GS Options History — March 2016

In March 2016, GS traded between $150.04 and $157.88. ATM implied volatility averaged 25.7%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.1% (HV 20d: 28.8%). Max pain ranged from $149.00 to $160.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-03-23: Highest Volume — 40,382 contracts
  • 2016-03-11: Largest IV drop — 12.2% change
  • 2016-03-10: Highest IV Rank — 46.0%
  • 2016-03-10: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$154.01$150.04$157.88$154.47$157.27
Max Pain$159.00$149.00$160.00$149.00$160.00
ATM IV25.7%22.5%29.0%26.8%24.0%
Expected Move7.3%6.2%8.4%8.0%6.4%
HV 20d28.8%21.8%40.7%40.7%21.9%
HV 60d33.8%32.3%35.5%35.5%32.9%
IV Rank35.7%25.6%46.0%39.2%30.1%
IV Percentile68.3%54.4%81.3%73.4%59.5%
Term Structure0.5%-0.4%2.2%-0.1%-0.1%
VWIV25.8%22.6%30.1%30.1%22.8%
Skew 25d5.4%3.8%6.5%6.5%4.1%
Skew 10d11.2%7.6%15.3%13.7%9.7%
Call IV 25d23.7%21.0%26.2%24.4%22.5%
Put IV 25d29.0%24.9%32.1%30.9%26.6%
Bid-Ask Spread %8.004.3616.2416.246.34
Gamma HHI0.130.070.180.080.18
Net GEX17.6M-664.7K58.6M11.6M31.1M
Net DEX303.6M-102.4M487.9M255.3M190.9M
Net VEX-4.9M-5.3M-4.5M-5.0M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.431.210.700.91
Total Volume24,823.22713,47140,38226,93318,571
Total OI243,446.091221,976281,011221,976262,818

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$154.47$149.0026.8%8.0%40.7%39.2%30.1%6.5%-0.1%11.6M255.3M-5.0M0.7016.2415,86711,066107,924114,052
2016-03-02$154.02$149.0026.3%7.8%36.3%37.5%29.6%5.9%-0.0%14.0M277.7M-4.9M0.9915.428,2758,218109,635116,607
2016-03-03$155.45$160.0025.9%7.5%36.3%36.3%25.9%6.4%-0.1%17.6M212.8M-5.0M0.788.929,6187,547111,014117,857
2016-03-04$156.88$160.0024.6%7.5%35.6%32.0%24.2%5.9%0.0%27.0M145.5M-5.1M0.509.0920,52710,179112,446119,223
2016-03-07$155.25$160.0025.7%7.5%35.8%35.7%26.1%6.2%0.6%14.3M266.8M-4.9M1.218.676,1027,369111,559113,916
2016-03-08$151.63$160.0027.0%8.1%32.0%39.7%28.9%6.1%1.3%4.3M420.4M-4.7M1.057.578,9839,433111,102115,837
2016-03-09$150.04$160.0028.0%8.1%32.2%43.0%28.3%6.2%0.4%-664.7K487.9M-4.7M0.946.868,7088,224113,725117,865
2016-03-10$150.59$160.0029.0%8.4%32.1%46.0%26.9%5.9%0.4%2.0M451.1M-4.8M0.435.5325,80411,222116,611119,528
2016-03-11$153.87$160.0025.4%7.4%28.1%34.8%25.2%5.6%0.6%14.4M278.9M-4.9M0.724.3616,69312,011127,181122,940
2016-03-14$153.22$160.0026.3%7.5%25.9%37.6%26.9%5.5%2.2%14.2M330.0M-4.9M1.134.707,2678,184121,565118,916
2016-03-15$152.03$160.0027.4%7.9%25.4%40.9%26.9%5.6%-0.2%10.9M382.5M-4.7M0.925.3710,1859,360123,993121,122
2016-03-16$150.77$160.0025.6%7.3%25.1%35.3%25.0%4.9%1.5%7.4M436.3M-4.5M0.5611.8019,62210,977126,271122,457
2016-03-17$152.11$160.0025.1%7.2%23.9%33.8%25.1%4.1%1.0%18.7M365.3M-4.7M0.7510.4812,9429,657131,225126,147
2016-03-18$157.88$160.0022.5%6.2%26.9%25.6%22.6%3.8%2.2%58.6M-102.4M-5.3M0.575.1323,96213,642153,057127,954
2016-03-21$156.78$160.0023.7%6.5%26.8%29.3%22.8%5.1%0.3%29.9M199.9M-4.9M0.637.3513,7978,661118,127111,287
2016-03-22$154.20$160.0024.7%6.7%25.8%32.4%24.7%4.5%-0.4%21.7M367.5M-4.8M0.846.6314,87912,542122,742114,488
2016-03-23$154.16$160.0025.1%6.8%25.8%33.7%25.6%4.9%0.2%26.2M361.9M-5.0M0.817.3122,32218,060128,392120,004
2016-03-24$152.90$160.0026.3%7.0%25.3%37.4%26.0%5.2%-0.2%15.1M392.1M-5.1M1.136.8915,83017,906133,886129,742
2016-03-28$153.66$160.0026.6%7.3%24.9%38.5%24.6%4.8%0.2%7.9M386.8M-5.0M0.947.0813,70112,839120,301129,148
2016-03-29$155.01$160.0025.6%6.9%24.9%35.3%25.8%5.2%0.3%16.7M312.2M-5.0M1.007.039,6929,723123,510130,562
2016-03-30$156.14$160.0024.7%6.6%21.8%32.5%23.2%5.4%0.3%24.9M260.1M-5.0M0.727.2915,05010,894125,735133,343
2016-03-31$157.27$160.0024.0%6.4%21.9%30.1%22.8%4.1%-0.1%31.1M190.9M-5.1M0.916.349,7268,845127,203135,615