GS Options History — August 2016

In August 2016, GS traded between $156.01 and $169.30. ATM implied volatility averaged 19.2%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.8% (HV 20d: 16.5%). Max pain ranged from $155.00 to $162.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.84.

Notable Days

2016-08-02: Highest Volume — 46,827 contracts
2016-08-24: Largest IV spike — 9.9% change
2016-08-02: Highest IV Rank — 16.4%
2016-08-02: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$164.02	$156.01	$169.30	$157.99	$169.30
Max Pain	$159.57	$155.00	$162.50	$155.00	$162.50
ATM IV	19.2%	18.1%	21.7%	20.3%	18.5%
Expected Move	5.4%	4.7%	6.1%	5.7%	4.8%
HV 20d	16.5%	12.2%	22.8%	22.8%	12.2%
HV 60d	26.3%	24.9%	27.5%	27.3%	24.9%
IV Rank	4.9%	0.0%	16.4%	11.5%	1.6%
IV Percentile	6.0%	0.0%	23.0%	14.3%	1.6%
Term Structure	0.3%	-0.4%	1.2%	-0.1%	0.2%
VWIV	19.4%	17.4%	21.3%	20.0%	17.4%
Skew 25d	4.1%	3.3%	4.7%	4.2%	4.4%
Skew 10d	8.3%	5.8%	11.0%	7.5%	8.4%
Call IV 25d	17.6%	16.2%	19.9%	18.6%	16.8%
Put IV 25d	21.7%	20.2%	24.2%	22.8%	21.2%
Bid-Ask Spread %	7.70	5.55	10.80	7.14	7.57
Gamma HHI	0.20	0.10	0.34	0.14	0.15
Net GEX	43.5M	8.0M	65.8M	12.8M	47.9M
Net DEX	-205.0M	-460.3M	241.8M	130.5M	-272.1M
Net VEX	-5.3M	-5.6M	-5.1M	-5.2M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.47	1.51	0.96	0.72
Total Volume	24,159.391	13,620	46,827	16,891	40,671
Total OI	285,672.87	258,169	303,168	266,077	279,108

Daily Data (23 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
2016-08-01	$157.99	$155.00	20.3%	5.7%	22.8%	11.5%	20.0%	4.2%	-0.1%	12.8M	130.5M	-5.2M	0.96	7.14	8,608	8,283	125,918	140,159
2016-08-02	$156.01	$155.00	21.7%	6.1%	20.4%	16.4%	20.1%	4.3%	-0.1%	8.0M	241.8M	-5.1M	0.47	9.35	31,774	15,053	128,832	142,041
2016-08-03	$158.23	$155.00	20.9%	5.8%	20.7%	13.7%	20.1%	4.1%	0.1%	37.1M	39.6M	-5.5M	1.03	7.81	10,433	10,785	150,257	145,418
2016-08-04	$157.91	$160.00	20.7%	5.8%	20.8%	12.9%	21.3%	3.9%	-0.1%	29.8M	75.0M	-5.4M	0.54	7.98	17,319	9,371	143,742	146,421
2016-08-05	$161.99	$160.00	18.9%	5.8%	20.9%	5.7%	20.4%	3.5%	-0.0%	46.2M	-264.7M	-5.6M	0.54	7.68	20,574	11,046	152,927	147,398
2016-08-08	$162.85	$160.00	19.2%	5.5%	20.7%	5.7%	21.2%	3.3%	-0.0%	57.0M	-283.3M	-5.5M	1.13	6.18	7,938	8,968	150,174	142,581
2016-08-09	$163.41	$160.00	18.8%	5.3%	17.6%	4.2%	19.9%	3.5%	-0.4%	61.7M	-324.7M	-5.4M	0.80	5.55	12,955	10,324	151,292	144,239
2016-08-10	$162.16	$160.00	19.1%	5.8%	17.9%	4.2%	20.1%	3.5%	1.0%	49.8M	-202.7M	-5.4M	1.43	6.00	5,600	8,020	149,346	145,438
2016-08-11	$164.07	$160.00	18.7%	5.5%	15.2%	2.6%	20.5%	3.6%	0.7%	59.7M	-339.0M	-5.5M	0.98	6.74	9,276	9,063	150,003	147,163
2016-08-12	$163.25	$160.00	18.7%	5.3%	15.2%	2.8%	19.4%	3.7%	-0.1%	50.8M	-276.2M	-5.5M	0.93	6.70	8,482	7,893	151,025	148,874
2016-08-15	$165.62	$160.00	18.5%	5.4%	15.7%	2.0%	19.9%	4.1%	0.9%	62.2M	-419.4M	-5.3M	0.84	7.57	13,832	11,574	146,406	145,241
2016-08-16	$165.84	$160.00	18.9%	5.4%	15.0%	2.4%	19.4%	4.5%	0.9%	65.1M	-433.4M	-5.3M	0.79	5.76	10,875	8,641	148,665	147,474
2016-08-17	$165.67	$160.00	18.9%	5.4%	15.0%	2.0%	19.6%	4.7%	0.9%	65.8M	-415.9M	-5.2M	0.60	8.61	10,793	6,439	149,251	149,292
2016-08-18	$166.06	$160.00	18.7%	5.3%	14.6%	0.6%	18.9%	4.3%	1.0%	60.5M	-435.4M	-5.3M	0.51	7.35	11,625	5,961	150,486	151,183
2016-08-19	$166.25	$160.00	18.1%	5.1%	14.6%	0.0%	18.2%	4.0%	1.2%	29.9M	-460.3M	-5.2M	0.69	7.59	15,717	10,818	150,678	152,490
2016-08-22	$166.43	$160.00	18.2%	5.0%	14.6%	0.4%	18.0%	4.3%	0.4%	33.4M	-160.6M	-5.1M	0.71	7.99	12,500	8,875	124,574	133,595
2016-08-23	$166.27	$160.00	18.5%	5.1%	14.6%	1.5%	18.4%	4.1%	0.2%	38.6M	-169.0M	-5.2M	0.92	10.59	11,377	10,493	131,524	135,684
2016-08-24	$165.30	$160.00	20.4%	5.6%	14.8%	8.1%	20.1%	4.0%	0.0%	34.1M	-105.1M	-5.3M	0.73	10.80	10,942	7,953	133,331	139,408
2016-08-25	$165.93	$160.00	20.7%	5.6%	14.8%	9.4%	20.0%	4.3%	0.0%	37.2M	-126.9M	-5.3M	1.51	8.75	6,259	9,450	135,905	142,889
2016-08-26	$166.20	$160.00	19.5%	5.1%	13.9%	5.0%	18.0%	4.3%	0.1%	31.7M	-150.3M	-5.2M	0.75	8.03	19,456	14,588	137,318	144,768
2016-08-29	$166.79	$160.00	18.3%	4.8%	13.7%	0.8%	17.7%	4.4%	0.3%	38.3M	-135.6M	-5.1M	0.92	6.60	15,920	14,695	124,628	138,724
2016-08-30	$168.85	$162.50	18.1%	4.7%	12.8%	0.0%	17.7%	4.5%	0.1%	43.6M	-226.9M	-5.3M	0.81	8.72	18,983	15,464	128,775	145,831
2016-08-31	$169.30	$162.50	18.5%	4.8%	12.2%	1.6%	17.4%	4.4%	0.2%	47.9M	-272.1M	-5.3M	0.72	7.57	23,693	16,978	131,666	147,442