GS Options History — February 2018

In February 2018, GS traded between $247.46 and $272.17. ATM implied volatility averaged 25.4%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 6.2% (HV 20d: 31.6%). Max pain ranged from $255.00 to $260.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.61.

Notable Days

  • 2018-02-02: Highest Volume — 108,603 contracts
  • 2018-02-08: Largest IV spike — 24.1% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$261.15$247.46$272.17$272.17$263.61
Max Pain$258.42$255.00$260.00$260.00$260.00
ATM IV25.4%21.0%33.8%22.1%23.0%
Expected Move7.3%6.0%9.5%6.6%6.9%
HV 20d31.6%19.7%34.4%19.7%33.5%
HV 60d23.1%17.8%24.6%17.8%24.4%
IV Rank58.8%26.4%100.0%61.3%37.9%
IV Percentile89.6%64.7%100.0%81.0%84.9%
Term Structure-0.1%-1.4%1.2%0.3%-0.1%
VWIV25.7%21.4%32.4%23.8%23.4%
Skew 25d4.2%1.6%10.6%1.6%2.9%
Skew 10d8.0%1.4%21.6%1.4%6.0%
Call IV 25d23.9%19.5%30.9%21.1%22.0%
Put IV 25d28.1%22.7%41.4%22.7%24.9%
Bid-Ask Spread %11.143.1755.394.007.28
Gamma HHI0.080.050.160.160.09
Net GEX54.5M-14.7M145.6M145.6M41.8M
Net DEX-798.9M-1.76B318.7M-1.70B-738.6M
Net VEX-8.5M-9.1M-7.5M-7.5M-8.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.440.940.440.60
Total Volume54,159.84235,177108,60361,63335,177
Total OI288,257.947250,801325,931284,946272,641

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$272.17$260.0022.1%6.6%19.7%61.3%23.8%1.6%0.3%145.6M-1.70B-7.5M0.444.0042,71018,923143,017141,929
2018-02-02$259.90$260.0024.9%7.1%26.1%91.7%25.4%1.8%0.1%1.3M-390.2M-7.9M0.619.1467,37341,230149,366144,180
2018-02-05$251.62$260.0030.0%8.8%28.6%100.0%29.5%2.6%1.2%-4.7M49.4M-8.3M0.5255.3959,24730,839140,478135,164
2018-02-06$257.96$260.0029.7%8.2%29.5%97.4%29.1%4.5%-1.4%47.9M-518.0M-8.9M0.8027.6231,03624,689160,000138,569
2018-02-07$257.51$260.0026.8%7.6%29.4%76.0%27.2%3.9%-0.1%54.0M-534.4M-8.9M0.445.7035,07115,455165,541141,845
2018-02-08$247.46$260.0033.2%9.5%32.7%100.0%31.6%6.6%0.1%-14.7M318.7M-8.9M0.646.1232,68320,903169,900146,500
2018-02-09$248.62$255.0033.8%9.3%32.8%100.0%32.4%10.6%-1.3%4.1M208.0M-9.1M0.5024.8449,89425,012178,178147,753
2018-02-12$253.48$255.0028.1%8.0%33.4%67.4%27.8%5.9%0.2%30.3M-310.9M-8.8M0.558.7628,94215,843158,624133,353
2018-02-13$255.26$255.0026.5%7.6%33.5%58.2%26.9%5.0%0.4%47.8M-501.7M-8.8M0.447.6728,18712,292161,385135,374
2018-02-14$262.33$255.0024.1%6.9%34.2%44.5%24.3%4.2%-0.2%96.6M-1.22B-8.8M0.593.1736,83421,865165,995137,721
2018-02-15$266.97$255.0023.5%6.8%34.4%40.9%24.7%3.7%-0.3%120.1M-1.63B-8.8M0.654.0839,51525,662167,053143,676
2018-02-16$268.13$255.0022.1%6.3%33.9%32.8%22.9%3.8%0.7%95.9M-1.76B-8.5M0.9414.5128,98427,382168,123147,981
2018-02-20$265.03$260.0023.0%6.7%33.4%38.0%24.0%4.2%-0.3%59.2M-1.02B-8.3M0.778.5820,01315,449133,064117,737
2018-02-21$263.89$260.0023.6%6.8%33.4%41.4%24.0%3.9%-0.2%53.3M-926.5M-8.5M0.513.7126,45213,556138,781122,783
2018-02-22$261.44$260.0024.0%6.9%32.6%43.7%24.6%4.1%-0.2%34.2M-722.4M-8.5M0.605.5622,53413,518144,595126,166
2018-02-23$266.67$260.0021.8%6.1%33.1%31.0%21.8%3.6%-0.0%61.8M-1.18B-8.4M0.714.0821,88115,473145,771128,691
2018-02-26$271.16$260.0021.0%6.0%33.6%26.4%21.4%3.4%0.0%85.6M-1.41B-8.1M0.666.4424,25916,095137,429119,356
2018-02-27$268.59$260.0021.5%6.1%33.2%29.2%22.4%3.6%-0.1%76.3M-1.19B-8.4M0.565.0528,16415,895143,803124,379
2018-02-28$263.61$260.0023.0%6.9%33.5%37.9%23.4%2.9%-0.1%41.8M-738.6M-8.4M0.607.2822,05013,127144,340128,301