GS Options History — May 2018

In May 2018, GS traded between $225.63 and $243.97. ATM implied volatility averaged 20.0%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.9% (HV 20d: 18.0%). Max pain ranged from $240.00 to $255.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.64.

Notable Days

2018-05-29: Highest Volume — 96,164 contracts
2018-05-29: Largest IV spike — 18.6% change
2018-05-01: Highest IV Rank — 34.3%
2018-05-01: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$236.76	$225.63	$243.97	$235.93	$225.63
Max Pain	$246.02	$240.00	$255.00	$255.00	$240.00
ATM IV	20.0%	18.1%	22.4%	22.4%	21.0%
Expected Move	5.8%	5.2%	6.6%	6.6%	6.2%
HV 20d	18.0%	12.5%	24.6%	24.6%	18.7%
HV 60d	24.7%	22.9%	27.7%	27.7%	23.7%
IV Rank	20.6%	10.1%	34.3%	34.3%	26.3%
IV Percentile	38.6%	11.5%	74.2%	74.2%	56.3%
Term Structure	0.1%	-0.8%	0.9%	-0.3%	-0.4%
VWIV	20.3%	17.9%	23.2%	22.6%	21.6%
Skew 25d	2.3%	1.8%	3.3%	3.0%	2.0%
Skew 10d	4.0%	3.2%	5.9%	5.9%	3.5%
Call IV 25d	19.0%	17.4%	21.0%	20.6%	20.1%
Put IV 25d	21.3%	19.4%	24.1%	23.7%	22.1%
Bid-Ask Spread %	5.86	3.33	8.78	7.97	8.59
Gamma HHI	0.07	0.06	0.15	0.06	0.08
Net GEX	4.3M	-32.7M	57.8M	-16.7M	-21.8M
Net DEX	516.1M	-38.4M	995.0M	871.2M	844.5M
Net VEX	-7.4M	-8.0M	-6.9M	-7.1M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.42	1.07	0.50	0.75
Total Volume	46,719.136	29,047	96,164	41,634	72,567
Total OI	314,845.091	276,325	341,011	300,301	333,279

Daily Data (22 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
2018-05-01	$235.93	$255.00	22.4%	6.6%	24.6%	34.3%	22.6%	3.0%	-0.3%	-16.7M	871.2M	-7.1M	0.50	7.97	27,675	13,959	157,348	142,953
2018-05-02	$234.17	$255.00	21.9%	6.4%	24.2%	31.5%	22.5%	3.0%	-0.3%	-16.3M	957.3M	-7.0M	0.52	8.78	23,875	12,296	166,396	145,766
2018-05-03	$232.98	$250.00	22.3%	6.4%	23.5%	33.9%	22.5%	3.3%	0.0%	-21.4M	995.0M	-7.2M	0.57	7.02	47,801	27,254	173,071	148,693
2018-05-04	$235.34	$250.00	21.5%	6.2%	22.4%	29.5%	21.8%	2.7%	-0.1%	18.2M	711.9M	-7.6M	0.56	5.95	30,917	17,459	182,130	154,120
2018-05-07	$236.99	$250.00	21.0%	6.2%	21.0%	26.7%	21.8%	2.5%	0.5%	1.3M	626.3M	-7.5M	0.58	5.97	23,134	13,306	161,910	147,101
2018-05-08	$237.39	$250.00	20.8%	6.1%	20.5%	25.3%	21.5%	2.8%	0.6%	6.6M	578.7M	-7.6M	0.60	5.14	26,193	15,714	165,472	149,795
2018-05-09	$241.29	$245.00	20.2%	6.0%	21.3%	22.0%	21.2%	2.1%	0.9%	30.1M	222.0M	-7.9M	0.50	6.09	30,982	15,473	169,637	153,197
2018-05-10	$243.70	$245.00	19.9%	5.7%	18.8%	20.2%	20.3%	1.8%	0.1%	50.2M	-38.4M	-8.0M	0.42	3.79	40,251	17,069	173,076	154,929
2018-05-11	$242.86	$245.00	18.9%	5.5%	18.0%	14.7%	19.6%	2.1%	0.6%	57.8M	96.8M	-7.7M	0.56	5.99	25,281	14,212	174,768	156,692
2018-05-14	$243.97	$245.00	18.9%	5.5%	17.1%	14.5%	19.6%	1.9%	0.1%	36.5M	111.4M	-7.5M	0.51	4.59	23,757	12,009	164,626	149,137
2018-05-15	$240.97	$245.00	20.2%	5.8%	16.2%	21.6%	20.1%	2.2%	-0.7%	12.9M	377.5M	-7.5M	0.56	6.58	22,630	12,648	168,141	150,223
2018-05-16	$240.94	$245.00	19.0%	5.4%	16.2%	15.0%	19.0%	1.9%	0.1%	17.5M	374.0M	-7.4M	0.57	3.33	18,496	10,551	173,754	152,663
2018-05-17	$239.05	$245.00	18.7%	5.4%	16.2%	13.3%	18.9%	1.9%	0.2%	-4.2M	534.4M	-7.4M	0.53	5.11	24,899	13,188	178,384	154,152
2018-05-18	$237.27	$245.00	18.6%	5.3%	16.1%	12.8%	18.2%	1.8%	0.2%	-9.3M	709.8M	-7.2M	1.07	6.93	25,221	26,892	183,929	157,082
2018-05-21	$237.48	$245.00	18.1%	5.2%	14.8%	10.1%	18.2%	1.9%	0.4%	-2.3M	344.2M	-7.2M	0.83	3.80	17,379	14,450	142,818	133,507
2018-05-22	$238.59	$245.00	18.2%	5.2%	12.9%	10.4%	17.9%	1.9%	0.2%	6.0M	235.1M	-7.3M	0.72	5.73	19,369	13,961	145,399	135,916
2018-05-23	$236.78	$245.00	18.3%	5.2%	12.7%	11.1%	18.6%	2.3%	0.2%	-4.6M	385.6M	-7.2M	0.75	6.29	27,044	20,222	149,568	137,815
2018-05-24	$236.38	$245.00	18.4%	5.2%	12.5%	11.3%	18.6%	1.8%	0.4%	2.0M	359.8M	-7.4M	0.72	4.88	24,043	17,401	159,748	143,004
2018-05-25	$235.30	$242.50	18.7%	5.2%	12.5%	13.1%	18.4%	2.1%	0.3%	-14.2M	410.4M	-7.4M	0.73	5.76	21,608	15,710	164,391	145,426
2018-05-29	$226.64	$240.00	22.2%	6.6%	18.0%	33.2%	23.2%	3.0%	-0.5%	-32.7M	960.6M	-6.9M	0.74	5.90	55,184	40,980	157,379	141,278
2018-05-30	$229.14	$240.00	20.2%	5.8%	18.2%	22.1%	20.5%	2.1%	-0.8%	-486.4K	686.9M	-7.5M	0.68	4.73	32,501	22,260	175,685	152,234
2018-05-31	$225.63	$240.00	21.0%	6.2%	18.7%	26.3%	21.6%	2.0%	-0.4%	-21.8M	844.5M	-7.4M	0.75	8.59	41,458	31,109	182,882	150,397