GS Options History — April 2017

In April 2017, GS traded between $213.64 and $229.22. ATM implied volatility averaged 21.8%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.2% (HV 20d: 19.6%). Max pain ranged from $225.00 to $235.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-04-18: Highest Volume — 124,969 contracts
  • 2017-04-18: Largest IV drop — 13.8% change
  • 2017-04-17: Highest IV Rank — 47.5%
  • 2017-04-12: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$224.39$213.64$229.22$229.22$223.87
Max Pain$228.42$225.00$235.00$235.00$225.00
ATM IV21.8%17.9%25.7%22.7%18.1%
Expected Move6.3%5.1%7.5%6.7%5.1%
HV 20d19.6%16.9%21.5%19.2%20.1%
HV 60d19.8%18.3%20.9%20.2%20.4%
IV Rank24.7%2.4%47.5%30.2%3.5%
IV Percentile39.8%0.8%80.6%48.4%2.8%
Term Structure0.1%-0.9%1.0%-0.3%-0.4%
VWIV22.2%17.9%26.2%23.7%17.9%
Skew 25d2.4%0.5%3.8%1.4%0.5%
Skew 10d4.6%1.3%7.2%6.0%3.1%
Call IV 25d21.1%17.9%24.6%23.0%19.1%
Put IV 25d23.5%19.5%27.7%24.4%19.6%
Bid-Ask Spread %10.434.5021.305.518.81
Gamma HHI0.070.060.110.060.07
Net GEX-6.2M-51.2M35.4M2.7M-3.4M
Net DEX159.7M-436.6M963.9M5.2M-114.2M
Net VEX-7.1M-7.5M-6.2M-7.4M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.531.240.721.03
Total Volume46,007.26315,387124,96939,42833,823
Total OI324,840.684280,092392,033307,928313,861

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$229.22$235.0022.7%6.7%19.2%30.2%23.7%1.4%-0.3%2.7M5.2M-7.4M0.725.5122,91616,512139,616168,312
2017-04-04$229.09$232.5023.1%6.7%19.2%32.2%23.6%3.1%-0.5%5.5M-8.4M-7.5M0.606.8517,30010,429144,875173,568
2017-04-05$227.74$232.5022.5%6.7%19.2%29.0%23.5%1.4%0.7%-2.8M126.3M-7.5M0.5313.0326,37614,009147,927175,205
2017-04-06$228.58$230.0023.1%6.5%19.3%32.7%23.1%2.8%0.3%2.9M46.2M-7.3M0.6815.2116,90011,512151,302178,761
2017-04-07$227.75$230.0023.2%6.5%19.2%32.9%23.1%2.8%-0.9%-24.1M129.5M-7.1M0.9617.0618,21317,477152,652179,308
2017-04-10$228.71$230.0023.5%6.7%19.5%34.5%23.8%3.7%-0.0%321.7K44.4M-7.2M0.7211.2816,17211,649140,794171,008
2017-04-11$227.54$230.0024.9%7.0%19.4%42.9%25.1%3.8%-0.2%-2.9M126.5M-7.3M0.7420.5817,33412,791145,508173,562
2017-04-12$225.43$230.0025.4%7.5%19.5%45.7%26.2%3.0%0.4%-14.7M263.2M-7.1M0.7510.5017,61613,240147,091174,638
2017-04-13$224.01$230.0024.4%7.0%19.0%39.9%24.6%2.4%-0.4%-23.3M410.5M-7.0M0.657.1230,41019,819150,329177,769
2017-04-17$223.14$230.0025.7%7.3%18.5%47.5%24.7%3.2%0.1%-13.4M385.4M-6.8M0.9421.307,9357,452140,756172,705
2017-04-18$215.68$230.0022.1%6.3%21.3%26.7%22.7%2.1%0.3%-48.1M911.5M-6.2M0.904.5065,77659,193149,716176,369
2017-04-19$213.64$225.0020.9%6.0%16.9%19.6%21.5%1.7%-0.2%-51.2M963.9M-6.7M1.245.7829,97337,209169,752194,781
2017-04-20$218.61$225.0019.4%5.5%19.4%10.6%20.7%2.7%0.6%-9.0M502.4M-7.0M1.016.4937,18537,486178,361203,326
2017-04-21$217.59$225.0021.5%6.1%19.2%23.3%22.4%3.3%0.8%-27.7M612.5M-7.3M0.994.8627,72127,322184,040207,993
2017-04-24$223.56$225.0018.7%5.5%21.3%6.8%19.2%2.3%0.4%18.8M-191.9M-7.2M0.889.6832,22428,217121,243158,849
2017-04-25$226.61$225.0018.0%5.3%21.5%2.6%18.8%2.1%0.7%35.4M-436.6M-7.3M0.6910.6729,46820,331129,863165,864
2017-04-26$226.52$225.0017.9%5.3%20.4%2.4%18.8%1.7%1.0%25.6M-421.1M-7.1M0.7713.4225,01419,318133,795169,322
2017-04-27$226.07$225.0018.6%5.2%20.4%5.8%18.7%1.6%-0.1%11.5M-321.8M-7.1M1.225.4717,00720,809135,904173,248
2017-04-28$223.87$225.0018.1%5.1%20.1%3.5%17.9%0.5%-0.4%-3.4M-114.2M-7.0M1.038.8116,69217,131137,970175,891