GS Options History — June 2018

In June 2018, GS traded between $221.29 and $234.78. ATM implied volatility averaged 21.3%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.8% (HV 20d: 18.5%). Max pain ranged from $230.00 to $235.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2018-06-13: Highest Volume — 77,167 contracts
  • 2018-06-29: Largest IV drop — 12.6% change
  • 2018-06-28: Highest IV Rank — 60.8%
  • 2018-06-28: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$228.84$221.29$234.78$228.51$221.55
Max Pain$233.10$230.00$235.00$235.00$230.00
ATM IV21.3%18.2%27.0%19.7%23.6%
Expected Move6.4%5.5%7.9%5.5%7.0%
HV 20d18.5%14.4%20.3%19.4%14.4%
HV 60d21.9%19.3%23.9%23.9%19.3%
IV Rank28.1%10.6%60.8%19.2%41.3%
IV Percentile52.1%12.7%92.9%33.3%83.3%
Term Structure0.2%-1.3%2.1%-0.6%-0.3%
VWIV22.5%19.5%27.7%19.5%24.6%
Skew 25d1.3%0.3%2.0%1.9%1.4%
Skew 10d2.2%0.9%3.5%3.3%2.3%
Call IV 25d20.9%18.1%26.6%19.1%23.6%
Put IV 25d22.3%18.6%28.5%21.0%25.0%
Bid-Ask Spread %5.262.159.082.155.15
Gamma HHI0.100.060.260.070.07
Net GEX34.0M-7.5M116.7M5.8M-4.9M
Net DEX171.8M-251.9M533.6M446.2M482.5M
Net VEX-8.1M-9.1M-7.6M-7.7M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.330.860.700.86
Total Volume51,437.85731,43477,16769,52364,354
Total OI330,771.095260,186370,596352,842348,664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$228.51$235.0019.7%5.5%19.4%19.2%19.5%1.9%-0.6%5.8M446.2M-7.7M0.702.1540,78628,737196,384156,458
2018-06-04$229.73$235.0019.2%6.0%19.1%16.3%21.0%1.8%0.5%14.2M373.5M-7.7M0.694.6222,63915,619184,186151,458
2018-06-05$228.08$235.0019.3%6.0%19.0%17.0%21.4%1.7%0.3%3.7M514.8M-7.6M0.785.2420,73716,169189,011154,352
2018-06-06$232.11$235.0018.9%6.0%20.1%14.3%20.9%1.4%0.2%53.5M21.3M-7.8M0.665.1840,16026,567193,129156,430
2018-06-07$234.16$235.0019.2%6.0%19.4%16.4%21.1%0.8%0.0%84.0M-251.9M-8.0M0.549.0845,25624,468198,076158,218
2018-06-08$233.80$235.0019.1%6.0%19.0%15.4%21.0%1.2%0.4%53.4M-191.8M-8.0M0.674.5725,80717,334199,815160,980
2018-06-11$234.68$235.0018.4%5.8%19.1%11.3%20.3%1.1%1.6%69.7M-228.5M-7.9M0.624.3623,62214,658191,314154,248
2018-06-12$232.75$235.0018.2%5.7%19.1%10.6%20.2%0.9%1.7%65.1M-6.7M-7.9M0.696.2523,67516,380196,303157,171
2018-06-13$234.78$235.0018.4%5.8%19.1%11.6%20.5%0.3%2.1%102.9M-226.7M-8.0M0.385.9756,11421,053198,506160,276
2018-06-14$233.98$235.0019.1%5.9%19.1%15.6%20.8%0.7%1.8%116.7M-124.7M-8.0M0.536.3529,13115,560205,823162,783
2018-06-15$232.28$235.0020.2%6.2%19.0%21.9%21.5%0.9%2.1%57.6M59.6M-8.0M0.616.1636,57622,232206,112164,484
2018-06-18$231.27$235.0021.2%6.2%18.9%27.5%21.9%1.2%-0.1%26.6M3.4M-7.9M0.663.3318,88012,554137,487122,699
2018-06-19$228.02$235.0022.3%6.5%19.5%34.1%22.7%1.3%-0.4%9.6M232.9M-7.9M0.523.5529,69715,423144,457128,086
2018-06-20$227.82$230.0022.4%6.4%19.3%34.6%22.6%1.1%-0.5%21.5M166.9M-8.1M0.434.0032,52013,840155,385132,819
2018-06-21$226.61$230.0023.0%6.6%19.2%38.2%23.3%1.5%-0.5%17.6M278.6M-8.3M0.396.3534,59613,589164,508138,009
2018-06-22$226.47$230.0023.0%6.7%19.2%38.0%23.6%1.3%-0.8%14.7M263.7M-8.6M0.335.2345,87015,283174,851141,013
2018-06-25$221.85$230.0024.9%7.3%20.3%48.9%25.6%2.0%-0.3%-7.3M533.6M-8.4M0.695.6530,65221,189162,262132,336
2018-06-26$222.00$230.0024.6%7.1%15.7%47.0%25.3%1.7%-0.7%-7.5M508.8M-8.5M0.614.9729,13917,825168,808139,919
2018-06-27$221.29$230.0025.2%7.4%15.1%50.5%26.3%2.0%-0.2%-4.3M524.6M-8.6M0.678.1331,58921,132178,366145,310
2018-06-28$223.81$230.0027.0%7.9%14.8%60.8%27.7%2.0%-1.3%22.3M228.5M-9.1M0.624.2130,13918,644184,033151,664
2018-06-29$221.55$230.0023.6%7.0%14.4%41.3%24.6%1.4%-0.3%-4.9M482.5M-8.7M0.865.1534,58829,766192,664156,000