GS Options History — January 2017

In January 2017, GS traded between $229.59 and $245.44. ATM implied volatility averaged 24.7%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 6.9% (HV 20d: 17.8%). Max pain ranged from $210.00 to $240.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-01-18: Highest Volume — 95,073 contracts
  • 2017-01-18: Largest IV drop — 15.6% change
  • 2017-01-03: Highest IV Rank — 41.7%
  • 2017-01-03: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$238.36$229.59$245.44$241.20$229.59
Max Pain$235.25$210.00$240.00$210.00$235.00
ATM IV24.7%20.3%29.4%29.4%23.4%
Expected Move7.1%5.8%8.8%8.8%6.8%
HV 20d17.8%15.3%19.7%19.1%19.7%
HV 60d24.0%22.9%25.3%23.4%25.3%
IV Rank25.0%9.6%41.7%41.7%20.5%
IV Percentile51.9%15.5%85.7%85.7%41.7%
Term Structure-0.2%-1.1%0.6%-0.7%0.0%
VWIV25.2%20.7%31.4%31.4%24.0%
Skew 25d2.2%1.8%2.7%2.7%2.7%
Skew 10d4.1%3.7%5.1%5.1%4.4%
Call IV 25d24.0%19.7%28.4%28.4%22.7%
Put IV 25d26.3%21.7%31.1%31.1%25.4%
Bid-Ask Spread %8.705.8213.0113.016.55
Gamma HHI0.110.060.330.080.06
Net GEX27.3M-46.4M129.2M37.6M-13.2M
Net DEX-1.43B-2.52B-136.4M-2.05B-136.4M
Net VEX-7.0M-7.6M-6.6M-7.1M-7.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.601.160.850.90
Total Volume50,629.730,37395,07346,47457,320
Total OI362,793.8230,095451,283385,753261,920

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$241.20$210.0029.4%8.8%19.1%41.7%31.4%2.7%-0.7%37.6M-2.05B-7.1M0.8513.0125,16721,307164,933220,820
2017-01-04$242.96$210.0028.5%8.5%18.1%38.2%30.2%2.2%-0.6%51.7M-2.21B-7.0M0.735.8217,52012,853171,633226,153
2017-01-05$240.84$240.0028.2%7.9%18.1%37.4%28.0%2.1%-0.5%48.3M-2.07B-7.1M0.979.5724,98224,283178,415230,147
2017-01-06$245.38$240.0026.7%7.5%18.2%32.2%27.0%1.9%-0.4%129.2M-2.52B-6.9M0.709.5233,17723,325182,321237,127
2017-01-09$243.25$240.0027.1%7.6%16.4%33.3%27.1%2.5%-0.5%45.1M-2.19B-6.9M1.0312.1115,90516,389173,577230,765
2017-01-10$243.03$240.0027.3%7.6%16.4%34.2%27.6%2.3%-0.6%45.1M-2.19B-6.7M0.8012.6924,79719,745177,955235,040
2017-01-11$245.44$240.0026.6%7.5%15.3%31.8%27.1%2.5%-0.5%64.3M-2.40B-6.9M1.1610.7418,59521,479182,968239,835
2017-01-12$243.87$240.0027.8%7.9%15.5%36.0%28.2%2.4%-0.4%38.7M-2.21B-7.1M0.827.8223,46519,272184,298246,048
2017-01-13$244.45$240.0026.3%7.5%15.4%30.6%26.6%2.3%-0.1%85.5M-2.35B-6.8M0.8111.8432,34126,349188,680248,547
2017-01-17$236.16$240.0028.1%8.1%19.0%37.2%28.1%2.2%-1.1%15.2M-1.60B-6.8M0.7912.6338,54430,371174,438233,286
2017-01-18$234.17$240.0023.8%6.8%18.1%21.7%24.0%2.0%-0.4%-7.3M-1.39B-6.7M0.868.4251,08143,992186,314242,576
2017-01-19$231.18$240.0023.4%6.7%18.6%20.6%23.7%2.0%-0.5%-32.8M-1.06B-6.8M0.726.1431,67322,656196,100252,726
2017-01-20$232.19$240.0021.6%6.3%17.7%14.2%21.8%2.1%-0.9%-46.4M-1.18B-6.6M0.757.5340,93930,545198,382252,901
2017-01-23$232.92$235.0021.1%6.2%17.7%12.6%21.8%2.2%0.4%181.2K-321.5M-6.8M0.976.6718,60118,13297,485132,610
2017-01-24$234.27$235.0021.1%6.2%17.9%12.5%21.9%2.1%0.4%10.7M-420.1M-7.0M0.877.6226,66823,213102,955139,815
2017-01-25$236.80$235.0020.5%5.9%18.4%10.2%21.3%1.8%0.4%22.7M-611.6M-7.1M0.806.0423,02318,361110,392150,084
2017-01-26$238.79$235.0020.3%5.8%18.5%9.6%20.7%2.1%0.5%31.3M-752.2M-7.2M0.606.5335,25421,236113,839156,404
2017-01-27$236.82$235.0020.4%5.8%18.6%10.2%20.9%2.1%0.6%14.3M-592.8M-7.4M0.796.3821,03116,513120,634161,923
2017-01-30$233.82$235.0022.0%6.4%18.8%15.7%23.1%2.6%0.1%6.0M-379.9M-7.5M0.806.3523,60918,881108,960142,870
2017-01-31$229.59$235.0023.4%6.8%19.7%20.5%24.0%2.7%0.0%-13.2M-136.4M-7.6M0.906.5530,13127,189114,147147,773