GS Options History — November 2016

In November 2016, GS traded between $175.77 and $219.76. ATM implied volatility averaged 23.0%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.3% (HV 20d: 24.3%). Max pain ranged from $170.00 to $205.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2016-11-10: Highest Volume — 117,624 contracts
  • 2016-11-10: Largest IV spike — 18.8% change
  • 2016-11-14: Highest IV Rank — 30.5%
  • 2016-11-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$200.08$175.77$219.76$178.16$219.76
Max Pain$182.14$170.00$205.00$170.00$205.00
ATM IV23.0%20.9%26.3%22.7%21.6%
Expected Move6.8%6.0%7.5%7.0%6.7%
HV 20d24.3%14.7%29.9%16.5%29.9%
HV 60d21.7%17.2%24.6%17.3%24.6%
IV Rank19.2%11.6%30.5%18.0%14.2%
IV Percentile39.9%19.0%68.3%36.5%27.0%
Term Structure-0.0%-0.6%1.8%0.1%-0.3%
VWIV24.7%21.9%27.5%24.7%24.1%
Skew 25d4.4%3.2%6.4%4.7%3.5%
Skew 10d8.4%5.9%13.1%11.8%6.7%
Call IV 25d21.5%19.0%25.1%20.8%20.5%
Put IV 25d25.9%23.3%29.4%25.4%24.1%
Bid-Ask Spread %18.458.1731.0414.0622.06
Gamma HHI0.150.110.250.140.17
Net GEX38.6M15.3M59.3M34.4M54.5M
Net DEX-1.36B-2.14B-279.1M-473.4M-1.56B
Net VEX-6.2M-7.1M-5.5M-5.7M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.441.681.680.72
Total Volume39,791.47616,847117,62417,92378,847
Total OI318,545.857279,671374,048279,671319,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$178.16$170.0022.7%7.0%16.5%18.0%24.7%4.7%0.1%34.4M-473.4M-5.7M1.6814.066,67911,244143,446136,225
2016-11-02$177.01$170.0023.1%7.2%15.1%19.3%25.7%5.5%-0.0%26.7M-364.3M-5.8M1.359.318,61111,666144,509139,800
2016-11-03$176.24$170.0025.1%7.2%15.4%26.5%25.8%6.4%-0.5%23.9M-325.2M-5.9M1.649.456,39210,455147,137142,463
2016-11-04$175.77$170.0025.1%7.2%14.7%26.3%26.3%6.2%-0.1%15.3M-279.1M-5.8M1.298.178,24610,664147,975144,821
2016-11-07$181.30$170.0021.6%6.6%17.9%14.1%23.7%5.9%1.5%37.4M-640.4M-5.5M0.949.1910,3289,669142,100139,835
2016-11-08$182.27$175.0021.1%6.6%16.9%12.5%23.7%6.0%1.8%38.9M-688.0M-5.6M0.8015.9210,8728,716144,216143,789
2016-11-09$192.72$175.0021.2%6.0%25.0%12.7%23.9%5.1%-0.1%43.5M-1.42B-5.5M0.449.8144,17919,541148,419145,606
2016-11-10$201.11$175.0025.1%7.2%27.1%26.6%26.8%4.6%-0.0%42.0M-1.91B-5.7M0.5023.5378,62738,997156,913151,538
2016-11-11$203.99$180.0024.0%6.9%26.9%22.5%26.4%4.2%-0.0%49.0M-1.95B-5.8M0.8420.9728,72624,213166,542165,175
2016-11-14$208.45$180.0026.3%7.5%26.4%30.5%27.5%4.3%0.0%36.6M-2.04B-5.9M0.6231.0442,10126,027160,305161,427
2016-11-15$210.67$185.0025.4%7.3%26.2%27.4%26.7%3.8%-0.5%34.7M-2.13B-5.7M1.1320.8317,14419,299165,694173,881
2016-11-16$206.35$185.0025.9%7.4%28.3%29.1%26.6%3.6%-0.6%23.3M-1.84B-6.2M1.2016.2322,82727,290170,200179,783
2016-11-17$209.29$185.0024.4%7.0%28.1%24.1%25.2%3.8%-0.1%35.3M-2.01B-6.7M1.0014.1220,44820,393174,899188,009
2016-11-18$210.60$185.0023.1%6.6%27.9%19.4%23.7%3.5%-0.1%51.6M-2.14B-6.9M0.7312.0523,19916,821178,163195,885
2016-11-21$210.52$185.0022.7%6.5%28.0%17.9%23.6%3.2%-0.5%38.9M-1.49B-7.0M0.8630.8716,87014,576149,329171,997
2016-11-22$211.60$185.0021.8%6.3%27.9%14.9%22.9%3.3%-0.1%44.0M-1.58B-7.1M0.9427.1513,40112,619153,124176,747
2016-11-23$212.30$190.0021.1%6.0%28.0%12.3%21.9%3.3%-0.2%59.3M-1.65B-6.8M0.7926.9016,76513,258156,298180,169
2016-11-25$211.38$190.0021.0%6.1%28.3%12.2%22.6%3.3%-0.2%46.0M-1.57B-6.9M0.8729.669,8178,543159,772183,739
2016-11-28$210.36$190.0020.9%6.2%28.4%11.6%24.5%3.6%0.1%30.7M-1.40B-6.8M0.4622.8425,73111,923152,220176,041
2016-11-29$211.74$205.0021.0%6.3%28.4%12.2%22.4%3.7%-0.3%43.8M-1.01B-6.7M0.5713.3919,05710,840131,169180,345
2016-11-30$219.76$205.0021.6%6.7%29.9%14.2%24.1%3.5%-0.3%54.5M-1.56B-6.7M0.7222.0645,87332,974136,755183,003