GS Options History — October 2017

In October 2017, GS traded between $235.82 and $245.99. ATM implied volatility averaged 19.6%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.1% (HV 20d: 18.5%). Max pain ranged from $225.00 to $240.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.72.

Notable Days

2017-10-17: Highest Volume — 78,228 contracts
2017-10-17: Largest IV drop — 14.6% change
2017-10-11: Highest IV Rank — 44.1%
2017-10-11: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$241.86	$235.82	$245.99	$240.65	$242.61
Max Pain	$236.36	$225.00	$240.00	$225.00	$240.00
ATM IV	19.6%	17.0%	22.1%	20.2%	18.9%
Expected Move	5.7%	4.9%	6.4%	6.0%	5.5%
HV 20d	18.5%	14.4%	22.5%	21.4%	21.5%
HV 60d	19.2%	18.0%	20.3%	18.2%	19.6%
IV Rank	24.8%	4.5%	44.1%	29.0%	19.3%
IV Percentile	31.7%	2.0%	63.5%	33.3%	23.0%
Term Structure	-0.1%	-1.4%	0.7%	-0.1%	0.3%
VWIV	20.2%	17.3%	22.4%	21.1%	19.5%
Skew 25d	2.1%	1.5%	2.7%	2.6%	1.8%
Skew 10d	4.2%	2.8%	5.3%	4.9%	3.6%
Call IV 25d	19.0%	16.7%	21.5%	19.2%	18.5%
Put IV 25d	21.1%	18.3%	24.0%	21.7%	20.4%
Bid-Ask Spread %	6.10	3.56	9.76	5.71	6.35
Gamma HHI	0.16	0.09	0.86	0.13	0.10
Net GEX	79.0M	19.4M	692.4M	60.3M	35.2M
Net DEX	-1.03B	-1.59B	-579.1M	-1.22B	-714.7M
Net VEX	-5.7M	-6.0M	-5.2M	-5.9M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.38	0.91	0.61	0.65
Total Volume	36,879.364	19,656	78,228	40,781	29,245
Total OI	270,450.909	223,869	302,918	270,719	247,362

Daily Data (22 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
2017-10-02	$240.65	$225.00	20.2%	6.0%	21.4%	29.0%	21.1%	2.6%	-0.1%	60.3M	-1.22B	-5.9M	0.61	5.71	25,391	15,390	117,236	153,483
2017-10-03	$241.88	$225.00	20.4%	6.2%	15.1%	30.8%	22.0%	2.7%	-0.1%	71.7M	-1.30B	-5.9M	0.85	3.56	17,765	15,084	122,153	157,662
2017-10-04	$240.36	$225.00	20.7%	6.2%	15.6%	33.3%	21.9%	2.4%	-0.4%	55.1M	-1.16B	-5.7M	0.88	4.35	13,322	11,725	123,099	161,132
2017-10-05	$245.99	$235.00	20.8%	5.9%	14.6%	33.7%	20.8%	2.1%	-0.3%	75.2M	-1.59B	-5.5M	0.78	7.92	29,437	23,049	123,770	162,852
2017-10-06	$245.96	$235.00	21.1%	6.0%	14.8%	36.1%	21.6%	2.2%	-0.3%	54.2M	-1.59B	-5.6M	0.61	6.05	22,007	13,424	128,422	168,052
2017-10-09	$242.75	$235.00	21.6%	6.1%	15.5%	39.8%	22.4%	2.7%	-0.4%	51.0M	-1.16B	-5.9M	0.73	4.13	17,261	12,670	119,005	148,800
2017-10-10	$242.44	$235.00	21.2%	6.1%	14.4%	36.6%	21.1%	2.5%	0.1%	49.8M	-1.16B	-6.0M	0.68	4.23	11,684	7,972	122,441	152,485
2017-10-11	$242.37	$235.00	22.1%	6.4%	14.4%	44.1%	22.0%	2.4%	0.0%	47.3M	-1.15B	-6.0M	0.69	8.17	18,148	12,568	123,810	154,065
2017-10-12	$239.72	$240.00	22.1%	6.3%	15.3%	43.7%	22.2%	2.5%	-0.4%	36.3M	-986.9M	-5.8M	0.83	8.74	16,325	13,522	128,859	155,102
2017-10-13	$238.61	$240.00	21.5%	6.1%	15.0%	39.3%	21.5%	2.4%	-0.5%	38.5M	-891.3M	-5.8M	0.91	6.17	16,797	15,261	131,259	157,715
2017-10-16	$242.32	$240.00	21.0%	6.0%	15.4%	35.5%	21.1%	2.3%	-1.4%	67.3M	-1.14B	-5.5M	0.73	6.19	25,648	18,608	121,969	149,079
2017-10-17	$235.82	$240.00	18.0%	5.1%	18.7%	12.0%	18.2%	1.6%	-0.4%	23.5M	-591.3M	-5.3M	0.55	5.01	50,504	27,724	123,782	153,501
2017-10-18	$242.01	$235.00	17.8%	5.1%	20.7%	10.6%	18.0%	1.6%	-0.4%	104.1M	-1.22B	-5.6M	0.60	4.91	38,192	22,894	135,828	161,118
2017-10-19	$239.94	$235.00	17.3%	5.0%	21.0%	7.0%	17.8%	1.8%	-0.2%	55.6M	-948.4M	-5.4M	0.54	5.26	22,550	12,209	136,565	163,156
2017-10-20	$244.85	$240.00	17.0%	4.9%	21.9%	4.5%	17.3%	1.6%	0.0%	692.4M	-1.50B	-5.2M	0.38	6.44	47,190	18,042	138,593	164,325
2017-10-23	$242.11	$240.00	17.5%	5.1%	22.4%	8.5%	18.2%	2.0%	0.7%	38.5M	-715.4M	-5.6M	0.87	7.21	13,592	11,889	96,137	127,732
2017-10-24	$244.82	$240.00	17.8%	5.2%	22.5%	11.1%	18.4%	1.9%	0.5%	54.2M	-899.4M	-5.6M	0.67	3.64	19,273	12,940	99,544	132,320
2017-10-25	$241.79	$240.00	18.6%	5.5%	22.1%	16.8%	19.9%	1.6%	0.6%	37.0M	-677.1M	-5.7M	0.91	7.11	19,625	17,831	103,144	135,683
2017-10-26	$241.86	$240.00	18.5%	5.5%	22.1%	16.2%	19.5%	1.9%	0.7%	51.4M	-711.4M	-5.8M	0.79	6.81	12,980	10,285	109,100	143,049
2017-10-27	$241.25	$240.00	18.5%	5.5%	22.0%	16.4%	19.1%	1.5%	0.7%	21.2M	-670.8M	-5.7M	0.79	9.76	17,579	13,850	110,382	145,329
2017-10-30	$240.90	$240.00	19.2%	5.6%	21.4%	21.6%	20.6%	2.1%	-0.0%	19.4M	-579.1M	-5.9M	0.85	6.40	10,772	9,122	98,948	141,872
2017-10-31	$242.61	$240.00	18.9%	5.5%	21.5%	19.3%	19.5%	1.8%	0.3%	35.2M	-714.7M	-5.6M	0.65	6.35	17,775	11,470	102,597	144,765