GS Options History — December 2016

In December 2016, GS traded between $223.29 and $243.72. ATM implied volatility averaged 25.7%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.3% (HV 20d: 25.4%). Max pain ranged from $190.00 to $210.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-12-08: Highest Volume — 94,549 contracts
  • 2016-12-07: Largest IV spike — 12.2% change
  • 2016-12-08: Highest IV Rank — 40.1%
  • 2016-12-08: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$237.67$223.29$243.72$226.65$239.15
Max Pain$202.62$190.00$210.00$210.00$210.00
ATM IV25.7%23.3%29.0%24.7%27.6%
Expected Move7.6%6.7%8.5%7.9%8.0%
HV 20d25.4%20.1%31.0%30.0%20.1%
HV 60d24.6%23.3%25.5%25.2%23.4%
IV Rank28.6%20.1%40.1%25.0%35.4%
IV Percentile62.1%38.5%82.9%54.4%77.8%
Term Structure0.3%-0.5%1.3%-0.5%-0.0%
VWIV27.2%24.6%30.3%29.1%28.6%
Skew 25d2.4%1.9%3.5%3.5%2.5%
Skew 10d4.4%3.0%7.3%7.3%3.9%
Call IV 25d25.1%22.2%29.1%24.0%27.0%
Put IV 25d27.5%25.0%30.9%27.6%29.5%
Bid-Ask Spread %10.866.1317.8316.2811.56
Gamma HHI0.100.070.140.140.08
Net GEX51.8M16.6M79.2M54.0M36.7M
Net DEX-2.24B-2.79B-1.66B-1.98B-1.91B
Net VEX-7.1M-7.5M-6.8M-7.1M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.651.200.790.80
Total Volume52,117.95229,22794,54980,35139,030
Total OI395,076.762349,165439,412349,871414,208

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$226.65$210.0024.7%7.9%30.0%25.0%29.1%3.5%-0.5%54.0M-1.98B-7.1M0.7916.2844,99435,357151,949197,922
2016-12-02$223.29$210.0024.1%7.5%31.0%22.8%26.8%3.4%-0.4%41.3M-1.66B-7.4M1.1210.9024,29027,182155,908210,500
2016-12-05$228.02$190.0023.4%6.7%30.7%20.3%25.0%2.9%0.3%54.7M-1.94B-6.8M0.9411.3928,64027,037149,671199,494
2016-12-06$231.15$195.0023.3%7.1%29.9%20.1%24.6%2.8%0.5%66.6M-2.15B-6.8M0.6514.6034,98222,767156,911208,587
2016-12-07$235.23$195.0026.1%7.8%29.9%30.0%27.8%2.5%0.3%57.5M-2.34B-6.8M0.8512.2040,06434,127157,203214,749
2016-12-08$241.26$195.0029.0%8.5%25.7%40.1%30.3%1.9%-0.1%52.0M-2.67B-6.8M0.9414.7148,84345,706162,969225,516
2016-12-09$241.45$200.0025.9%7.9%23.1%29.3%28.2%2.1%0.4%49.2M-2.72B-6.8M0.906.7831,05427,971171,273238,450
2016-12-12$237.27$200.0026.5%8.0%24.9%31.3%28.2%2.3%1.3%43.3M-2.25B-7.0M0.9911.2729,82029,378163,691225,322
2016-12-13$238.52$200.0026.0%7.7%24.3%29.7%27.8%2.4%0.7%49.9M-2.36B-7.2M0.948.5220,95719,651173,638234,538
2016-12-14$239.96$200.0027.5%8.1%24.3%35.0%29.0%2.9%0.7%54.1M-2.43B-7.5M0.7913.3229,78723,533177,000239,749
2016-12-15$243.72$200.0026.2%7.8%22.2%30.1%27.8%2.4%1.1%79.2M-2.79B-7.1M0.786.1335,23227,538182,544247,176
2016-12-16$239.31$200.0025.1%7.4%24.0%26.4%26.4%2.1%1.3%40.4M-2.35B-7.3M0.989.5724,67024,222186,808252,604
2016-12-19$239.15$200.0024.3%7.1%24.1%23.7%25.7%2.1%0.3%43.9M-2.10B-6.9M1.0317.8320,88121,592162,499209,789
2016-12-20$242.79$205.0025.5%7.4%24.2%28.0%26.3%2.2%-0.1%57.9M-2.37B-7.1M1.0111.8725,93226,124166,683218,989
2016-12-21$241.54$205.0025.1%7.2%24.6%26.6%26.1%2.0%0.1%59.5M-2.28B-7.4M1.157.4915,78218,144172,884227,950
2016-12-22$240.47$205.0025.4%7.3%24.9%27.4%25.7%1.9%0.0%62.1M-2.20B-7.4M0.987.4320,96620,627176,213234,878
2016-12-23$240.79$205.0025.1%7.2%24.6%26.6%25.5%2.0%0.1%65.8M-2.23B-7.3M1.0010.4916,92016,849179,718238,920
2016-12-27$242.25$210.0025.6%7.4%24.3%28.2%27.1%2.4%0.1%53.9M-2.26B-7.0M1.2011.2013,26715,960167,092229,933
2016-12-28$240.68$210.0026.3%7.6%24.7%30.7%27.1%2.5%0.3%49.0M-2.11B-7.2M1.107.4718,76620,645170,191232,744
2016-12-29$238.34$210.0027.1%7.9%22.5%33.3%28.4%2.0%0.2%16.6M-1.86B-7.3M0.936.9823,38121,809172,152237,597
2016-12-30$239.15$210.0027.6%8.0%20.1%35.4%28.6%2.5%-0.0%36.7M-1.91B-7.4M0.8011.5621,72117,309173,769240,439