GS Options History — March 2018

In March 2018, GS traded between $245.83 and $273.51. ATM implied volatility averaged 24.9%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 1.6% (HV 20d: 26.5%). Max pain ranged from $250.00 to $260.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2018-03-09: Highest Volume — 69,331 contracts
  • 2018-03-19: Largest IV spike — 25.3% change
  • 2018-03-23: Highest IV Rank — 92.6%
  • 2018-03-23: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$260.91$245.83$273.51$257.32$251.98
Max Pain$254.40$250.00$260.00$260.00$255.00
ATM IV24.9%20.1%32.5%25.2%27.9%
Expected Move7.5%6.2%9.4%7.7%8.3%
HV 20d26.5%21.9%34.5%34.5%28.5%
HV 60d25.6%24.6%27.9%25.0%27.9%
IV Rank48.9%21.4%92.6%50.6%65.9%
IV Percentile83.7%44.8%99.2%96.0%96.0%
Term Structure0.0%-2.1%2.1%-0.7%-0.6%
VWIV26.4%22.0%32.2%26.8%28.3%
Skew 25d4.3%3.3%5.1%5.1%4.5%
Skew 10d8.2%6.3%10.5%8.2%8.8%
Call IV 25d23.1%18.3%30.5%23.2%26.0%
Put IV 25d27.3%21.8%35.3%28.3%30.5%
Bid-Ask Spread %6.843.4412.3012.307.40
Gamma HHI0.080.050.200.060.06
Net GEX50.7M-1.4M135.4M12.9M27.4M
Net DEX-652.9M-1.60B405.4M-264.9M-135.6M
Net VEX-8.4M-8.7M-8.0M-8.5M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.390.770.590.39
Total Volume42,729.8121,69369,33150,12047,707
Total OI281,582.667242,481305,983280,332296,539

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$257.32$260.0025.2%7.7%34.5%50.6%26.8%5.1%-0.7%12.9M-264.9M-8.5M0.5912.3031,43718,683149,018131,314
2018-03-02$258.37$260.0024.6%7.5%34.0%47.2%26.4%4.1%-0.3%31.7M-371.5M-8.7M0.666.0128,29918,783157,991134,560
2018-03-05$263.25$250.0023.8%7.1%30.6%42.9%26.2%4.4%0.0%58.8M-849.8M-8.7M0.613.4417,24110,432147,859124,599
2018-03-06$266.87$250.0022.7%7.1%28.3%36.4%25.5%4.2%0.1%86.2M-1.15B-8.5M0.675.2416,13810,801150,826126,037
2018-03-07$265.10$250.0023.4%7.3%27.3%40.1%25.9%4.5%0.3%79.4M-996.1M-8.6M0.604.6924,47014,610152,691127,209
2018-03-08$265.84$250.0022.6%7.1%27.2%35.5%24.9%4.1%-0.4%81.2M-1.06B-8.5M0.5711.2422,25312,759155,029131,571
2018-03-09$270.59$250.0020.1%6.4%23.0%21.4%22.7%3.5%0.2%135.4M-1.59B-8.1M0.608.7443,43825,893157,721134,047
2018-03-12$273.51$255.0020.6%6.4%23.1%24.2%23.2%4.4%1.7%116.9M-1.60B-8.0M0.488.3635,43416,960149,025125,284
2018-03-13$268.45$255.0021.6%6.7%23.8%29.8%23.7%4.3%1.8%83.2M-1.13B-8.2M0.705.2325,06117,427154,249130,087
2018-03-14$264.58$255.0021.7%6.9%24.5%30.6%24.5%3.3%2.1%55.7M-789.0M-8.2M0.694.6020,34313,969159,755134,404
2018-03-15$266.66$255.0021.5%6.7%22.8%29.5%23.2%3.5%2.1%77.1M-1.01B-8.2M0.575.0823,84613,560163,863135,918
2018-03-16$267.88$255.0020.3%6.2%21.9%22.5%22.0%3.7%1.9%52.7M-1.14B-8.1M0.685.1524,36216,527167,106138,877
2018-03-19$262.64$255.0025.4%7.4%23.0%52.1%25.7%4.3%-2.1%34.9M-601.0M-8.2M0.679.4526,00317,448125,181117,300
2018-03-20$263.16$255.0024.4%7.0%22.7%46.1%24.5%4.2%-0.5%45.7M-681.1M-8.2M0.726.0612,6089,085133,846124,569
2018-03-21$261.68$260.0025.1%7.2%22.7%50.1%26.0%4.1%-0.8%36.9M-579.5M-8.2M0.396.3631,93612,576135,980126,504
2018-03-22$253.56$255.0029.3%8.5%25.1%74.0%29.4%4.4%-1.6%551.5K-9.9M-8.3M0.5810.8935,49020,633143,825130,210
2018-03-23$245.83$255.0032.5%9.4%25.8%92.6%31.8%4.8%-0.7%-1.4M405.4M-8.3M0.777.9035,22527,124154,678135,778
2018-03-26$254.64$255.0028.8%8.4%28.5%71.4%29.5%4.6%-0.6%26.4M-318.3M-8.6M0.564.9422,91112,850145,380130,392
2018-03-27$247.88$252.5030.8%9.2%29.7%82.6%31.0%4.9%-0.4%6.8M134.8M-8.4M0.644.3626,61517,140149,878132,604
2018-03-28$249.28$255.0030.5%9.2%29.3%81.3%32.2%5.1%-0.7%15.6M38.9M-8.6M0.706.2923,14016,109155,504136,028
2018-03-29$251.98$255.0027.9%8.3%28.5%65.9%28.3%4.5%-0.6%27.4M-135.6M-8.6M0.397.4034,36513,342157,742138,797