GS Options History — December 2017

In December 2017, GS traded between $245.72 and $261.10. ATM implied volatility averaged 20.4%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.5% (HV 20d: 17.9%). Max pain ranged from $230.00 to $240.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.69.

Notable Days

2017-12-12: Highest Volume — 78,634 contracts
2017-12-12: Largest IV spike — 5.6% change
2017-12-04: Highest IV Rank — 39.4%
2017-12-01: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$254.27	$245.72	$261.10	$248.35	$255.39
Max Pain	$233.75	$230.00	$240.00	$240.00	$240.00
ATM IV	20.4%	18.9%	21.5%	20.7%	20.9%
Expected Move	6.1%	5.9%	6.7%	6.7%	6.0%
HV 20d	17.9%	15.3%	20.6%	15.9%	18.2%
HV 60d	17.9%	17.0%	18.6%	17.4%	18.5%
IV Rank	31.0%	19.4%	39.4%	33.2%	34.8%
IV Percentile	51.0%	26.6%	67.5%	52.4%	64.7%
Term Structure	0.5%	-0.2%	1.9%	-0.0%	0.4%
VWIV	22.0%	21.2%	23.6%	23.6%	21.6%
Skew 25d	1.5%	1.1%	2.1%	2.0%	1.3%
Skew 10d	2.6%	-0.6%	4.6%	-0.6%	2.3%
Call IV 25d	20.1%	18.4%	21.3%	19.1%	20.8%
Put IV 25d	21.5%	20.1%	22.6%	21.1%	22.2%
Bid-Ask Spread %	6.50	3.27	15.05	8.64	11.38
Gamma HHI	0.13	0.09	0.47	0.12	0.09
Net GEX	67.2M	38.1M	149.1M	56.5M	38.1M
Net DEX	-1.16B	-1.56B	-742.8M	-1.15B	-965.7M
Net VEX	-5.4M	-5.7M	-4.9M	-5.6M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.47	1.04	0.69	0.91
Total Volume	41,915.55	23,973	78,634	68,925	48,986
Total OI	271,164.8	245,233	295,223	275,951	285,405

Daily Data (20 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
2017-12-01	$248.35	$240.00	20.7%	6.7%	15.9%	33.2%	23.6%	2.0%	-0.0%	56.5M	-1.15B	-5.6M	0.69	8.64	40,841	28,084	117,224	158,727
2017-12-04	$250.66	$230.00	21.5%	6.5%	15.7%	39.4%	22.8%	1.3%	-0.0%	62.8M	-1.13B	-5.5M	0.52	10.90	29,298	15,336	108,062	144,951
2017-12-05	$248.33	$230.00	20.7%	6.4%	16.1%	32.8%	23.3%	1.8%	0.8%	51.2M	-928.6M	-5.7M	0.68	8.72	19,908	13,550	110,276	149,898
2017-12-06	$245.72	$230.00	20.5%	6.4%	15.3%	31.8%	23.0%	1.6%	0.7%	40.0M	-742.8M	-5.6M	0.83	5.70	18,394	15,209	111,980	151,496
2017-12-07	$248.30	$230.00	20.1%	6.2%	15.5%	28.5%	22.6%	1.8%	0.6%	61.0M	-974.5M	-5.4M	0.81	5.01	18,289	14,857	114,901	154,049
2017-12-08	$249.99	$230.00	19.1%	6.1%	15.6%	21.1%	22.4%	1.7%	0.9%	149.1M	-1.11B	-5.4M	0.70	6.36	19,778	13,807	117,099	156,319
2017-12-11	$249.97	$230.00	18.9%	6.0%	15.5%	19.4%	21.8%	1.7%	1.9%	61.6M	-1.03B	-5.2M	1.04	4.13	12,807	13,327	108,218	148,099
2017-12-12	$257.92	$230.00	20.0%	6.0%	18.6%	27.5%	22.0%	2.1%	1.0%	72.2M	-1.56B	-4.9M	0.51	5.31	52,036	26,598	111,139	151,104
2017-12-13	$255.88	$230.00	20.1%	6.1%	18.1%	28.2%	21.5%	1.7%	1.3%	70.3M	-1.43B	-5.2M	0.47	3.78	38,162	18,117	120,803	159,720
2017-12-14	$255.94	$230.00	20.0%	6.0%	18.2%	27.7%	21.3%	1.2%	1.3%	64.4M	-1.38B	-5.4M	0.64	5.36	24,915	15,941	127,566	163,454
2017-12-15	$256.96	$230.00	19.7%	6.0%	18.1%	25.1%	21.2%	1.1%	1.8%	52.1M	-1.47B	-5.3M	0.49	3.27	31,195	15,397	129,950	165,273
2017-12-18	$260.04	$230.00	20.4%	6.0%	17.9%	30.7%	21.3%	1.3%	-0.1%	66.8M	-1.30B	-5.2M	0.84	5.57	26,488	22,370	105,533	139,700
2017-12-19	$256.88	$235.00	21.0%	6.1%	18.9%	35.2%	21.8%	1.5%	-0.1%	58.0M	-1.10B	-5.4M	0.58	3.56	22,695	13,264	112,611	147,559
2017-12-20	$255.13	$235.00	20.8%	6.0%	19.2%	34.2%	21.5%	1.3%	-0.2%	58.0M	-975.3M	-5.6M	0.55	5.68	22,433	12,397	118,991	150,735
2017-12-21	$261.10	$235.00	20.9%	6.0%	20.1%	34.9%	21.2%	1.1%	0.6%	105.5M	-1.49B	-5.5M	0.69	15.05	31,816	22,079	122,753	153,691
2017-12-22	$258.83	$240.00	20.6%	5.9%	20.5%	32.1%	21.2%	1.2%	-0.0%	73.2M	-1.25B	-5.7M	0.70	4.47	23,877	16,746	127,394	160,015
2017-12-26	$257.43	$240.00	21.2%	6.1%	20.6%	36.6%	21.8%	1.7%	-0.2%	73.6M	-1.11B	-5.5M	0.77	4.19	15,373	11,880	117,402	149,008
2017-12-27	$255.97	$240.00	20.9%	6.1%	20.2%	34.2%	21.8%	1.1%	0.0%	62.0M	-990.1M	-5.6M	0.64	8.31	14,625	9,348	119,846	153,267
2017-12-28	$256.65	$240.00	20.7%	5.9%	20.2%	33.3%	21.3%	1.1%	0.2%	67.8M	-1.05B	-5.5M	0.74	4.70	16,171	11,917	122,419	156,659
2017-12-29	$255.39	$240.00	20.9%	6.0%	18.2%	34.8%	21.6%	1.3%	0.4%	38.1M	-965.7M	-5.6M	0.91	11.38	25,692	23,294	124,582	160,823