GS Options History — February 2016

In February 2016, GS traded between $141.09 and $159.84. ATM implied volatility averaged 34.1%, placing in the 69.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 5.7% (HV 20d: 39.8%). Max pain ranged from $147.00 to $160.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2016-02-03: Highest Volume — 43,742 contracts
  • 2016-02-02: Largest IV spike — 22.1% change
  • 2016-02-08: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$149.42$141.09$159.84$159.84$149.20
Max Pain$151.90$147.00$160.00$160.00$149.00
ATM IV34.1%26.7%46.1%26.7%30.0%
Expected Move9.8%7.7%13.0%7.7%9.1%
HV 20d39.8%34.7%42.4%34.7%38.7%
HV 60d32.9%29.6%34.9%29.6%34.7%
IV Rank69.4%46.0%100.0%52.6%49.1%
IV Percentile93.2%81.0%100.0%81.0%85.3%
Term Structure-0.5%-1.5%0.6%-0.0%-0.2%
VWIV34.9%30.6%43.1%30.6%32.3%
Skew 25d7.4%5.6%10.0%5.6%7.6%
Skew 10d15.3%11.0%21.0%11.0%15.3%
Call IV 25d31.2%24.6%42.1%24.6%26.8%
Put IV 25d38.6%30.2%52.0%30.2%34.4%
Bid-Ask Spread %13.687.7323.137.7316.67
Gamma HHI0.080.050.370.060.06
Net GEX-3.2M-12.4M25.4M-64.9K4.2M
Net DEX546.2M366.6M778.8M366.6M447.5M
Net VEX-4.5M-5.1M-3.9M-4.7M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.511.911.290.97
Total Volume27,350.2515,98243,74217,87315,982
Total OI217,382.65189,809240,304189,809218,366

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$159.84$160.0026.7%7.7%34.7%52.6%30.6%5.6%-0.0%-64.9K366.6M-4.7M1.297.737,80210,07185,067104,742
2016-02-02$151.81$160.0032.6%9.7%37.9%77.9%34.1%6.5%-0.5%-10.2M583.1M-4.3M0.6111.7324,56415,07888,077106,717
2016-02-03$152.70$160.0033.3%10.0%38.0%80.6%36.9%7.8%-0.4%-6.5M535.5M-4.7M1.1823.1320,04223,70099,195114,340
2016-02-04$156.07$155.0032.2%9.1%38.8%75.8%32.1%7.0%-0.4%5.3M377.3M-5.1M1.0710.8611,92512,738105,586119,981
2016-02-05$155.94$155.0033.4%9.5%37.7%81.2%33.5%7.2%-0.3%1.3M384.2M-5.1M1.1710.1612,68114,814104,408122,140
2016-02-08$148.30$155.0040.5%11.1%41.3%100.0%39.9%8.3%-1.2%-11.3M620.3M-4.8M1.4118.8714,01419,74597,647112,974
2016-02-09$148.40$150.0040.4%11.2%40.9%99.7%41.5%8.1%-1.5%-8.5M594.4M-4.8M1.1215.5611,91113,368106,225115,424
2016-02-10$147.45$150.0039.5%11.3%40.9%95.9%38.0%8.0%0.2%-6.3M607.9M-4.8M0.7914.6512,1819,580111,052116,277
2016-02-11$141.09$150.0046.1%13.0%40.8%100.0%43.1%10.0%-0.6%-12.4M778.8M-4.4M0.7118.0622,27515,807112,120117,028
2016-02-12$145.97$150.0040.9%11.7%42.4%83.6%39.9%9.9%-0.4%-10.8M640.9M-4.6M0.7711.1112,7859,808120,354119,950
2016-02-16$148.80$150.0036.0%10.3%41.5%68.3%36.4%8.3%0.3%-6.3M561.1M-4.6M1.0811.479,42710,172107,815113,151
2016-02-17$150.90$150.0032.6%9.3%41.7%57.4%32.4%7.0%-0.4%-5.1M510.3M-4.5M0.9610.1711,40910,929109,980116,380
2016-02-18$147.68$150.0031.8%9.1%42.0%54.8%33.9%6.9%0.6%-5.8M629.2M-4.3M0.9711.9811,06110,738111,010117,695
2016-02-19$146.70$150.0031.7%9.2%41.7%54.6%31.5%6.6%-0.9%-1.9M672.4M-4.1M1.118.8111,02012,212113,274118,727
2016-02-22$148.75$150.0029.0%8.3%40.4%46.0%30.9%6.3%-0.5%-2.7M513.1M-4.1M0.8313.059,4427,81293,04698,617
2016-02-23$145.06$150.0031.0%9.1%39.5%52.5%32.5%6.5%-0.5%-6.4M608.9M-3.9M1.8011.2910,78419,37494,750100,817
2016-02-24$145.25$149.0032.6%9.6%38.5%57.5%34.4%7.2%-0.6%-4.6M592.0M-4.1M1.9114.2713,35825,55198,188107,459
2016-02-25$148.19$147.0030.9%9.0%39.4%52.2%33.1%7.1%-0.9%-658.6K497.5M-4.5M1.2217.5912,03014,715102,297119,169
2016-02-26$150.22$148.0029.9%8.8%38.8%49.0%30.8%7.0%-0.7%25.4M403.2M-4.8M0.5116.5023,85412,246105,524122,084
2016-02-29$149.20$149.0030.0%9.1%38.7%49.1%32.3%7.6%-0.2%4.2M447.5M-4.8M0.9716.678,1187,864106,029112,337