GS Options History — July 2017

In July 2017, GS traded between $218.48 and $230.13. ATM implied volatility averaged 20.1%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.9% (HV 20d: 18.1%). Max pain ranged from $220.00 to $225.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-07-18: Highest Volume — 80,742 contracts
  • 2017-07-19: Largest IV drop — 6.6% change
  • 2017-07-06: Highest IV Rank — 51.4%
  • 2017-07-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$224.83$218.48$230.13$227.28$225.34
Max Pain$224.50$220.00$225.00$220.00$225.00
ATM IV20.1%16.9%23.4%22.4%16.9%
Expected Move5.8%4.7%7.5%7.0%4.7%
HV 20d18.1%16.8%19.3%19.0%16.8%
HV 60d22.3%21.4%23.3%23.2%21.8%
IV Rank25.2%0.4%51.4%43.6%0.4%
IV Percentile31.4%0.4%69.4%57.9%0.4%
Term Structure-0.0%-0.9%0.8%-0.3%-0.3%
VWIV20.7%17.3%27.0%25.9%17.7%
Skew 25d2.1%1.6%3.3%1.9%2.3%
Skew 10d4.1%3.1%5.7%4.8%4.3%
Call IV 25d19.5%16.3%23.3%21.7%16.3%
Put IV 25d21.6%18.6%25.3%23.7%18.6%
Bid-Ask Spread %5.472.4214.7414.745.07
Gamma HHI0.120.070.720.070.09
Net GEX8.2M-389.8M90.9M39.6M35.2M
Net DEX-334.8M-908.0M280.4M-596.3M-299.3M
Net VEX-7.2M-7.9M-6.7M-7.8M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.471.300.601.13
Total Volume40,73825,05380,74253,79629,642
Total OI316,059.25255,640360,220317,503263,720

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$227.28$220.0022.4%7.0%19.0%43.6%25.9%1.9%-0.3%39.6M-596.3M-7.8M0.6014.7433,71520,081143,333174,170
2017-07-05$228.21$220.0023.0%7.5%19.0%48.8%27.0%3.3%-0.2%60.5M-682.2M-7.8M0.476.6423,31310,953150,480174,365
2017-07-06$226.57$225.0023.4%6.6%19.3%51.4%25.4%2.0%-0.4%54.1M-527.9M-7.9M0.657.8132,46721,260157,077175,968
2017-07-07$225.06$225.0022.7%6.3%19.1%46.0%22.3%2.7%-0.9%32.7M-344.7M-7.8M0.615.8525,18915,256158,567181,515
2017-07-10$225.86$225.0022.5%6.3%18.6%44.6%22.3%2.4%-0.5%23.2M-398.1M-7.7M0.695.8214,78710,266146,576178,135
2017-07-11$227.29$225.0022.9%6.5%18.7%47.8%22.7%2.5%-0.1%45.0M-569.3M-7.5M0.794.7917,68214,029150,577179,498
2017-07-12$227.26$225.0022.3%6.4%18.3%43.2%22.1%2.1%-0.2%47.3M-552.8M-7.4M0.695.1218,74412,907153,592182,402
2017-07-13$230.13$225.0021.8%6.2%18.5%39.1%22.1%2.4%-0.3%90.9M-908.0M-7.4M0.878.2926,38022,945158,591185,026
2017-07-14$229.09$225.0020.9%5.9%17.8%31.6%20.8%2.0%-0.4%75.7M-785.3M-7.2M0.783.6129,42122,919160,720183,648
2017-07-17$229.01$225.0020.8%6.0%17.6%31.3%21.3%2.1%-0.4%52.2M-709.3M-6.9M1.044.8620,10720,837148,833174,384
2017-07-18$223.14$225.0019.4%5.6%18.5%20.4%19.7%1.9%0.8%-15.4M-104.8M-6.8M0.693.9847,68733,055151,135182,071
2017-07-19$222.59$225.0018.2%5.2%18.4%10.2%18.6%1.9%0.0%-20.6M-64.5M-6.9M0.754.7427,16020,286157,454185,290
2017-07-20$222.70$225.0017.6%5.0%17.9%6.1%17.9%1.7%0.7%-12.4M-114.4M-6.9M0.782.8422,92217,921162,533190,921
2017-07-21$219.91$225.0017.3%5.0%18.0%3.2%17.8%1.7%0.0%-389.8M280.4M-6.8M1.122.4225,86228,913165,697194,523
2017-07-24$218.48$225.0017.9%5.1%17.6%7.9%17.9%1.7%0.3%-13.7M148.9M-6.7M0.753.4815,79011,849116,198139,442
2017-07-25$221.87$225.0017.7%5.0%17.4%6.7%17.8%1.6%0.6%14.2M-118.1M-7.0M0.573.7722,28612,603120,946143,675
2017-07-26$222.01$225.0017.8%4.9%17.4%7.3%17.3%1.7%0.5%16.1M-111.7M-6.9M0.804.6015,15912,201124,867146,651
2017-07-27$221.27$225.0017.8%4.9%16.9%7.1%18.5%2.0%0.2%-1.2M-3.8M-6.8M1.304.7613,33417,315125,721149,834
2017-07-28$223.57$225.0017.8%5.1%17.1%7.1%19.3%2.5%0.2%30.1M-235.7M-6.9M1.006.2213,79113,726128,673154,377
2017-07-31$225.34$225.0016.9%4.7%16.8%0.4%17.7%2.3%-0.3%35.2M-299.3M-6.7M1.135.0713,88515,757118,709145,011