GS Options History — September 2017

In September 2017, GS traded between $215.58 and $237.38. ATM implied volatility averaged 20.0%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.9% (HV 20d: 20.9%). Max pain ranged from $220.00 to $225.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-09-05: Highest Volume — 71,432 contracts
  • 2017-09-05: Largest IV spike — 22.6% change
  • 2017-09-05: Highest IV Rank — 46.9%
  • 2017-09-07: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$226.86$215.58$237.38$225.87$237.38
Max Pain$222.88$220.00$225.00$222.50$225.00
ATM IV20.0%18.4%22.5%18.4%19.6%
Expected Move6.0%4.9%6.8%4.9%5.7%
HV 20d20.9%16.2%22.3%16.2%21.2%
HV 60d18.6%17.3%19.6%17.3%18.1%
IV Rank27.8%15.1%46.9%15.1%24.7%
IV Percentile31.8%15.9%62.3%15.9%26.6%
Term Structure0.7%-0.4%2.8%0.0%0.1%
VWIV21.3%17.1%24.5%17.1%20.4%
Skew 25d2.7%2.1%3.4%2.1%2.7%
Skew 10d5.5%4.1%6.7%4.1%5.4%
Call IV 25d19.1%16.8%21.4%17.4%18.8%
Put IV 25d21.8%19.3%24.6%19.5%21.5%
Bid-Ask Spread %3.782.555.745.744.39
Gamma HHI0.160.070.650.120.65
Net GEX81.0M-17.7M379.8M60.8M379.8M
Net DEX-544.7M-1.27B322.6M-594.2M-1.27B
Net VEX-6.2M-6.5M-5.8M-6.4M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.511.220.520.65
Total Volume42,145.919,04671,43256,77939,221
Total OI300,365.35243,373348,514316,934286,010

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$225.87$222.5018.4%4.9%16.2%15.1%17.1%2.1%0.0%60.8M-594.2M-6.4M0.525.7437,37319,406168,541148,393
2017-09-05$217.54$225.0022.5%6.8%19.9%46.9%24.5%3.2%-0.0%879.0K202.3M-6.2M0.593.5945,03926,393161,901143,519
2017-09-06$219.42$225.0020.2%6.4%20.4%29.1%23.1%2.7%0.3%29.1M-18.9M-6.4M0.663.7224,46216,049177,768151,417
2017-09-07$215.58$220.0022.0%6.8%21.0%43.2%23.6%3.4%0.1%-17.7M322.6M-6.5M0.645.6235,91323,109179,156154,092
2017-09-08$217.15$220.0021.4%6.7%20.4%38.5%23.3%3.3%-0.4%-7.3M119.6M-6.5M0.574.1727,75115,906189,635158,879
2017-09-11$221.14$220.0019.7%6.2%21.5%25.5%22.0%2.2%2.1%49.5M-230.0M-6.4M0.673.6127,36818,462175,783152,444
2017-09-12$225.92$220.0019.4%6.2%22.3%22.8%22.1%2.3%2.1%97.0M-725.7M-6.4M0.762.5740,52130,808180,082156,410
2017-09-13$226.68$220.0018.8%6.1%22.3%18.1%21.3%2.8%2.6%78.3M-699.7M-6.4M0.622.7518,40611,455178,933160,985
2017-09-14$226.70$220.0018.8%6.0%22.1%18.5%20.9%2.7%2.8%92.9M-703.0M-6.3M0.812.5515,87812,785181,236162,992
2017-09-15$225.03$220.0018.8%5.8%21.2%18.5%20.8%2.5%2.1%125.7M-474.0M-6.0M0.703.1629,35820,512180,938163,940
2017-09-18$227.52$220.0019.7%5.8%21.4%25.6%21.0%2.7%0.3%44.9M-470.6M-5.9M0.513.3328,11014,358110,548132,825
2017-09-19$229.02$225.0020.0%5.8%21.2%27.3%20.9%2.8%0.2%74.3M-613.4M-6.3M0.542.9622,30812,073120,423136,503
2017-09-20$229.74$225.0019.9%5.7%20.8%26.8%20.5%2.6%0.2%100.3M-700.7M-6.3M0.642.7425,33616,145126,212139,037
2017-09-21$231.37$225.0019.5%5.6%20.9%24.0%20.2%2.9%0.2%120.4M-879.7M-6.3M0.813.5716,93413,750129,412142,887
2017-09-22$231.02$225.0019.6%5.6%20.9%24.6%19.4%2.7%0.5%62.8M-833.0M-6.2M0.703.8919,59913,736131,088146,497
2017-09-25$230.44$225.0020.7%6.0%21.0%33.3%20.6%2.8%-0.1%66.6M-637.1M-6.2M1.224.3113,55016,478119,341138,458
2017-09-26$229.82$225.0020.5%5.9%20.4%31.8%20.7%2.8%-0.1%72.3M-604.6M-6.0M1.054.689,2779,769120,858146,732
2017-09-27$234.71$225.0020.5%5.9%21.4%31.7%21.7%2.8%0.4%86.3M-999.6M-6.1M0.534.2133,98518,151121,872148,814
2017-09-28$235.20$225.0020.3%5.8%21.1%29.7%21.2%2.6%-0.1%103.8M-1.09B-6.1M0.584.0314,7158,469129,904152,842
2017-09-29$237.38$225.0019.6%5.7%21.2%24.7%20.4%2.7%0.1%379.8M-1.27B-5.8M0.654.3923,80715,414130,670155,340