GS Options History — April 2016

In April 2016, GS traded between $150.19 and $167.34. ATM implied volatility averaged 24.5%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.0% (HV 20d: 24.5%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2016-04-19: Highest Volume — 48,524 contracts
  • 2016-04-19: Largest IV drop — 15.2% change
  • 2016-04-07: Highest IV Rank — 47.9%
  • 2016-04-07: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.08$150.19$167.34$159.72$163.97
Max Pain$158.10$155.00$160.00$160.00$160.00
ATM IV24.5%20.5%29.6%23.3%22.9%
Expected Move6.9%5.9%8.4%6.1%6.5%
HV 20d24.5%21.3%26.5%22.3%26.1%
HV 60d31.2%28.4%32.9%32.9%28.4%
IV Rank31.8%19.3%47.9%28.1%26.8%
IV Percentile57.4%36.1%84.5%52.8%47.2%
Term Structure-0.2%-0.9%0.9%0.2%-0.9%
VWIV24.4%21.2%29.4%21.9%25.1%
Skew 25d3.9%2.5%5.1%3.9%4.1%
Skew 10d8.0%4.9%10.5%10.5%9.1%
Call IV 25d23.1%19.7%27.8%22.0%21.9%
Put IV 25d27.0%22.2%32.7%25.9%26.0%
Bid-Ask Spread %8.975.3312.926.918.00
Gamma HHI0.170.090.470.470.15
Net GEX31.4M-4.9M79.2M79.2M25.3M
Net DEX51.8M-437.4M594.7M18.3M-50.3M
Net VEX-5.5M-6.0M-4.8M-5.2M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.421.780.431.78
Total Volume31,717.8118,72248,52439,64023,016
Total OI269,149.81230,988312,319266,999264,450

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$159.72$160.0023.3%6.1%22.3%28.1%21.9%3.9%0.2%79.2M18.3M-5.2M0.436.9127,63012,010129,313137,686
2016-04-04$157.86$155.0024.6%6.8%22.6%32.3%25.1%4.4%-0.5%31.2M185.6M-5.0M0.897.2213,46211,915127,012128,237
2016-04-05$155.31$155.0026.7%7.6%23.0%38.8%25.7%4.8%-0.2%17.3M325.5M-5.1M0.735.3315,08210,961130,787131,696
2016-04-06$154.99$155.0027.1%7.7%21.3%40.0%27.2%4.6%-0.2%19.0M349.0M-5.1M0.486.0715,5637,425139,038134,739
2016-04-07$150.20$155.0029.6%8.4%23.9%47.9%29.4%4.9%-0.5%-4.9M594.7M-4.8M0.768.0325,67119,628143,253135,997
2016-04-08$150.19$155.0029.1%8.3%23.9%46.4%27.4%4.9%-0.7%3.6M589.6M-4.9M0.427.2826,34711,185150,548142,550
2016-04-11$152.42$155.0028.6%8.2%23.2%44.8%27.7%5.1%0.3%8.8M450.4M-4.9M0.557.7715,7798,680145,461136,136
2016-04-12$154.23$155.0027.5%7.8%23.5%41.4%28.9%4.3%-0.4%15.8M345.4M-5.0M0.648.4615,0699,658142,787137,582
2016-04-13$159.74$155.0025.0%7.1%26.3%33.4%25.2%4.2%-0.4%48.4M-42.0M-5.2M0.5012.5331,89815,950145,041138,661
2016-04-14$160.89$160.0024.9%7.1%26.1%33.2%25.0%3.9%-0.3%53.4M-88.9M-5.6M0.4911.1124,50411,923160,412148,245
2016-04-15$158.90$160.0024.0%6.8%26.5%30.1%24.0%4.0%-0.6%23.1M118.1M-5.5M0.749.0020,05614,828161,667150,652
2016-04-18$159.21$160.0025.6%7.3%23.1%35.4%25.5%3.4%-0.3%20.7M133.0M-5.5M0.6912.9221,25414,682116,722114,266
2016-04-19$162.57$160.0021.7%6.2%24.0%23.1%22.2%3.0%0.5%40.4M-87.1M-5.6M0.727.9928,17220,352126,191122,215
2016-04-20$167.34$160.0020.5%5.9%24.8%19.3%21.2%2.5%0.4%53.8M-437.4M-5.8M0.629.8128,78417,856130,500128,008
2016-04-21$165.52$160.0021.7%6.2%25.3%23.0%22.0%2.8%0.2%50.8M-277.2M-5.9M0.8110.9318,10714,708133,644131,546
2016-04-22$166.66$160.0021.4%6.1%25.0%22.1%21.6%2.8%0.9%33.3M-358.8M-6.0M0.718.4716,64311,781136,176135,590
2016-04-25$164.87$160.0022.8%6.4%25.5%26.3%22.3%3.5%-0.4%32.6M-117.7M-5.9M1.298.738,71211,208123,868122,592
2016-04-26$165.74$160.0022.7%6.3%25.5%26.0%22.3%4.0%-0.4%34.9M-184.7M-5.9M0.9811.999,4569,266125,642125,943
2016-04-27$167.13$160.0022.0%6.1%25.5%24.0%21.3%3.1%-0.5%41.4M-301.9M-6.0M0.6810.9214,86310,159128,619128,118
2016-04-28$164.17$160.0022.4%6.3%26.5%25.1%21.8%3.5%-0.7%30.6M-76.0M-5.9M0.958.8111,22210,609130,861129,695
2016-04-29$163.97$160.0022.9%6.5%26.1%26.8%25.1%4.1%-0.9%25.3M-50.3M-6.0M1.788.008,28714,729132,229132,221