GS Options History — July 2016

In July 2016, GS traded between $144.55 and $163.26. ATM implied volatility averaged 22.9%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 10.7% (HV 20d: 33.6%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-07-12: Highest Volume — 56,200 contracts
  • 2016-07-05: Largest IV spike — 10.2% change
  • 2016-07-05: Highest IV Rank — 43.8%
  • 2016-07-05: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$156.82$144.55$163.26$148.79$158.78
Max Pain$149.00$140.00$155.00$150.00$155.00
ATM IV22.9%19.2%28.8%26.1%19.2%
Expected Move6.4%5.4%8.0%6.7%5.4%
HV 20d33.6%22.6%38.5%34.3%22.6%
HV 60d28.1%27.3%28.8%27.8%27.3%
IV Rank23.0%7.5%43.8%35.2%7.5%
IV Percentile33.0%6.3%76.2%58.7%6.3%
Term Structure0.1%-1.0%0.9%-0.3%0.5%
VWIV22.6%19.2%28.7%24.2%19.2%
Skew 25d4.0%3.1%5.9%4.3%3.4%
Skew 10d8.2%6.0%11.7%8.5%6.2%
Call IV 25d21.3%18.0%26.8%24.7%18.0%
Put IV 25d25.4%21.2%31.9%29.0%21.4%
Bid-Ask Spread %7.85-1.9017.426.787.61
Gamma HHI0.160.100.250.120.16
Net GEX26.0M-13.3M69.3M23.6M16.7M
Net DEX-81.2M-792.4M642.3M196.5M56.4M
Net VEX-5.4M-5.6M-5.1M-5.5M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.461.551.231.19
Total Volume31,489.4518,67456,20033,05922,590
Total OI315,130.1255,622366,753362,881284,117

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$148.79$150.0026.1%6.7%34.3%35.2%24.2%4.3%-0.3%23.6M196.5M-5.5M1.236.7814,81518,244188,234174,647
2016-07-05$144.55$140.0028.8%8.0%35.3%43.8%28.7%5.2%-0.4%-12.1M642.3M-5.1M1.556.8914,85023,051172,915159,060
2016-07-06$145.76$140.0028.5%7.9%35.4%43.0%28.2%4.1%-0.4%-13.3M562.9M-5.1M0.897.2413,98912,480176,561169,860
2016-07-07$146.69$140.0028.4%8.0%35.6%42.8%26.2%5.3%-0.5%-5.5M477.3M-5.2M0.748.5016,00211,854178,697171,551
2016-07-08$150.36$140.0026.1%7.2%36.8%35.1%25.1%5.9%0.4%26.4M142.7M-5.2M0.768.1320,45815,475180,521173,139
2016-07-11$152.14$145.0025.3%7.3%36.1%32.4%24.6%5.5%0.3%31.5M61.1M-5.2M0.548.3317,1979,333176,091166,092
2016-07-12$157.18$145.0024.5%7.0%37.6%29.8%23.5%4.7%0.0%54.5M-389.9M-5.3M0.468.4538,46517,735180,860167,767
2016-07-13$157.95$145.0024.4%6.7%36.9%29.6%24.2%3.9%-1.0%49.1M-395.2M-5.5M0.48-1.9025,87212,388178,955173,692
2016-07-14$162.58$145.0022.9%6.4%37.9%24.7%23.3%3.6%-0.8%69.3M-792.4M-5.4M0.4810.2635,60817,094180,740177,186
2016-07-15$161.73$150.0022.3%6.4%38.1%22.8%23.0%3.3%0.2%30.1M-763.2M-5.5M0.867.4912,89711,028183,599183,154
2016-07-18$163.26$150.0021.6%6.1%37.9%20.4%21.6%3.1%-0.1%30.9M-379.3M-5.4M0.6317.4225,93916,450128,771126,851
2016-07-19$161.41$150.0019.6%5.6%38.3%13.2%19.5%3.8%-0.0%25.7M-211.4M-5.3M0.6410.6330,56619,506133,314135,068
2016-07-20$161.66$155.0019.5%5.6%38.3%12.6%20.3%3.7%0.3%38.1M-258.9M-5.6M1.009.7713,40413,394147,664144,180
2016-07-21$160.26$155.0020.5%5.9%38.5%15.9%20.8%4.0%0.1%21.8M-116.1M-5.6M1.207.589,31311,171142,016149,185
2016-07-22$160.37$155.0019.4%5.5%37.4%8.4%19.4%3.3%0.5%19.6M-147.6M-5.5M1.197.5110,28212,186142,998150,741
2016-07-25$160.43$155.0020.4%5.8%25.3%11.9%20.4%3.6%0.5%25.7M-69.7M-5.5M0.875.5613,05811,373130,730141,232
2016-07-26$161.07$155.0020.1%5.7%23.6%10.7%19.7%3.3%0.9%30.3M-100.0M-5.5M1.267.088,27810,396130,548143,445
2016-07-27$160.77$155.0019.7%5.6%23.4%9.2%19.3%3.3%0.6%29.4M-78.8M-5.5M1.107.3710,93312,026131,501145,652
2016-07-28$160.58$155.0020.0%5.7%22.7%10.5%19.8%3.4%0.7%28.7M-61.9M-5.5M1.086.389,66310,426133,215148,053
2016-07-29$158.78$155.0019.2%5.4%22.6%7.5%19.2%3.4%0.5%16.7M56.4M-5.3M1.197.6110,33712,253135,334148,783