GS Options History — June 2017

In June 2017, GS traded between $213.50 and $226.61. ATM implied volatility averaged 21.8%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.7% (HV 20d: 25.5%). Max pain ranged from $220.00 to $220.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2017-06-09: Highest Volume — 95,725 contracts
  • 2017-06-16: Largest IV drop — 9.6% change
  • 2017-06-29: Highest IV Rank — 53.8%
  • 2017-06-23: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$220.69$213.50$226.61$214.95$222.31
Max Pain$220.00$220.00$220.00$220.00$220.00
ATM IV21.8%18.5%25.6%21.6%22.5%
Expected Move6.5%5.8%7.5%6.4%6.7%
HV 20d25.5%17.2%30.1%29.2%17.7%
HV 60d22.9%22.2%23.6%23.1%22.8%
IV Rank29.5%9.2%53.8%26.4%44.5%
IV Percentile48.7%11.9%86.1%47.6%59.1%
Term Structure0.1%-1.3%2.5%-0.6%-1.0%
VWIV23.4%19.9%26.9%22.8%24.2%
Skew 25d2.4%1.0%3.2%2.6%2.5%
Skew 10d5.0%4.0%6.8%5.5%4.3%
Call IV 25d21.1%17.1%25.1%20.8%21.5%
Put IV 25d23.5%19.5%28.0%23.5%24.0%
Bid-Ask Spread %6.003.949.923.945.18
Gamma HHI0.100.070.280.080.17
Net GEX30.0M-43.3M129.2M-19.4M62.1M
Net DEX-172.6M-851.0M447.6M311.2M-134.5M
Net VEX-7.8M-8.3M-7.3M-7.8M-7.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.441.210.800.58
Total Volume53,847.18232,34195,72574,43843,166
Total OI333,908.318268,980376,647347,158349,582

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$214.95$220.0021.6%6.4%29.2%26.4%22.8%2.6%-0.6%-19.4M311.2M-7.8M0.803.9441,34533,093165,931181,227
2017-06-02$213.50$220.0021.6%6.3%29.2%26.4%22.3%3.0%-0.7%-31.3M447.6M-7.8M0.964.3123,73022,817171,996185,589
2017-06-05$213.88$220.0021.0%6.3%29.2%22.9%22.9%1.9%-0.0%-19.8M363.9M-7.6M0.809.0717,99814,343160,801175,614
2017-06-06$215.00$220.0020.7%6.5%29.3%21.6%23.3%2.5%0.6%-10.2M262.4M-7.8M0.726.9221,51315,391164,768179,184
2017-06-07$216.12$220.0020.9%6.5%29.3%22.5%23.1%2.3%-0.1%-2.1M162.0M-7.7M0.578.4626,52215,178165,851181,298
2017-06-08$219.15$220.0020.1%6.3%29.6%18.0%22.8%2.0%1.1%58.6M-193.3M-7.8M0.447.0660,76026,933171,905182,192
2017-06-09$222.00$220.0020.7%6.6%30.0%21.6%23.2%2.9%-0.4%129.2M-516.0M-8.0M0.519.1363,46632,259180,109185,569
2017-06-12$221.68$220.0020.6%6.4%29.9%21.0%22.3%3.0%1.6%43.0M-318.8M-7.9M0.477.0436,00317,042168,835175,342
2017-06-13$224.18$220.0020.2%6.2%29.9%18.4%22.1%2.6%1.4%75.3M-594.1M-7.8M0.454.9535,99516,272173,397177,946
2017-06-14$226.34$220.0021.2%6.5%30.1%24.3%23.1%2.3%1.6%102.7M-851.0M-7.8M0.509.9245,44922,809178,761178,918
2017-06-15$223.12$220.0020.5%6.2%22.9%20.3%21.8%1.0%1.3%63.7M-477.7M-7.6M0.495.5843,25621,266187,095184,175
2017-06-16$221.80$220.0018.5%5.8%22.9%9.2%19.9%2.4%2.5%26.2M-298.1M-7.4M0.695.4026,84218,644189,813186,834
2017-06-19$226.61$220.0019.7%5.8%24.0%15.7%20.9%2.3%-0.5%52.7M-570.1M-7.3M0.564.9328,79016,208127,762141,218
2017-06-20$224.94$220.0021.3%6.2%24.2%25.0%21.9%2.5%-0.3%46.3M-442.5M-7.6M0.825.2817,82114,601134,124143,893
2017-06-21$222.43$220.0023.0%6.6%24.0%34.4%23.9%2.2%-0.3%23.9M-234.1M-7.7M1.214.6020,42024,727137,797147,642
2017-06-22$219.85$220.0024.9%7.1%23.1%44.9%26.9%2.6%-0.1%-12.3M59.8M-8.1M1.085.4224,84926,927143,306160,461
2017-06-23$217.20$220.0025.6%7.5%23.4%49.1%26.9%2.8%-1.3%-43.3M320.0M-8.1M0.996.9127,82627,481148,952170,142
2017-06-26$220.94$220.0024.0%6.9%24.2%39.8%24.3%2.1%-0.6%825.3K-71.2M-8.2M0.624.3827,47617,059137,717169,606
2017-06-27$220.78$220.0024.4%7.1%22.7%42.4%25.5%1.5%-0.7%5.7M-99.9M-8.0M0.634.5722,56914,117144,182173,423
2017-06-28$223.34$220.0023.4%6.8%18.2%47.2%25.0%2.6%-0.7%36.5M-362.5M-8.3M0.603.9829,54717,589149,932176,325
2017-06-29$225.03$220.0023.6%7.1%17.2%53.8%25.4%3.2%-0.6%71.4M-560.8M-8.1M0.505.0756,19128,348155,093181,676
2017-06-30$222.31$220.0022.5%6.7%17.7%44.5%24.2%2.5%-1.0%62.1M-134.5M-7.9M0.585.1827,34615,820161,557188,025