GS Options History — January 2018

In January 2018, GS traded between $251.01 and $272.68. ATM implied volatility averaged 21.0%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.4% (HV 20d: 17.5%). Max pain ranged from $240.00 to $257.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2018-01-25: Highest Volume — 124,650 contracts
2018-01-19: Largest IV drop — 8.3% change
2018-01-30: Highest IV Rank — 71.3%
2018-01-30: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$259.22	$251.01	$272.68	$255.72	$268.31
Max Pain	$252.02	$240.00	$257.50	$240.00	$257.50
ATM IV	21.0%	18.4%	23.0%	21.2%	22.8%
Expected Move	6.1%	5.3%	6.8%	6.2%	6.7%
HV 20d	17.5%	14.7%	19.6%	18.2%	19.6%
HV 60d	17.3%	16.1%	18.2%	17.9%	17.7%
IV Rank	42.6%	22.1%	71.3%	36.9%	69.5%
IV Percentile	61.4%	19.8%	89.7%	69.8%	88.9%
Term Structure	0.1%	-0.4%	0.8%	-0.0%	0.1%
VWIV	21.7%	18.9%	24.4%	22.5%	23.8%
Skew 25d	1.2%	0.4%	1.8%	1.8%	0.9%
Skew 10d	1.9%	0.5%	3.3%	3.2%	0.5%
Call IV 25d	20.7%	17.9%	22.8%	20.7%	22.7%
Put IV 25d	21.9%	19.4%	24.2%	22.5%	23.6%
Bid-Ask Spread %	5.29	2.29	25.10	2.32	3.76
Gamma HHI	0.11	0.08	0.19	0.09	0.14
Net GEX	74.0M	32.7M	144.8M	50.8M	98.9M
Net DEX	-1.14B	-1.81B	-564.2M	-944.3M	-1.24B
Net VEX	-6.4M	-7.6M	-5.5M	-5.5M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.41	0.83	0.83	0.41
Total Volume	67,834.905	28,890	124,650	28,890	51,728
Total OI	295,996.952	217,668	387,824	271,939	277,239

Daily Data (21 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
2018-01-02	$255.72	$240.00	21.2%	6.2%	18.2%	36.9%	22.5%	1.8%	-0.0%	50.8M	-944.3M	-5.5M	0.83	2.32	15,828	13,062	113,597	158,342
2018-01-03	$253.69	$240.00	20.7%	6.1%	18.3%	33.2%	22.3%	1.4%	0.1%	36.1M	-783.0M	-5.7M	0.82	4.23	26,026	21,338	117,419	162,692
2018-01-04	$256.73	$255.00	21.3%	6.2%	18.3%	40.5%	22.1%	1.2%	-0.1%	79.8M	-1.13B	-6.0M	0.47	2.29	43,565	20,403	128,950	170,369
2018-01-05	$255.22	$255.00	21.2%	6.1%	17.9%	40.9%	21.7%	1.1%	-0.2%	47.8M	-972.6M	-6.1M	0.53	3.15	36,436	19,422	138,041	177,622
2018-01-08	$251.73	$255.00	21.6%	6.2%	18.5%	44.2%	21.9%	1.1%	0.1%	34.8M	-699.0M	-6.0M	0.65	3.31	23,052	15,044	126,752	168,647
2018-01-09	$253.80	$255.00	22.1%	6.3%	18.5%	48.2%	22.3%	0.9%	-0.1%	53.0M	-923.1M	-6.2M	0.42	5.16	25,654	10,887	134,731	174,334
2018-01-10	$254.00	$255.00	21.7%	6.2%	18.5%	45.5%	22.1%	0.8%	-0.1%	56.5M	-948.7M	-6.1M	0.53	2.44	27,830	14,613	138,374	177,156
2018-01-11	$254.66	$255.00	22.3%	6.4%	14.7%	50.3%	22.4%	0.4%	-0.3%	68.9M	-1.05B	-6.2M	0.60	2.65	26,603	16,019	143,317	182,696
2018-01-12	$257.06	$255.00	21.9%	6.2%	14.8%	47.1%	21.9%	0.7%	-0.3%	91.6M	-1.31B	-6.0M	0.66	3.77	37,894	25,024	146,572	185,103
2018-01-16	$257.67	$250.00	22.1%	6.3%	14.8%	48.1%	22.4%	1.1%	-0.4%	73.6M	-1.28B	-5.8M	0.69	25.10	49,117	33,643	137,418	180,777
2018-01-17	$252.96	$250.00	20.5%	5.9%	16.2%	35.1%	21.1%	1.3%	-0.1%	55.6M	-754.4M	-5.8M	0.60	5.43	72,382	43,535	146,783	192,812
2018-01-18	$251.01	$250.00	20.1%	5.8%	15.6%	40.1%	20.4%	1.7%	-0.3%	32.7M	-564.2M	-6.3M	0.58	4.43	41,266	24,011	167,018	205,897
2018-01-19	$255.97	$250.00	18.4%	5.3%	16.8%	22.1%	18.9%	1.5%	-0.1%	54.4M	-1.36B	-6.3M	0.60	6.49	59,473	35,644	175,954	211,870
2018-01-22	$261.52	$250.00	19.1%	5.6%	18.3%	28.9%	20.0%	1.3%	0.5%	77.3M	-1.13B	-6.4M	0.61	3.06	49,835	30,558	105,564	112,104
2018-01-23	$259.92	$250.00	18.5%	5.4%	16.5%	22.8%	19.3%	1.4%	0.6%	89.8M	-1.00B	-6.6M	0.54	3.42	36,694	19,973	116,355	118,941
2018-01-24	$265.60	$250.00	18.8%	5.6%	17.9%	26.2%	20.5%	1.3%	0.8%	116.5M	-1.54B	-6.8M	0.56	4.52	67,440	38,011	122,977	126,370
2018-01-25	$268.74	$255.00	20.0%	5.8%	18.1%	39.4%	20.5%	1.0%	0.3%	144.8M	-1.81B	-6.7M	0.47	3.63	84,937	39,713	129,922	140,910
2018-01-26	$267.72	$255.00	20.4%	5.9%	18.0%	43.6%	21.1%	0.9%	0.7%	118.9M	-1.60B	-7.0M	0.49	4.99	57,494	27,989	138,611	153,887
2018-01-29	$272.68	$255.00	22.1%	6.5%	18.8%	61.5%	23.2%	1.5%	0.4%	93.4M	-1.61B	-7.1M	0.54	5.71	52,393	28,513	121,152	125,475
2018-01-30	$269.01	$255.00	23.0%	6.8%	19.6%	71.3%	24.4%	1.5%	0.5%	79.5M	-1.26B	-7.5M	0.48	11.27	41,501	19,983	128,631	134,555
2018-01-31	$268.31	$257.50	22.8%	6.7%	19.6%	69.5%	23.8%	0.9%	0.1%	98.9M	-1.24B	-7.6M	0.41	3.76	36,675	15,053	137,684	139,555