GS Options History — June 2016

In June 2016, GS traded between $139.51 and $160.00. ATM implied volatility averaged 27.2%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.8% (HV 20d: 24.4%). Max pain ranged from $150.00 to $162.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2016-06-03: Highest Volume — 90,953 contracts
2016-06-24: Largest IV spike — 24.2% change
2016-06-27: Highest IV Rank — 63.0%
2016-06-27: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$149.71	$139.51	$160.00	$160.00	$148.41
Max Pain	$156.59	$150.00	$162.50	$162.50	$150.00
ATM IV	27.2%	22.1%	34.7%	22.7%	26.9%
Expected Move	7.8%	6.4%	10.1%	6.4%	7.2%
HV 20d	24.4%	18.3%	34.9%	23.8%	34.9%
HV 60d	24.5%	22.8%	28.5%	24.1%	28.5%
IV Rank	38.8%	22.3%	63.0%	24.2%	37.7%
IV Percentile	66.5%	36.5%	96.8%	39.3%	63.9%
Term Structure	-0.3%	-1.8%	0.7%	-0.7%	0.0%
VWIV	27.1%	22.0%	35.2%	22.2%	24.8%
Skew 25d	5.3%	3.7%	7.7%	4.1%	4.5%
Skew 10d	11.2%	7.4%	14.9%	9.0%	10.4%
Call IV 25d	25.1%	20.8%	31.4%	21.2%	25.3%
Put IV 25d	30.4%	25.0%	39.1%	25.4%	29.7%
Bid-Ask Spread %	7.47	4.47	10.77	8.81	7.44
Gamma HHI	0.15	0.09	0.29	0.17	0.10
Net GEX	-8.2M	-56.3M	39.9M	38.1M	24.3M
Net DEX	605.7M	155.5M	967.4M	155.5M	288.0M
Net VEX	-4.9M	-5.4M	-4.3M	-5.3M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.43	1.51	0.63	0.43
Total Volume	37,417.682	15,526	90,953	36,227	61,698
Total OI	317,506.818	273,131	364,876	279,436	350,187

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-06-01	$160.00	$162.50	22.7%	6.4%	23.8%	24.2%	22.2%	4.1%	-0.7%	38.1M	155.5M	-5.3M	0.63	8.81	22,265	13,962	145,376	134,060
2016-06-02	$159.19	$160.00	22.1%	6.4%	22.8%	22.3%	22.0%	4.1%	-0.4%	37.0M	210.7M	-5.2M	0.87	6.07	13,182	11,470	153,708	136,885
2016-06-03	$155.77	$160.00	23.5%	6.8%	24.1%	26.7%	22.1%	3.7%	-0.1%	8.0M	459.2M	-4.9M	0.43	6.75	63,687	27,266	157,268	138,115
2016-06-06	$157.16	$160.00	22.6%	6.7%	24.3%	23.7%	23.3%	4.2%	0.7%	39.9M	279.2M	-5.1M	0.68	8.27	11,139	7,526	174,815	145,780
2016-06-07	$155.38	$160.00	22.9%	6.6%	24.4%	24.8%	23.2%	3.8%	0.2%	14.4M	445.3M	-4.9M	0.69	7.25	9,816	6,784	163,240	147,486
2016-06-08	$154.70	$160.00	22.8%	6.6%	22.5%	24.3%	23.4%	4.2%	0.2%	6.7M	503.8M	-4.8M	0.61	7.88	9,620	5,906	166,059	149,774
2016-06-09	$153.34	$160.00	23.4%	6.6%	22.3%	26.5%	24.0%	4.0%	-0.5%	-7.2M	604.6M	-4.7M	0.75	8.94	14,819	11,137	168,635	151,011
2016-06-10	$149.87	$160.00	25.2%	7.4%	23.4%	32.3%	25.6%	4.4%	0.6%	-52.5M	830.2M	-4.6M	1.25	7.36	16,854	21,143	172,879	154,885
2016-06-13	$148.68	$160.00	27.3%	7.8%	23.0%	38.9%	28.2%	6.0%	0.0%	-34.8M	821.4M	-4.6M	1.07	7.39	11,489	12,262	165,739	152,716
2016-06-14	$146.17	$160.00	29.8%	8.5%	23.5%	47.2%	29.7%	5.9%	-0.3%	-44.9M	959.7M	-4.4M	1.34	6.89	13,953	18,765	168,353	155,851
2016-06-15	$146.04	$155.00	29.5%	8.5%	23.5%	46.2%	30.1%	6.3%	-0.5%	-52.6M	967.4M	-4.3M	1.51	5.48	13,870	20,880	171,966	159,626
2016-06-16	$146.60	$155.00	29.3%	8.4%	20.9%	45.5%	28.6%	6.2%	0.1%	-56.3M	935.7M	-4.6M	1.21	4.47	24,709	29,935	174,855	162,999
2016-06-17	$145.77	$155.00	29.3%	8.4%	18.6%	45.5%	27.7%	6.5%	-0.5%	-23.0M	881.8M	-4.8M	0.77	5.98	20,882	16,004	188,160	176,716
2016-06-20	$147.71	$155.00	27.9%	8.0%	19.4%	40.9%	26.7%	6.4%	-0.5%	-14.0M	569.7M	-4.7M	0.65	9.19	20,482	13,407	133,035	140,096
2016-06-21	$148.37	$155.00	28.9%	8.4%	19.2%	44.3%	28.0%	5.5%	-0.7%	-5.6M	527.2M	-4.9M	0.84	7.42	21,482	18,057	143,249	142,795
2016-06-22	$148.37	$155.00	29.8%	8.8%	18.3%	47.0%	30.8%	6.1%	-0.8%	-1.7M	497.8M	-5.2M	0.99	6.54	16,297	16,098	155,783	152,228
2016-06-23	$152.66	$155.00	27.4%	7.9%	19.2%	39.3%	28.5%	5.8%	-0.6%	19.4M	205.4M	-5.4M	1.11	10.39	14,904	16,536	160,876	158,943
2016-06-24	$142.13	$155.00	34.0%	10.1%	30.9%	60.7%	34.0%	7.7%	-1.8%	-19.4M	925.5M	-4.8M	1.31	10.77	29,794	39,019	162,788	164,461
2016-06-27	$139.51	$152.50	34.7%	10.1%	31.1%	63.0%	35.2%	7.5%	-0.9%	-27.4M	920.4M	-4.7M	0.99	6.91	16,484	16,269	157,667	157,839
2016-06-28	$142.28	$150.00	30.6%	8.5%	32.4%	49.9%	30.3%	5.6%	0.1%	-24.1M	787.6M	-4.9M	0.87	8.01	21,615	18,862	163,516	163,123
2016-06-29	$145.47	$150.00	28.7%	7.9%	33.8%	43.6%	28.1%	4.8%	-0.3%	-5.2M	549.5M	-5.2M	0.63	6.17	20,131	12,729	172,701	168,906
2016-06-30	$148.41	$150.00	26.9%	7.2%	34.9%	37.7%	24.8%	4.5%	0.0%	24.3M	288.0M	-5.3M	0.43	7.44	42,994	18,704	179,637	170,550