GS Options History — February 2017

In February 2017, GS traded between $230.47 and $251.79. ATM implied volatility averaged 21.2%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.0% (HV 20d: 22.1%). Max pain ranged from $230.00 to $240.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-02-03: Highest Volume — 112,669 contracts
  • 2017-02-21: Largest IV spike — 6.0% change
  • 2017-02-24: Highest IV Rank — 24.4%
  • 2017-02-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$244.69$230.47$251.79$231.10$248.65
Max Pain$236.32$230.00$240.00$235.00$240.00
ATM IV21.2%19.7%23.2%22.8%21.5%
Expected Move6.1%5.6%6.7%6.5%6.3%
HV 20d22.1%19.3%25.2%19.6%20.7%
HV 60d22.6%20.7%25.9%25.2%20.7%
IV Rank16.8%9.0%24.4%18.5%22.9%
IV Percentile24.7%13.1%40.1%37.3%31.0%
Term Structure0.2%-0.4%0.8%0.1%0.0%
VWIV22.0%20.8%23.9%22.8%22.6%
Skew 25d2.1%1.8%2.4%2.4%2.1%
Skew 10d4.0%3.5%5.0%3.7%4.2%
Call IV 25d20.5%19.0%22.0%21.9%20.6%
Put IV 25d22.6%20.9%24.5%24.3%22.7%
Bid-Ask Spread %8.654.8114.974.815.32
Gamma HHI0.140.060.570.070.09
Net GEX53.1M-24.3M175.5M5.0M31.7M
Net DEX-1.08B-1.64B-221.7M-287.7M-891.6M
Net VEX-7.5M-7.8M-7.1M-7.8M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.510.900.510.73
Total Volume47,731.89527,617112,66935,25830,654
Total OI297,259.211272,883336,458278,444272,883

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$231.10$235.0022.8%6.5%19.6%18.5%22.8%2.4%0.1%5.0M-287.7M-7.8M0.514.8123,32111,937122,763155,681
2017-02-02$230.47$230.0023.2%6.7%19.3%19.9%23.9%2.4%-0.4%-6.1M-221.7M-7.8M0.6311.0516,92810,689122,628157,059
2017-02-03$240.70$230.0022.4%6.6%25.1%17.1%23.6%2.0%0.0%59.0M-1.13B-7.5M0.539.2073,74638,923125,814158,560
2017-02-06$239.59$230.0021.6%6.3%24.1%14.1%22.4%2.4%0.5%47.5M-875.4M-7.7M0.577.2236,56020,682125,866158,677
2017-02-07$239.70$235.0021.0%6.2%24.0%11.9%22.2%2.3%0.5%50.0M-872.5M-7.8M0.878.6318,42515,959132,289164,829
2017-02-08$237.92$235.0020.8%6.1%24.1%11.5%22.0%2.0%0.5%23.6M-673.1M-7.7M0.7111.7924,82417,614133,290169,706
2017-02-09$241.46$235.0020.8%6.2%24.4%11.4%21.9%2.0%0.8%76.0M-1.07B-7.8M0.645.9347,98530,513137,961172,789
2017-02-10$242.62$235.0020.1%5.8%24.4%9.0%21.4%1.8%0.4%125.0M-1.18B-7.8M0.588.0135,07220,223143,159179,399
2017-02-13$246.71$235.0020.6%5.9%25.2%13.0%21.0%1.9%-0.1%67.7M-1.36B-7.3M0.8111.6828,60223,284127,564167,899
2017-02-14$249.42$235.0020.8%6.0%21.7%17.6%21.5%1.8%0.2%72.7M-1.56B-7.3M0.589.4839,14122,801131,290176,149
2017-02-15$250.62$235.0021.5%6.2%21.3%23.3%22.3%2.2%0.2%81.0M-1.64B-7.5M0.599.0939,82023,557136,417182,930
2017-02-16$249.32$240.0020.4%5.8%20.7%16.7%21.0%2.0%0.1%68.8M-1.49B-7.5M0.815.9517,91314,424140,906191,755
2017-02-17$250.18$240.0019.7%5.6%20.7%12.3%20.8%1.9%0.3%175.5M-1.60B-7.5M0.855.9724,90821,210142,603193,855
2017-02-21$251.79$240.0020.8%6.0%20.7%19.2%21.9%2.1%0.1%48.0M-1.31B-7.1M0.716.8121,80415,579115,423159,985
2017-02-22$251.41$240.0020.5%5.9%20.8%17.4%21.1%1.9%0.2%39.6M-1.24B-7.2M0.768.5618,78414,244117,799166,471
2017-02-23$251.24$240.0020.9%6.1%20.7%19.5%21.2%2.1%0.0%40.2M-1.24B-7.3M0.7311.9917,11712,532122,882171,519
2017-02-24$247.19$240.0021.7%6.2%21.6%24.4%21.9%2.0%0.3%-24.3M-852.4M-7.4M0.9014.9723,29820,884121,755173,643
2017-02-27$249.03$240.0020.9%6.2%21.4%19.6%22.2%2.3%0.1%27.8M-1.04B-7.2M0.537.8821,51611,433114,424159,303
2017-02-28$248.65$240.0021.5%6.3%20.7%22.9%22.6%2.1%0.0%31.7M-891.6M-7.3M0.735.3217,71212,942110,845162,038