GS Options History — November 2017

In November 2017, GS traded between $235.25 and $248.05. ATM implied volatility averaged 19.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.5% (HV 20d: 16.5%). Max pain ranged from $240.00 to $240.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2017-11-30: Highest Volume — 85,868 contracts
  • 2017-11-16: Largest IV drop — 6.7% change
  • 2017-11-09: Highest IV Rank — 30.2%
  • 2017-11-30: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$240.31$235.25$248.05$244.41$248.05
Max Pain$240.00$240.00$240.00$240.00$240.00
ATM IV19.0%17.8%20.3%19.0%19.7%
Expected Move5.6%5.1%6.3%5.5%6.3%
HV 20d16.5%11.1%21.5%21.5%16.2%
HV 60d18.9%17.2%19.6%19.6%17.9%
IV Rank20.0%10.4%30.2%20.0%25.7%
IV Percentile24.3%7.5%40.9%23.4%36.5%
Term Structure0.1%-0.5%0.8%0.2%0.2%
VWIV19.9%17.9%22.2%19.6%22.2%
Skew 25d2.1%1.4%2.8%2.2%1.6%
Skew 10d4.3%3.6%5.1%4.1%4.0%
Call IV 25d18.5%17.1%19.6%18.4%19.6%
Put IV 25d20.6%19.2%21.9%20.6%21.2%
Bid-Ask Spread %7.233.3622.087.3522.08
Gamma HHI0.110.080.410.110.13
Net GEX38.2M-4.0M129.7M49.1M88.0M
Net DEX-589.0M-1.21B-281.2M-865.5M-1.21B
Net VEX-5.5M-5.9M-5.2M-5.7M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.290.980.610.53
Total Volume36,267.04821,89385,86840,00385,868
Total OI262,852.333238,202288,369256,099261,623

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$244.41$240.0019.0%5.5%21.5%20.0%19.6%2.2%0.2%49.1M-865.5M-5.7M0.617.3524,77015,233107,347148,752
2017-11-02$246.58$240.0019.1%5.7%20.1%20.4%20.5%2.7%0.5%69.1M-1.05B-5.7M0.6712.3526,74117,933112,473152,814
2017-11-03$244.17$240.0019.0%5.7%20.4%20.1%21.2%1.8%0.4%36.8M-785.3M-5.9M0.648.1223,74015,206118,152160,183
2017-11-06$243.61$240.0019.1%5.6%19.9%20.7%20.1%2.5%0.4%45.8M-760.9M-5.6M0.747.3613,93210,278106,967144,206
2017-11-07$239.40$240.0019.3%5.7%20.8%22.2%20.3%1.6%0.6%22.2M-468.5M-5.6M0.607.9218,96611,410110,749147,406
2017-11-08$241.08$240.0019.5%5.8%21.0%23.7%20.8%2.8%0.6%35.2M-598.2M-5.7M0.816.0214,39911,670114,782150,619
2017-11-09$240.79$240.0020.3%6.0%20.6%30.2%21.3%2.7%0.4%30.8M-557.1M-5.8M0.987.9421,08520,718116,256153,150
2017-11-10$240.10$240.0019.9%5.9%20.6%26.9%20.5%2.3%0.8%129.7M-549.0M-5.6M0.814.5418,55515,104120,371162,170
2017-11-13$240.56$240.0019.9%5.8%19.8%26.5%20.7%2.4%0.2%14.5M-517.9M-5.5M0.744.9012,7489,478107,094156,475
2017-11-14$237.43$240.0020.3%5.9%17.8%29.9%20.3%2.4%-0.5%-4.0M-281.2M-5.4M0.644.7022,65514,601110,062158,671
2017-11-15$237.97$240.0020.0%5.7%15.1%27.6%20.5%2.4%-0.0%9.1M-357.9M-5.7M0.717.0316,62311,789116,857161,214
2017-11-16$239.48$240.0018.7%5.3%15.0%17.4%19.3%2.1%0.1%26.2M-562.4M-5.4M0.716.8319,24113,580120,102163,396
2017-11-17$237.87$240.0018.4%5.3%13.1%15.7%18.8%2.1%-0.1%16.6M-400.0M-5.5M0.567.7624,97014,094123,111165,258
2017-11-20$238.03$240.0018.0%5.2%12.5%12.1%17.9%2.0%-0.2%23.8M-458.8M-5.2M0.563.3615,4248,68799,116139,086
2017-11-21$238.07$240.0017.8%5.2%11.7%11.2%18.3%2.2%-0.1%33.7M-514.5M-5.3M0.663.9113,2038,690105,783141,944
2017-11-22$236.65$240.0017.8%5.1%11.1%10.4%18.2%2.1%-0.3%23.4M-407.3M-5.4M0.654.5415,2199,861107,578144,380
2017-11-24$235.95$240.0018.0%5.1%11.1%12.0%18.2%1.8%-0.2%23.0M-362.1M-5.4M0.8611.0212,89311,051111,332146,173
2017-11-27$235.25$240.0017.9%5.3%11.1%11.3%18.7%2.2%0.0%8.9M-296.0M-5.2M0.874.0012,31310,675102,453140,348
2017-11-28$239.59$240.0018.2%5.6%13.1%13.9%19.9%2.1%0.2%43.3M-623.0M-5.3M0.295.3847,98913,788107,605144,928
2017-11-29$241.42$240.0019.3%6.0%13.2%21.9%21.5%1.4%-0.0%76.6M-752.0M-5.5M0.414.6840,07116,357110,800148,113
2017-11-30$248.05$240.0019.7%6.3%16.2%25.7%22.2%1.6%0.2%88.0M-1.21B-5.2M0.5322.0855,98929,879111,672149,951