GS Options History — May 2016

In May 2016, GS traded between $154.18 and $166.21. ATM implied volatility averaged 24.6%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.4% (HV 20d: 24.2%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2016-05-23: Highest Volume — 47,408 contracts
  • 2016-05-11: Largest IV spike — 10.1% change
  • 2016-05-19: Highest IV Rank — 42.9%
  • 2016-05-19: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.65$154.18$166.21$166.21$159.50
Max Pain$161.31$160.00$165.00$160.00$160.00
ATM IV24.6%21.0%28.0%22.8%22.0%
Expected Move7.1%5.8%8.0%6.5%6.2%
HV 20d24.2%21.4%27.3%26.0%24.5%
HV 60d25.1%24.1%28.5%28.2%24.2%
IV Rank31.7%18.6%42.9%26.3%21.7%
IV Percentile54.8%27.8%75.0%46.4%34.5%
Term Structure0.3%-0.4%1.6%0.3%-0.4%
VWIV24.7%20.7%29.2%22.1%21.6%
Skew 25d4.2%3.5%5.1%3.5%4.2%
Skew 10d8.4%7.0%9.9%8.3%9.0%
Call IV 25d23.1%19.6%26.7%20.9%20.6%
Put IV 25d27.3%23.3%31.0%24.4%24.7%
Bid-Ask Spread %8.546.1114.157.7710.10
Gamma HHI0.130.090.170.160.16
Net GEX16.7M-7.9M44.2M31.0M28.9M
Net DEX308.0M-131.8M608.2M-131.8M208.6M
Net VEX-5.4M-5.9M-5.0M-5.9M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.401.830.800.74
Total Volume28,512.2388,59147,40818,47035,658
Total OI272,576.381247,925309,160247,925272,051

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$166.21$160.0022.8%6.5%26.0%26.3%22.1%3.5%0.3%31.0M-131.8M-5.9M0.807.7710,2418,229122,530125,395
2016-05-03$163.11$160.0023.9%6.9%26.2%30.0%23.9%3.9%-0.2%23.9M70.1M-5.8M0.998.028,5328,469125,130126,199
2016-05-04$160.04$160.0025.1%7.5%27.3%33.7%25.8%4.7%-0.0%12.7M260.5M-5.6M0.588.7216,0139,247126,483127,877
2016-05-05$159.30$160.0024.9%7.3%24.5%33.0%24.8%4.3%-0.1%13.4M294.2M-5.6M0.748.6310,2137,584132,127129,877
2016-05-06$158.85$160.0024.5%7.2%24.6%31.8%25.3%4.5%0.3%12.9M336.5M-5.5M0.838.9112,49410,356134,128131,080
2016-05-09$157.43$160.0024.8%7.5%24.5%32.6%25.6%4.0%1.6%8.4M405.3M-5.2M1.109.208,8289,676128,157126,916
2016-05-10$161.39$160.0023.7%7.1%25.6%29.3%23.7%4.2%0.9%28.9M153.3M-5.5M0.408.2725,08710,028130,916128,537
2016-05-11$159.45$160.0026.1%7.6%22.9%36.9%26.6%4.8%0.5%24.7M238.3M-5.6M0.987.0111,00510,776140,433130,446
2016-05-12$157.98$160.0026.1%7.5%23.0%36.9%29.2%4.3%0.1%14.6M349.9M-5.5M1.1112.2110,66411,856142,704132,891
2016-05-13$155.43$160.0026.5%7.8%23.3%38.2%26.6%4.3%1.2%-7.9M513.4M-5.2M0.737.3214,03510,216145,109137,302
2016-05-16$155.40$160.0026.9%7.8%23.2%39.3%27.8%4.7%-0.1%1.8M513.9M-5.2M0.968.2811,84811,432142,590134,980
2016-05-17$155.36$160.0026.9%7.7%21.7%39.5%27.7%5.1%0.4%1.2M530.4M-5.2M1.8314.153,0405,551145,384138,146
2016-05-18$159.60$160.0026.6%7.6%21.4%38.4%27.0%3.9%-0.1%29.7M236.0M-5.4M0.526.7822,31611,607146,711139,904
2016-05-19$154.88$160.0028.0%8.0%23.4%42.9%26.8%4.4%0.4%-3.8M537.9M-5.1M0.566.1127,38315,349152,803141,206
2016-05-20$154.18$165.0025.4%7.2%23.0%34.8%25.0%3.9%0.9%-478.6K608.2M-5.0M0.938.5718,25616,918165,508143,652
2016-05-23$155.50$165.0024.7%7.0%23.3%32.5%23.2%4.3%0.3%5.2M458.9M-5.0M0.446.1832,95214,456126,785126,018
2016-05-24$157.68$165.0023.6%6.6%23.9%27.8%23.2%4.3%0.4%30.7M286.8M-5.4M1.047.5814,51315,032150,427129,822
2016-05-25$161.47$162.5021.7%6.0%25.4%21.8%21.6%3.7%0.1%44.2M53.9M-5.5M0.747.8623,37617,310138,742132,222
2016-05-26$159.23$165.0021.5%6.1%25.1%20.2%20.9%3.9%0.1%25.5M246.0M-5.3M0.808.1320,96716,871143,140137,125
2016-05-27$159.59$165.0021.0%5.8%25.1%18.6%20.7%3.8%0.5%25.6M298.5M-5.4M0.929.5721,02719,346150,350142,301
2016-05-31$159.50$160.0022.0%6.2%24.5%21.7%21.6%4.2%-0.4%28.9M208.6M-5.2M0.7410.1020,49415,164140,327131,724