GS Options History — July 2018

In July 2018, GS traded between $220.34 and $239.14. ATM implied volatility averaged 19.8%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.4% (HV 20d: 15.3%). Max pain ranged from $225.00 to $230.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2018-07-17: Highest Volume — 89,007 contracts
  • 2018-07-17: Largest IV drop — 10.5% change
  • 2018-07-02: Highest IV Rank — 42.8%
  • 2018-07-03: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$230.03$220.34$239.14$222.80$237.11
Max Pain$229.76$225.00$230.00$230.00$230.00
ATM IV19.8%16.9%23.8%23.8%17.8%
Expected Move5.7%4.8%7.1%7.1%5.1%
HV 20d15.3%12.6%17.3%14.4%14.2%
HV 60d17.0%16.1%18.6%18.6%16.1%
IV Rank19.4%3.2%42.8%42.8%8.1%
IV Percentile36.1%1.6%84.5%84.5%6.0%
Term Structure0.1%-0.5%0.5%-0.2%-0.3%
VWIV20.0%17.1%25.1%24.9%17.7%
Skew 25d1.4%0.8%2.4%1.8%2.2%
Skew 10d2.2%1.3%3.8%2.5%3.8%
Call IV 25d19.3%16.2%23.5%22.9%16.8%
Put IV 25d20.7%18.1%24.7%24.7%19.0%
Bid-Ask Spread %6.473.2112.964.973.21
Gamma HHI0.100.060.250.060.14
Net GEX80.3M-7.4M187.2M5.3M99.8M
Net DEX-467.4M-1.27B554.6M334.5M-927.6M
Net VEX-9.1M-9.5M-8.3M-8.7M-9.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.440.790.650.71
Total Volume44,939.71422,13589,00731,01922,135
Total OI352,925.095313,417424,100319,725326,920

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$222.80$230.0023.8%7.1%14.4%42.8%24.9%1.8%-0.2%5.3M334.5M-8.7M0.654.9718,81112,208176,268143,457
2018-07-03$220.38$230.0023.7%7.1%14.6%41.9%25.1%0.8%-0.2%-5.1M526.4M-8.5M0.797.5115,39012,136180,794146,008
2018-07-05$220.34$230.0022.6%6.5%12.8%35.4%22.8%1.3%-0.1%-7.4M554.6M-8.3M0.6212.9627,90817,401184,119148,660
2018-07-06$221.98$230.0021.6%6.2%12.6%29.7%21.8%1.0%-0.1%16.4M364.9M-8.8M0.664.8621,89814,416196,073153,800
2018-07-09$227.95$230.0021.4%6.1%16.4%28.8%21.8%1.5%-0.0%36.0M-230.0M-8.9M0.536.5236,05418,938190,059149,582
2018-07-10$226.77$225.0021.4%6.2%16.3%28.7%22.1%1.1%0.3%45.0M-147.6M-9.1M0.637.1421,51413,540197,938150,287
2018-07-11$226.12$230.0022.5%6.4%16.1%35.2%22.6%1.2%-0.2%54.2M-136.6M-9.4M0.746.6516,11111,915211,497154,858
2018-07-12$227.20$230.0021.8%6.2%15.9%31.1%21.6%1.1%-0.1%71.5M-289.3M-9.5M0.508.4623,94911,919219,367159,412
2018-07-13$226.11$230.0020.4%5.8%15.9%22.9%20.5%1.1%-0.0%53.5M-123.4M-9.1M0.757.9928,04120,898223,605161,251
2018-07-16$230.39$230.0020.7%5.9%17.3%24.7%21.2%0.8%-0.3%80.9M-546.9M-9.3M0.778.1339,09630,025212,548154,200
2018-07-17$230.45$230.0018.5%5.3%17.2%12.3%18.8%0.8%0.4%100.6M-554.8M-9.2M0.466.0660,94328,064222,426162,624
2018-07-18$231.05$230.0017.9%5.1%16.4%8.7%18.3%0.9%0.5%151.6M-770.0M-9.3M0.494.8843,33521,255236,638167,603
2018-07-19$229.91$230.0018.1%5.2%16.6%9.7%18.1%1.2%0.5%112.7M-498.2M-9.2M0.577.3336,25920,711236,131171,485
2018-07-20$231.54$230.0018.1%5.2%16.6%9.6%18.1%1.3%0.0%71.7M-805.5M-9.5M0.586.5333,56919,530243,340180,760
2018-07-23$233.96$230.0018.1%5.1%16.9%10.1%18.1%1.6%0.4%94.9M-792.3M-9.2M0.443.8534,63915,268171,825141,592
2018-07-24$236.11$230.0017.9%5.1%14.9%8.7%17.9%1.6%0.4%124.5M-1.06B-9.3M0.596.4433,26419,534177,435144,296
2018-07-25$236.63$230.0017.2%4.8%14.8%4.8%17.1%1.4%0.4%130.9M-1.10B-9.2M0.776.9619,18414,854180,567146,410
2018-07-26$236.82$230.0017.1%4.8%14.7%3.9%17.2%1.6%0.2%147.7M-1.15B-9.2M0.665.8521,02413,782183,836148,845
2018-07-27$237.85$230.0016.9%4.8%14.4%3.2%17.5%1.9%0.4%187.2M-1.27B-9.0M0.694.9423,74216,455184,653150,889
2018-07-30$239.14$230.0017.5%5.1%13.5%6.3%17.8%2.4%-0.5%114.1M-1.20B-9.0M0.704.6320,04613,973172,739146,630
2018-07-31$237.11$230.0017.8%5.1%14.2%8.1%17.7%2.2%-0.3%99.8M-927.6M-9.1M0.713.2112,9379,198175,972150,948