GS Options History — May 2017

In May 2017, GS traded between $210.74 and $226.76. ATM implied volatility averaged 18.8%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.4% (HV 20d: 22.2%). Max pain ranged from $220.00 to $225.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-05-31: Highest Volume — 107,715 contracts
  • 2017-05-17: Largest IV spike — 33.1% change
  • 2017-05-17: Highest IV Rank — 35.7%
  • 2017-05-31: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$221.89$210.74$226.76$225.24$210.74
Max Pain$220.68$220.00$225.00$225.00$220.00
ATM IV18.8%16.9%23.2%18.3%22.4%
Expected Move5.5%5.0%6.7%5.2%6.7%
HV 20d22.2%16.4%28.2%20.2%28.2%
HV 60d19.6%17.6%22.7%20.5%22.7%
IV Rank9.5%0.0%35.7%4.4%31.0%
IV Percentile12.7%0.0%59.9%4.8%53.2%
Term Structure0.2%-0.7%0.8%0.4%-0.6%
VWIV19.5%17.9%23.4%18.4%23.3%
Skew 25d2.4%1.6%3.2%2.3%2.7%
Skew 10d4.7%3.5%6.3%4.5%5.9%
Call IV 25d18.1%16.5%22.6%17.5%21.6%
Put IV 25d20.5%18.5%25.7%19.8%24.3%
Bid-Ask Spread %6.442.909.765.117.61
Gamma HHI0.090.070.120.070.08
Net GEX20.1M-47.1M73.5M23.6M-47.1M
Net DEX-72.5M-603.8M709.1M-243.6M709.1M
Net VEX-7.2M-7.6M-6.7M-7.1M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.361.250.841.10
Total Volume43,074.90923,807107,71530,969107,715
Total OI314,369.364287,594350,048287,594319,672

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$225.24$225.0018.3%5.2%20.2%4.4%18.4%2.3%0.4%23.6M-243.6M-7.1M0.845.1116,81014,159129,256158,338
2017-05-02$224.80$225.0017.9%5.2%20.2%2.4%18.9%2.6%0.3%22.6M-208.0M-7.3M0.804.9213,73811,001133,536161,608
2017-05-03$226.22$225.0018.8%5.5%20.4%7.6%19.3%2.4%-0.0%35.3M-331.6M-7.4M0.675.6422,08414,756135,396163,321
2017-05-04$226.39$220.0018.1%5.5%20.3%3.0%19.2%2.2%-0.7%52.8M-383.0M-7.4M0.769.3218,03913,696142,827165,122
2017-05-05$226.76$220.0017.8%5.4%20.3%1.2%19.5%2.6%0.3%55.6M-396.0M-7.4M0.765.6815,69811,933145,229167,747
2017-05-08$225.11$220.0017.6%5.2%20.4%0.4%18.9%2.6%0.4%27.5M-229.5M-7.1M0.907.7812,70311,425136,596162,562
2017-05-09$223.26$220.0017.7%5.2%20.5%1.1%18.8%2.4%0.4%7.1M-56.1M-7.1M0.795.2717,72114,083139,291166,983
2017-05-10$225.26$220.0016.9%5.0%20.7%0.0%18.3%1.9%0.6%29.1M-231.6M-7.1M0.865.6912,81710,990142,572171,668
2017-05-11$224.51$220.0017.7%5.3%20.5%4.8%18.7%2.1%0.8%21.9M-167.9M-7.1M0.785.5116,90613,258145,008173,033
2017-05-12$222.83$220.0017.7%5.2%20.5%4.6%18.7%2.3%0.6%-11.0M-25.1M-7.0M0.883.6614,73812,918149,600174,361
2017-05-15$225.35$220.0017.4%5.1%20.9%3.2%18.3%2.2%0.4%44.8M-278.2M-6.9M0.632.9020,06712,724140,800167,851
2017-05-16$225.40$220.0017.4%5.0%16.4%3.2%17.9%2.1%0.5%60.2M-295.2M-6.9M0.756.0716,18012,083145,851168,858
2017-05-17$213.38$220.0023.2%6.7%25.9%35.7%23.4%3.1%0.1%-42.5M708.8M-6.9M0.773.6655,68843,112151,033170,796
2017-05-18$215.42$220.0022.0%6.3%24.7%28.8%22.6%3.1%-0.1%-25.1M518.4M-7.2M1.044.2826,73027,818165,597179,193
2017-05-19$215.92$220.0020.0%5.8%24.7%17.4%20.0%3.0%-0.5%-19.2M454.7M-6.9M0.777.6025,91619,986168,242181,806
2017-05-22$216.02$220.0019.2%5.5%22.5%13.0%19.2%2.5%0.2%-12.6M302.0M-6.7M0.838.5117,92714,864135,485154,718
2017-05-23$219.64$220.0018.6%5.4%22.8%9.6%19.3%1.7%0.3%18.6M-11.9M-7.1M0.368.5148,75117,419141,661158,605
2017-05-24$224.24$220.0018.4%5.3%24.1%8.6%19.4%3.2%-0.1%72.6M-603.8M-7.6M0.629.7633,07720,549161,880161,969
2017-05-25$222.70$220.0018.1%5.1%24.2%6.9%18.3%1.6%0.4%73.5M-444.9M-7.6M0.729.0726,67119,328165,037166,828
2017-05-26$223.74$220.0017.9%5.0%24.0%6.0%18.2%1.9%0.2%56.5M-537.2M-7.4M0.617.0927,24916,571166,683171,948
2017-05-30$218.69$220.0019.9%5.8%25.2%17.1%20.5%2.5%-0.5%-1.0M155.9M-7.4M1.258.0221,18626,564148,114159,445
2017-05-31$210.74$220.0022.4%6.7%28.2%31.0%23.3%2.7%-0.6%-47.1M709.1M-7.0M1.107.6151,28256,433153,168166,504