GS Options History — March 2017

In March 2017, GS traded between $225.27 and $253.36. ATM implied volatility averaged 21.7%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.2% (HV 20d: 16.5%). Max pain ranged from $235.00 to $242.50. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.71.

Notable Days

2017-03-27: Highest Volume — 77,251 contracts
2017-03-21: Largest IV spike — 13.6% change
2017-03-27: Highest IV Rank — 43.1%
2017-03-27: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$241.58	$225.27	$253.36	$253.36	$229.97
Max Pain	$238.80	$235.00	$242.50	$240.00	$235.00
ATM IV	21.7%	20.0%	24.9%	20.6%	22.5%
Expected Move	6.3%	5.7%	7.2%	6.0%	6.3%
HV 20d	16.5%	11.7%	20.5%	19.8%	19.2%
HV 60d	19.1%	17.5%	20.3%	20.1%	20.2%
IV Rank	24.3%	14.3%	43.1%	17.9%	28.9%
IV Percentile	34.9%	13.9%	69.8%	20.6%	46.4%
Term Structure	0.2%	-1.7%	1.1%	0.2%	0.2%
VWIV	22.3%	20.1%	25.3%	21.2%	22.4%
Skew 25d	1.9%	-0.2%	3.1%	1.6%	2.5%
Skew 10d	3.9%	0.6%	7.1%	3.5%	5.8%
Call IV 25d	21.0%	19.4%	24.1%	20.2%	22.0%
Put IV 25d	22.9%	20.1%	26.8%	21.9%	24.4%
Bid-Ask Spread %	8.53	4.50	20.81	6.92	7.59
Gamma HHI	0.08	0.05	0.14	0.11	0.06
Net GEX	10.2M	-43.8M	65.0M	65.0M	17.4M
Net DEX	-458.1M	-1.26B	483.9M	-1.26B	-71.2M
Net VEX	-7.2M	-7.8M	-6.8M	-6.9M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.48	0.98	0.63	0.70
Total Volume	46,879.043	23,528	77,251	70,414	38,536
Total OI	299,860.13	265,446	344,022	277,719	344,022

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$253.36	$240.00	20.6%	6.0%	19.8%	17.9%	21.2%	1.6%	0.2%	65.0M	-1.26B	-6.9M	0.63	6.92	43,322	27,092	113,151	164,568
2017-03-02	$251.74	$242.50	20.4%	5.8%	20.2%	16.9%	20.9%	1.8%	0.3%	49.5M	-1.10B	-7.1M	0.69	5.66	20,446	14,195	118,129	169,374
2017-03-03	$253.34	$240.00	20.2%	5.7%	20.0%	15.7%	20.1%	1.8%	0.4%	51.9M	-1.26B	-7.1M	0.78	5.88	30,601	23,870	121,150	172,721
2017-03-06	$252.39	$240.00	20.0%	6.3%	14.0%	14.3%	22.3%	1.9%	0.2%	31.0M	-1.04B	-7.1M	0.98	6.14	13,993	13,656	112,729	165,725
2017-03-07	$250.46	$240.00	20.2%	6.3%	14.2%	15.4%	22.1%	2.0%	0.6%	18.7M	-898.0M	-7.1M	0.81	7.26	12,975	10,553	115,225	169,228
2017-03-08	$249.91	$240.00	20.5%	6.3%	14.3%	17.3%	22.2%	1.9%	0.1%	13.2M	-851.6M	-7.2M	0.72	7.00	22,723	16,253	117,236	172,198
2017-03-09	$250.51	$240.00	20.5%	6.3%	13.9%	17.5%	22.4%	1.4%	0.4%	20.8M	-919.7M	-7.1M	0.84	8.77	18,398	15,417	121,132	174,523
2017-03-10	$248.43	$240.00	20.9%	6.2%	13.6%	19.8%	21.8%	1.1%	0.4%	-1.2M	-734.1M	-7.2M	0.73	12.48	30,925	22,676	123,699	175,717
2017-03-13	$248.06	$240.00	22.5%	6.1%	13.6%	28.8%	21.6%	-0.2%	-1.7%	25.4M	-796.7M	-7.0M	0.88	13.55	15,242	13,488	117,424	165,102
2017-03-14	$247.65	$240.00	21.2%	6.2%	12.3%	21.4%	22.3%	1.8%	0.2%	18.3M	-745.9M	-7.1M	0.54	9.60	20,383	11,089	119,784	169,617
2017-03-15	$246.56	$240.00	20.7%	6.2%	11.7%	18.2%	21.7%	1.8%	0.7%	9.8M	-646.7M	-7.0M	0.56	6.99	28,809	16,112	123,899	172,879
2017-03-16	$248.47	$240.00	20.2%	5.9%	11.9%	15.6%	20.9%	1.4%	0.3%	38.0M	-838.5M	-6.9M	0.75	4.50	24,791	18,541	126,289	176,822
2017-03-17	$244.36	$240.00	20.1%	5.9%	13.2%	14.7%	20.8%	1.5%	1.1%	-35.8M	-410.9M	-6.8M	0.67	9.85	34,614	23,255	129,369	179,419
2017-03-20	$242.62	$240.00	20.3%	5.9%	13.2%	16.0%	20.7%	2.1%	0.5%	1.4M	-453.5M	-6.9M	0.69	7.99	20,727	14,305	110,889	154,557
2017-03-21	$232.89	$240.00	23.0%	6.6%	18.9%	32.1%	23.2%	2.5%	-0.1%	-24.6M	180.2M	-7.1M	0.80	6.61	42,765	34,056	115,544	159,105
2017-03-22	$231.10	$240.00	24.0%	6.9%	18.9%	37.4%	24.0%	2.8%	0.3%	-34.0M	313.3M	-7.4M	0.63	7.76	36,020	22,800	127,312	169,839
2017-03-23	$231.89	$237.50	23.3%	6.7%	19.1%	33.4%	23.3%	2.6%	0.2%	-13.2M	167.2M	-7.5M	0.77	8.24	30,578	23,404	137,882	173,965
2017-03-24	$227.98	$237.50	24.7%	7.1%	19.2%	41.5%	24.8%	2.5%	0.3%	-43.8M	483.9M	-7.6M	0.86	20.81	32,975	28,202	140,769	178,132
2017-03-27	$225.27	$235.00	24.9%	7.2%	18.8%	43.1%	25.3%	2.7%	0.1%	-33.2M	473.5M	-7.4M	0.64	9.66	47,209	30,042	130,496	169,061
2017-03-28	$229.37	$235.00	22.8%	6.5%	20.5%	30.5%	23.3%	2.3%	0.4%	7.2M	32.0M	-7.8M	0.48	6.77	37,137	17,870	148,149	177,254
2017-03-29	$228.61	$235.00	23.4%	6.5%	18.7%	34.2%	22.8%	1.8%	-0.4%	10.3M	73.2M	-7.6M	0.58	8.91	18,910	10,993	153,996	179,708
2017-03-30	$231.29	$235.00	22.3%	6.3%	19.6%	27.7%	22.2%	3.1%	0.2%	41.9M	-229.7M	-7.7M	0.60	7.34	30,096	18,174	157,427	181,567
2017-03-31	$229.97	$235.00	22.5%	6.3%	19.2%	28.9%	22.4%	2.5%	0.2%	17.4M	-71.2M	-7.7M	0.70	7.59	22,644	15,892	160,582	183,440