GS Options History — April 2018

In April 2018, GS traded between $239.07 and $260.19. ATM implied volatility averaged 25.5%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.0% (HV 20d: 29.5%). Max pain ranged from $255.00 to $255.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2018-04-17: Highest Volume — 114,712 contracts
  • 2018-04-06: Largest IV spike — 10.3% change
  • 2018-04-02: Highest IV Rank — 80.5%
  • 2018-04-02: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$250.26$239.07$260.19$247.40$239.18
Max Pain$255.00$255.00$255.00$255.00$255.00
ATM IV25.5%21.9%30.4%30.4%21.9%
Expected Move7.4%6.4%9.9%9.9%6.4%
HV 20d29.5%24.9%32.5%29.1%24.9%
HV 60d29.1%28.1%29.8%28.1%29.1%
IV Rank52.4%31.4%80.5%80.5%31.4%
IV Percentile87.0%68.3%98.0%98.0%68.3%
Term Structure-0.2%-0.7%0.6%-0.5%-0.1%
VWIV26.0%22.4%33.3%33.3%22.6%
Skew 25d3.9%2.7%5.4%5.4%3.2%
Skew 10d7.8%5.4%10.4%10.4%5.4%
Call IV 25d23.8%20.3%28.1%28.0%20.3%
Put IV 25d27.7%23.5%33.4%33.4%23.5%
Bid-Ask Spread %8.085.6214.786.125.83
Gamma HHI0.080.050.200.050.06
Net GEX26.4M-10.7M83.3M10.8M-9.9M
Net DEX-55.9M-1.01B748.1M123.1M657.3M
Net VEX-8.3M-9.0M-7.5M-8.4M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.390.740.710.43
Total Volume49,585.42927,708114,71233,63034,329
Total OI320,531.286264,660383,690286,643288,761

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$247.40$255.0030.4%9.9%29.1%80.5%33.3%5.4%-0.5%10.8M123.1M-8.4M0.716.1219,66213,968153,655132,988
2018-04-03$250.41$255.0029.5%9.2%28.6%75.1%31.7%5.2%-0.6%23.7M-69.8M-8.6M0.616.4017,21710,491158,757137,898
2018-04-04$252.93$255.0028.5%8.9%28.3%69.9%31.0%4.7%-0.5%38.5M-273.3M-8.7M0.596.7924,19014,339161,751140,297
2018-04-05$256.00$255.0026.7%7.6%28.8%59.2%26.6%4.5%-0.1%60.0M-550.9M-8.7M0.679.2522,18514,827165,996144,328
2018-04-06$249.05$255.0029.4%8.3%30.1%74.9%28.3%4.6%-0.6%-8.1M99.9M-8.5M0.7011.9437,96126,711166,961145,527
2018-04-09$254.18$255.0028.3%8.0%30.4%68.5%27.9%5.1%-0.1%33.4M-347.2M-8.9M0.5410.0730,84016,588166,619147,456
2018-04-10$256.73$255.0027.7%8.0%30.3%64.9%28.2%5.0%0.4%50.4M-580.4M-9.0M0.7412.1621,48215,823172,475152,655
2018-04-11$253.17$255.0027.7%7.9%30.0%64.8%29.2%4.5%0.0%26.4M-195.7M-8.9M0.707.5221,12214,723175,652156,257
2018-04-12$260.19$255.0026.3%7.5%31.5%57.2%26.8%4.5%-0.2%83.3M-1.01B-9.0M0.667.5326,33717,421180,021158,918
2018-04-13$255.57$255.0025.9%7.5%31.9%54.9%25.8%3.5%0.5%40.7M-419.9M-8.8M0.7314.7830,82222,356182,697161,538
2018-04-16$259.26$255.0024.1%6.9%32.4%44.2%24.5%3.8%0.3%57.3M-743.5M-8.5M0.738.7926,18119,006169,654153,855
2018-04-17$253.90$255.0022.8%6.5%32.5%37.1%23.3%3.3%0.2%13.7M-140.3M-8.1M0.528.0175,39839,314175,156158,770
2018-04-18$253.45$255.0022.3%6.4%32.4%34.2%22.5%3.2%0.6%35.3M-210.8M-8.4M0.467.2844,27720,184204,889167,495
2018-04-19$254.31$255.0022.3%6.4%32.5%33.9%22.4%3.2%-0.5%54.9M-335.9M-8.4M0.398.3940,99015,880208,302169,683
2018-04-20$251.95$255.0022.8%6.6%30.6%37.0%22.8%3.3%-0.3%1.1M-79.3M-8.2M0.525.9936,68319,167213,446170,244
2018-04-23$246.86$255.0023.2%6.7%29.4%39.2%23.3%3.4%-0.3%4.3M252.3M-7.8M0.516.2533,76317,153137,191127,469
2018-04-24$241.59$255.0024.6%7.1%27.3%47.0%24.6%3.3%-0.5%-10.7M611.5M-7.6M0.457.4237,25716,787147,883133,445
2018-04-25$239.07$255.0025.3%7.4%26.0%51.1%25.6%3.3%-0.7%-9.9M748.1M-7.7M0.396.9642,89316,875159,356138,171
2018-04-26$240.47$255.0023.7%6.8%26.0%41.8%23.7%3.0%-0.4%15.9M607.1M-7.9M0.476.5927,27012,699175,080142,408
2018-04-27$239.72$255.0022.2%6.4%25.5%33.5%22.5%2.7%-0.1%44.4M680.2M-7.7M0.575.6229,34516,778181,530145,923
2018-04-30$239.18$255.0021.9%6.4%24.9%31.4%22.6%3.2%-0.1%-9.9M657.3M-7.5M0.435.8324,01410,315149,494139,267