16.83	9,437	11,232	184,535	171,678
2015-12-18	$175.95	$185.00	27.9%	8.0%	31.2%	57.8%	27.8%	4.0%	-0.3%	-25.4M	782.2M	-6.7M	0.59	13.69	26,429	15,574	184,775	175,383
2015-12-21	$177.59	$185.00	26.0%	7.4%	31.6%	49.5%	26.2%	4.0%	-0.3%	-9.3M	507.4M	-6.5M	0.76	26.40	9,272	7,018	175,932	162,304
2015-12-22	$179.95	$180.00	25.1%	7.1%	32.0%	45.8%	25.0%	4.0%	-0.5%	2.8M	296.3M	-6.7M	0.80	16.02	12,908	10,329	178,599	163,241
2015-12-23	$182.73	$180.00	22.8%	6.4%	32.6%	35.7%	23.1%	3.1%	0.1%	15.7M	3.5M	-6.7M	0.81	11.61	10,075	8,180	180,934	165,720
2015-12-24	$182.47	$180.00	22.4%	6.1%	32.6%	34.3%	22.3%	3.7%	0.4%	6.9M	31.8M	-6.4M	0.87	20.59	6,502	5,632	181,578	167,747
2015-12-28	$181.64	$180.00	23.6%	6.6%	32.4%	39.3%	23.4%	4.0%	-0.0%	19.0M	129.8M	-6.2M	0.98	12.53	7,059	6,910	171,866	158,879
2015-12-29	$183.67	$180.00	23.4%	6.5%	32.7%	38.2%	22.7%	4.3%	-0.2%	42.4M	-73.8M	-6.1M	1.91	18.11	10,801	20,595	172,836	160,308
2015-12-30	$182.15	$180.00	23.3%	6.4%	32.1%	38.1%	23.8%	3.7%	-0.1%	35.2M	81.8M	-6.0M	1.08	12.32	5,526	5,944	176,245	158,300
2015-12-31	$180.81	$180.00	23.8%	6.5%	31.9%	40.0%	22.6%	4.0%	-0.4%	5.9M	239.3M	-5.8M	0.77	12.80	8,369	6,462	177,042	159,500