GS Options History — August 2017

In August 2017, GS traded between $219.87 and $232.64. ATM implied volatility averaged 18.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.0% (HV 20d: 17.5%). Max pain ranged from $222.50 to $225.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.71.

Notable Days

2017-08-04: Highest Volume — 79,504 contracts
2017-08-17: Largest IV spike — 14.0% change
2017-08-17: Highest IV Rank — 33.4%
2017-08-17: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$225.21	$219.87	$232.64	$227.38	$223.82
Max Pain	$224.78	$222.50	$225.00	$225.00	$222.50
ATM IV	18.6%	16.4%	20.8%	16.8%	19.1%
Expected Move	5.3%	4.5%	6.0%	4.6%	5.4%
HV 20d	17.5%	15.1%	19.5%	15.1%	17.9%
HV 60d	20.0%	17.1%	22.7%	21.9%	17.4%
IV Rank	16.4%	0.0%	33.4%	0.0%	20.6%
IV Percentile	17.0%	0.0%	40.1%	0.0%	21.8%
Term Structure	0.3%	-0.6%	1.0%	-0.2%	0.4%
VWIV	18.9%	16.4%	21.5%	16.4%	19.5%
Skew 25d	2.4%	1.1%	3.2%	2.2%	2.4%
Skew 10d	4.4%	1.7%	6.1%	3.7%	5.1%
Call IV 25d	17.8%	16.0%	19.5%	16.0%	18.3%
Put IV 25d	20.2%	18.1%	22.7%	18.2%	20.6%
Bid-Ask Spread %	5.97	3.54	13.56	3.72	4.77
Gamma HHI	0.09	0.07	0.24	0.09	0.13
Net GEX	35.4M	-32.3M	122.9M	56.8M	62.2M
Net DEX	-263.4M	-929.4M	239.8M	-471.3M	-368.8M
Net VEX	-6.8M	-7.5M	-6.3M	-6.7M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.37	1.17	0.70	0.59
Total Volume	39,072.565	19,489	79,504	35,318	30,197
Total OI	308,256.217	271,299	349,000	271,299	313,550

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
2017-08-01	$227.38	$225.00	16.8%	4.6%	15.1%	0.0%	16.4%	2.2%	-0.2%	56.8M	-471.3M	-6.7M	0.70	3.72	20,714	14,604	122,175	149,124
2017-08-02	$226.27	$225.00	16.6%	4.5%	15.1%	0.0%	16.8%	2.2%	-0.4%	46.9M	-360.7M	-6.5M	1.00	3.95	9,729	9,760	126,146	151,240
2017-08-03	$224.40	$225.00	16.4%	4.8%	15.2%	0.0%	17.7%	1.8%	-0.0%	23.6M	-165.6M	-6.6M	0.95	5.45	14,689	14,027	127,462	152,692
2017-08-04	$229.55	$225.00	17.1%	4.9%	17.1%	5.6%	18.1%	1.5%	-0.6%	122.9M	-714.2M	-6.8M	0.37	7.70	57,994	21,510	131,200	156,762
2017-08-07	$232.64	$225.00	17.5%	5.1%	17.6%	8.7%	18.9%	1.1%	0.5%	93.3M	-929.4M	-7.1M	0.43	5.42	45,456	19,613	145,581	152,766
2017-08-08	$232.13	$225.00	17.8%	5.3%	17.6%	10.9%	18.5%	1.3%	0.8%	98.9M	-914.8M	-7.2M	0.44	10.25	52,332	23,076	157,482	157,633
2017-08-09	$230.79	$225.00	18.7%	5.4%	17.7%	17.8%	19.8%	1.9%	0.1%	65.3M	-665.9M	-7.5M	0.71	7.39	22,856	16,310	157,106	161,111
2017-08-10	$226.25	$225.00	20.1%	5.9%	18.6%	28.4%	20.5%	2.5%	0.7%	22.1M	-217.1M	-7.4M	0.56	13.56	28,270	15,840	163,046	162,647
2017-08-11	$224.48	$225.00	20.1%	5.8%	18.7%	28.6%	21.1%	2.9%	0.3%	4.0M	-213.6K	-7.4M	0.91	5.63	23,991	21,829	167,065	165,052
2017-08-14	$227.62	$225.00	17.9%	5.1%	19.5%	11.6%	18.6%	2.4%	0.7%	53.4M	-419.5M	-7.1M	0.65	4.48	26,445	17,159	158,917	158,332
2017-08-15	$227.88	$225.00	17.8%	5.1%	16.9%	11.1%	18.7%	2.4%	1.0%	53.9M	-431.9M	-6.8M	0.62	4.61	16,641	10,356	164,262	162,644
2017-08-16	$225.74	$225.00	18.2%	5.2%	17.3%	13.9%	18.2%	2.4%	0.4%	25.1M	-179.1M	-6.9M	0.63	4.41	21,844	13,845	166,202	164,640
2017-08-17	$221.59	$225.00	20.8%	6.0%	18.6%	33.4%	21.5%	3.2%	-0.1%	-27.4M	239.8M	-6.9M	1.03	9.40	28,137	29,034	170,223	167,535
2017-08-18	$222.70	$225.00	19.3%	5.4%	18.1%	21.9%	20.0%	3.1%	0.8%	-32.3M	63.1M	-6.9M	1.17	5.57	18,288	21,319	177,642	171,358
2017-08-21	$220.74	$225.00	19.7%	5.6%	18.2%	25.6%	19.3%	2.7%	0.0%	-9.9M	105.1M	-6.4M	0.78	7.01	17,861	14,001	147,785	139,924
2017-08-22	$223.45	$225.00	18.4%	5.1%	17.9%	15.5%	18.4%	2.6%	0.6%	24.0M	-152.7M	-6.5M	0.68	5.36	16,400	11,174	154,474	143,220
2017-08-23	$223.32	$225.00	18.9%	5.2%	17.9%	18.9%	18.6%	2.5%	0.3%	24.8M	-137.3M	-6.5M	0.80	3.69	13,189	10,528	157,724	145,587
2017-08-24	$223.03	$225.00	18.8%	5.2%	17.9%	18.3%	18.5%	2.4%	-0.2%	25.6M	-120.6M	-6.5M	0.72	3.54	13,616	9,797	161,483	147,902
2017-08-25	$222.99	$225.00	18.6%	5.1%	17.5%	17.0%	18.0%	2.2%	0.3%	33.7M	-111.0M	-6.7M	0.66	3.77	17,578	11,550	165,278	149,524
2017-08-28	$220.38	$225.00	19.5%	5.4%	17.7%	23.7%	19.5%	3.0%	0.2%	-2.4M	79.1M	-6.4M	0.54	6.43	21,019	11,434	152,189	139,261
2017-08-29	$219.87	$225.00	19.3%	5.3%	17.3%	22.3%	19.3%	2.7%	0.1%	6.7M	55.5M	-6.3M	0.84	6.20	14,460	12,209	157,644	142,089
2017-08-30	$222.85	$222.50	19.6%	5.5%	18.0%	24.3%	19.2%	2.6%	0.5%	42.1M	-240.9M	-6.7M	0.59	5.12	23,926	14,062	160,504	143,710
2017-08-31	$223.82	$222.50	19.1%	5.4%	17.9%	20.6%	19.5%	2.4%	0.4%	62.2M	-368.8M	-6.6M	0.59	4.77	18,940	11,257	166,656	146,894