GS Options History — January 2016

In January 2016, GS traded between $151.27 and $176.75. ATM implied volatility averaged 30.3%, placing in the 67.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.9% (HV 20d: 31.2%). Max pain ranged from $160.00 to $180.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.89.

Notable Days

  • 2016-01-07: Highest Volume — 34,151 contracts
  • 2016-01-07: Largest IV spike — 13.7% change
  • 2016-01-15: Highest IV Rank — 85.7%
  • 2016-01-20: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.68$151.27$176.75$176.75$158.40
Max Pain$167.76$160.00$180.00$180.00$160.00
ATM IV30.3%26.4%34.5%26.4%28.0%
Expected Move8.5%7.5%9.7%7.6%8.1%
HV 20d31.2%28.3%34.2%31.6%34.2%
HV 60d27.7%25.6%29.7%25.6%29.6%
IV Rank67.8%51.3%85.7%51.3%57.8%
IV Percentile92.9%84.5%99.2%87.7%84.5%
Term Structure-0.6%-2.1%0.4%-0.0%0.0%
VWIV30.3%25.8%34.0%27.4%32.0%
Skew 25d5.5%4.1%7.0%4.2%5.5%
Skew 10d11.3%8.5%14.2%8.6%11.7%
Call IV 25d28.4%25.2%32.9%25.2%25.5%
Put IV 25d33.9%29.4%38.9%29.4%31.1%
Bid-Ask Spread %13.005.1721.7520.668.19
Gamma HHI0.100.060.210.110.08
Net GEX-15.6M-32.0M3.6M-16.6M3.6M
Net DEX823.5M423.3M1.31B552.6M423.3M
Net VEX-4.5M-5.5M-3.9M-5.5M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.631.221.121.17
Total Volume22,768.94713,11934,15122,06713,119
Total OI261,484.053157,392352,258317,510191,976

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$176.75$180.0026.4%7.6%31.6%51.3%27.4%4.2%-0.0%-16.6M552.6M-5.5M1.1220.6610,42211,645167,384150,126
2016-01-05$173.93$175.0027.2%7.5%30.3%54.7%25.8%4.1%-0.5%-27.5M749.8M-5.3M0.7315.0412,5289,130169,821154,199
2016-01-06$170.09$175.0028.4%7.9%30.1%59.7%27.4%4.3%-0.4%-31.9M974.2M-4.9M0.6320.4913,4358,507174,360156,144
2016-01-07$165.24$175.0032.3%8.7%31.2%76.3%30.3%4.5%-1.2%-32.0M1.18B-4.7M0.6720.6720,45413,697177,170157,969
2016-01-08$164.06$170.0032.0%8.7%31.1%75.0%29.6%5.3%-1.1%-26.0M1.22B-4.7M0.9321.7514,64013,561183,847160,146
2016-01-11$165.89$170.0031.6%8.6%31.4%73.2%29.3%5.4%-1.5%-25.0M1.09B-4.9M1.2219.2010,26212,514179,949159,304
2016-01-12$166.08$170.0030.1%8.2%29.6%67.1%27.7%4.5%-2.1%-21.8M1.12B-4.8M0.7717.0410,3047,914182,839162,615
2016-01-13$158.84$170.0032.7%9.0%33.1%78.0%30.8%6.3%-0.8%-31.6M1.30B-4.3M0.8712.9113,38611,594183,950158,645
2016-01-14$161.61$170.0031.1%8.6%30.6%71.2%30.7%4.8%-1.0%-25.3M1.20B-4.5M0.7611.4513,51410,261189,021161,408
2016-01-15$155.65$170.0034.5%9.7%30.5%85.7%33.5%6.0%-1.2%-8.2M1.31B-4.2M1.0313.9315,34315,732192,490159,768
2016-01-19$156.87$165.0031.4%8.9%30.7%72.4%31.8%6.3%0.4%-7.9M545.6M-4.3M0.9311.9214,79513,73074,82582,567
2016-01-20$154.20$165.0033.9%9.7%28.8%83.1%34.0%7.0%-0.5%-9.0M590.4M-4.3M0.669.9715,43010,24179,78688,720
2016-01-21$151.87$165.0031.7%9.1%28.3%73.8%31.4%6.8%-0.3%-11.8M651.9M-4.0M0.757.5010,3847,78383,75591,358
2016-01-22$156.60$165.0027.5%7.9%30.6%56.1%27.4%5.3%0.2%-7.0M537.9M-4.2M0.848.2911,5619,65786,48893,014
2016-01-25$151.27$162.5030.3%8.9%30.9%67.7%31.0%6.2%-0.2%-7.2M621.8M-3.9M0.815.1711,0178,86979,71887,203
2016-01-26$154.59$160.0028.7%8.4%32.7%61.1%33.3%6.3%-0.2%-4.5M538.4M-4.3M1.197.579,25411,02584,81891,106
2016-01-27$153.76$160.0029.4%8.6%32.7%64.1%33.4%6.4%-0.6%-4.8M566.9M-4.3M1.107.928,8969,75087,30595,947
2016-01-28$157.21$160.0028.3%8.3%33.8%59.3%29.5%5.5%-0.1%-1.3M464.1M-4.6M0.677.3510,9077,34989,26099,196
2016-01-29$158.40$160.0028.0%8.1%34.2%57.8%32.0%5.5%0.0%3.6M423.3M-4.6M1.178.196,0457,07491,342100,634