GS Options History — October 2016

In October 2016, GS traded between $161.42 and $178.39. ATM implied volatility averaged 22.0%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.0% (HV 20d: 22.0%). Max pain ranged from $162.50 to $170.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-10-14: Highest Volume — 44,159 contracts
  • 2016-10-18: Largest IV drop — 9.1% change
  • 2016-10-13: Highest IV Rank — 26.6%
  • 2016-10-04: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$171.55$161.42$178.39$161.42$178.39
Max Pain$166.55$162.50$170.00$162.50$170.00
ATM IV22.0%18.2%25.1%24.6%20.8%
Expected Move6.4%5.3%7.6%7.5%6.3%
HV 20d22.0%16.4%24.3%22.3%16.4%
HV 60d18.0%17.3%18.6%18.6%17.3%
IV Rank15.6%2.2%26.6%24.9%11.4%
IV Percentile33.4%2.4%61.5%55.6%21.8%
Term Structure0.1%-1.0%1.3%0.2%0.1%
VWIV22.8%18.7%27.2%26.3%22.9%
Skew 25d4.8%3.5%7.8%5.4%4.7%
Skew 10d9.6%7.7%13.1%10.3%9.6%
Call IV 25d20.1%16.4%23.7%22.7%18.7%
Put IV 25d24.9%20.1%29.6%28.1%23.4%
Bid-Ask Spread %10.346.4615.746.698.85
Gamma HHI0.190.070.670.070.14
Net GEX55.6M-7.2M216.0M-7.2M35.2M
Net DEX-376.9M-783.3M321.5M321.5M-486.5M
Net VEX-5.4M-5.7M-5.0M-5.0M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.631.660.671.12
Total Volume30,480.09516,45844,15933,44816,458
Total OI322,307.714275,585353,081312,586275,585

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$161.42$162.5024.6%7.5%22.3%24.9%26.3%5.4%0.2%-7.2M321.5M-5.0M0.676.6920,04913,399141,049171,537
2016-10-04$162.28$162.5025.1%7.6%22.5%26.3%27.2%5.4%0.2%7.0M213.8M-5.2M0.837.2218,24215,195152,873173,930
2016-10-05$166.33$162.5024.0%7.3%24.3%22.5%26.2%5.4%0.3%32.9M-142.6M-5.6M1.018.9815,74715,949162,730176,226
2016-10-06$167.11$165.0024.4%7.2%24.0%24.0%25.8%5.1%0.4%36.0M-214.1M-5.6M1.4812.779,29213,793164,617178,563
2016-10-07$169.74$165.0023.7%6.9%24.1%21.7%23.6%5.4%-0.2%70.4M-444.4M-5.6M0.6311.7526,32316,483165,791179,750
2016-10-10$171.14$165.0024.3%6.9%23.7%23.7%23.6%6.3%-0.3%49.4M-470.7M-5.5M0.8013.9017,13613,642160,315166,807
2016-10-11$168.94$165.0024.6%7.0%22.1%24.9%24.3%7.8%1.3%39.4M-293.1M-5.5M1.5315.749,83215,008163,080168,596
2016-10-12$169.43$165.0024.9%7.0%22.1%25.6%25.8%4.5%-0.6%41.2M-322.5M-5.5M1.5914.008,26113,129164,059170,302
2016-10-13$167.44$165.0025.1%7.5%22.1%26.6%23.7%5.1%1.3%32.1M-163.1M-5.3M0.7713.8121,07016,140165,616169,810
2016-10-14$170.76$165.0024.3%6.9%22.7%23.6%24.2%5.5%-0.4%65.6M-499.0M-5.6M0.708.4526,02318,136171,758172,874
2016-10-17$169.20$165.0023.3%6.7%23.0%20.3%23.4%4.5%-0.6%46.6M-286.8M-5.4M0.8713.0616,07413,987164,610165,579
2016-10-18$172.41$165.0021.2%6.1%23.8%12.8%21.1%4.0%-1.0%79.0M-567.8M-5.2M0.737.1524,21917,715168,348169,594
2016-10-19$175.03$165.0019.4%5.5%24.3%6.3%19.7%4.2%-0.2%92.1M-783.3M-5.3M0.917.1021,55419,660171,640170,998
2016-10-20$174.85$170.0019.1%5.5%24.3%5.5%20.5%4.1%-0.4%94.1M-718.8M-5.2M1.057.1318,60119,453171,145175,408
2016-10-21$174.78$170.0018.9%5.4%23.4%4.6%19.2%4.0%-0.5%216.0M-643.9M-5.4M0.996.4614,52314,379172,241180,840
2016-10-24$175.23$170.0018.3%5.3%20.9%2.5%18.7%3.6%0.6%37.1M-381.4M-5.4M1.1911.2710,12712,084139,426138,483
2016-10-25$175.44$170.0018.2%5.4%20.8%2.2%19.4%3.7%0.6%38.7M-401.9M-5.4M1.409.709,02612,645143,600140,831
2016-10-26$177.41$170.0018.5%5.5%20.9%3.2%19.7%3.5%0.6%43.9M-543.6M-5.5M1.0311.0212,47012,833145,244144,245
2016-10-27$177.86$170.0019.1%5.7%17.1%5.3%20.5%3.5%0.6%47.6M-576.2M-5.5M1.3211.8110,24013,544148,392145,706
2016-10-28$177.37$170.0020.2%6.0%16.6%9.3%22.1%4.1%0.4%70.5M-509.7M-5.6M1.6610.2610,37417,267148,680147,584
2016-10-31$178.39$170.0020.8%6.3%16.4%11.4%22.9%4.7%0.1%35.2M-486.5M-5.7M1.128.857,7618,697141,164134,421