GS Options History — September 2016

In September 2016, GS traded between $158.90 and $171.49. ATM implied volatility averaged 21.4%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.4% (HV 20d: 15.0%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-09-29: Highest Volume — 48,899 contracts
  • 2016-09-13: Largest IV spike — 17.3% change
  • 2016-09-29: Highest IV Rank — 29.4%
  • 2016-09-29: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.57$158.90$171.49$168.16$161.93
Max Pain$161.07$160.00$165.00$165.00$162.50
ATM IV21.4%17.5%25.9%19.9%24.2%
Expected Move6.3%4.4%7.7%5.4%7.2%
HV 20d15.0%9.2%22.5%12.6%22.5%
HV 60d22.1%17.9%25.2%24.9%19.2%
IV Rank13.3%0.0%29.4%6.7%23.2%
IV Percentile27.2%0.0%65.1%13.9%51.6%
Term Structure0.4%-0.4%2.0%0.1%-0.1%
VWIV22.8%16.3%27.9%18.6%25.8%
Skew 25d5.2%4.2%6.4%4.5%5.1%
Skew 10d10.9%8.0%13.3%10.2%10.1%
Call IV 25d19.4%16.1%23.9%17.7%22.2%
Put IV 25d24.6%20.4%29.4%22.3%27.3%
Bid-Ask Spread %6.674.289.337.526.87
Gamma HHI0.120.080.170.140.08
Net GEX15.7M-16.5M45.4M36.9M-7.1M
Net DEX-8.9M-431.9M476.2M-160.7M324.9M
Net VEX-5.2M-5.5M-4.9M-5.4M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.442.100.901.14
Total Volume26,317.23815,62748,89932,99242,007
Total OI285,145.476263,929322,505282,043322,505

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$168.16$165.0019.9%5.4%12.6%6.7%18.6%4.5%0.1%36.9M-160.7M-5.4M0.907.5217,35015,642131,498150,545
2016-09-02$168.97$165.0017.7%4.4%9.5%0.0%16.3%4.2%0.6%35.8M-233.7M-5.1M0.897.0315,35613,700134,511153,002
2016-09-06$168.90$160.0018.2%5.7%9.5%1.6%22.3%4.3%0.5%33.1M-228.1M-5.1M1.304.287,3949,636124,164145,767
2016-09-07$169.76$160.0018.0%5.6%9.5%0.9%20.8%4.4%0.5%33.6M-285.9M-5.1M1.069.337,6038,024124,875147,879
2016-09-08$171.49$160.0017.5%5.7%9.2%0.0%20.5%4.3%0.4%45.4M-431.9M-5.1M0.676.4316,70611,155126,496149,732
2016-09-09$168.79$160.0020.3%6.2%10.8%9.6%22.8%5.7%0.2%23.1M-226.7M-5.3M0.445.9231,19813,585129,951152,405
2016-09-12$171.28$160.0020.2%6.3%11.5%9.1%23.2%5.7%1.8%33.9M-309.1M-5.5M0.874.9613,05111,409131,162147,107
2016-09-13$166.80$160.0023.6%7.3%14.6%21.3%25.9%6.4%1.8%12.0M-3.9M-5.5M1.147.1711,02712,616133,452149,608
2016-09-14$166.34$160.0022.9%7.1%14.6%18.8%25.7%6.4%1.8%8.9M37.1M-5.4M1.095.498,2669,051135,554152,451
2016-09-15$168.40$160.0021.5%6.2%15.2%13.8%22.2%5.5%0.1%29.6M-112.4M-5.3M0.797.069,5217,510137,125153,425
2016-09-16$166.27$160.0021.3%6.5%15.9%13.0%23.0%5.6%2.0%9.6M26.0M-5.2M1.095.5111,53412,569138,882154,733
2016-09-19$166.18$160.0022.4%6.5%15.9%17.1%23.2%5.6%-0.0%8.3M63.5M-5.1M0.846.5911,7269,898125,367138,562
2016-09-20$166.91$160.0021.5%6.2%16.0%13.7%22.2%5.6%-0.1%14.4M21.3M-5.2M0.956.358,1187,674130,810141,601
2016-09-21$167.31$160.0020.9%6.0%16.0%11.8%21.9%5.2%0.1%20.0M-15.3M-5.1M0.576.9216,6189,468133,333143,515
2016-09-22$168.24$160.0020.6%5.9%15.9%10.9%21.2%5.0%0.2%23.3M-69.9M-5.1M0.896.7810,3549,198141,234144,936
2016-09-23$165.53$162.5021.6%6.2%17.0%14.2%21.2%5.0%-0.2%-950.3K115.1M-5.1M1.066.5612,40013,105142,432146,325
2016-09-26$161.39$162.5024.2%7.0%19.2%23.3%24.4%5.4%-0.4%-7.1M341.8M-4.9M1.506.4212,12618,134135,943143,671
2016-09-27$163.01$160.0023.6%6.9%19.5%21.1%25.2%5.1%0.0%-4.5M254.5M-5.0M1.286.0210,81413,836138,844152,494
2016-09-28$163.48$162.5023.3%6.9%19.0%20.1%24.3%5.0%0.0%-1.8M229.5M-5.0M1.317.8010,55713,827140,466157,552
2016-09-29$158.90$162.5025.9%7.7%21.1%29.4%27.9%5.5%-0.2%-16.5M476.2M-4.9M2.108.9915,78933,110143,582160,559
2016-09-30$161.93$162.5024.2%7.2%22.5%23.2%25.8%5.1%-0.1%-7.1M324.9M-5.1M1.146.8719,59922,408145,930176,575