GS Options History — August 2018

In August 2018, GS traded between $227.00 and $242.66. ATM implied volatility averaged 16.4%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.5% (HV 20d: 14.9%). Max pain ranged from $225.00 to $235.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.62.

Notable Days

2018-08-27: Highest Volume — 89,008 contracts
2018-08-10: Largest IV spike — 11.6% change
2018-08-13: Highest IV Rank — 16.3%
2018-08-13: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$235.76	$227.00	$242.66	$236.62	$238.22
Max Pain	$230.54	$225.00	$235.00	$230.00	$235.00
ATM IV	16.4%	14.7%	17.8%	17.7%	17.5%
Expected Move	4.7%	4.4%	5.3%	5.0%	4.8%
HV 20d	14.9%	11.2%	19.1%	13.3%	18.9%
HV 60d	16.1%	14.9%	17.1%	16.1%	15.6%
IV Rank	7.2%	0.0%	16.3%	7.4%	14.6%
IV Percentile	3.3%	0.0%	10.3%	4.8%	10.3%
Term Structure	0.3%	-0.4%	0.7%	-0.4%	0.2%
VWIV	16.6%	14.9%	18.3%	17.8%	16.6%
Skew 25d	1.9%	1.8%	2.6%	2.2%	1.8%
Skew 10d	3.5%	2.6%	4.1%	3.7%	3.5%
Call IV 25d	15.7%	14.1%	17.3%	16.9%	16.7%
Put IV 25d	17.6%	15.9%	19.3%	19.0%	18.5%
Bid-Ask Spread %	5.34	3.25	7.88	5.67	5.12
Gamma HHI	0.12	0.08	0.36	0.14	0.10
Net GEX	81.5M	-8.5M	189.6M	99.6M	71.2M
Net DEX	-580.1M	-1.10B	365.4M	-860.9M	-489.2M
Net VEX	-8.8M	-9.1M	-8.3M	-9.0M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.27	1.26	1.03	0.60
Total Volume	39,328.478	25,499	89,008	25,518	32,793
Total OI	328,763.783	285,607	368,619	332,031	337,043

Daily Data (23 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
2018-08-01	$236.62	$230.00	17.7%	5.0%	13.3%	7.4%	17.8%	2.2%	-0.4%	99.6M	-860.9M	-9.0M	1.03	5.67	12,565	12,953	179,772	152,259
2018-08-02	$234.05	$230.00	17.2%	4.8%	14.3%	4.5%	17.1%	2.1%	-0.3%	41.3M	-504.7M	-8.8M	0.98	3.25	15,532	15,173	182,687	154,589
2018-08-03	$233.95	$230.00	16.1%	4.4%	14.2%	0.0%	15.6%	2.1%	-0.2%	44.2M	-471.3M	-8.8M	0.61	5.87	23,622	14,309	186,143	159,183
2018-08-06	$235.70	$225.00	15.8%	4.7%	11.3%	0.0%	14.9%	2.0%	0.3%	68.2M	-671.4M	-8.6M	1.26	7.08	15,564	19,622	168,599	149,822
2018-08-07	$237.82	$225.00	15.4%	4.5%	11.2%	0.0%	15.8%	1.8%	0.2%	96.3M	-978.0M	-8.6M	0.54	5.84	27,689	14,996	173,999	153,035
2018-08-08	$237.20	$230.00	14.7%	4.6%	11.2%	0.0%	16.0%	1.8%	0.3%	91.2M	-888.7M	-8.6M	0.61	4.49	17,773	10,782	177,957	155,195
2018-08-09	$233.89	$230.00	15.3%	4.6%	12.6%	2.8%	16.4%	1.8%	0.4%	40.6M	-442.0M	-8.5M	0.72	5.46	19,759	14,312	181,338	156,304
2018-08-10	$229.69	$230.00	17.1%	5.0%	14.2%	12.2%	17.5%	2.1%	0.3%	-8.5M	116.5M	-8.5M	0.64	6.24	28,302	18,128	184,322	158,360
2018-08-13	$227.00	$230.00	17.8%	5.3%	13.2%	16.3%	18.0%	2.0%	0.4%	-2.2M	365.4M	-8.3M	0.81	3.93	19,583	15,911	181,004	154,177
2018-08-14	$229.66	$230.00	16.5%	4.8%	13.9%	9.1%	17.1%	1.9%	0.2%	23.5M	23.2M	-8.4M	0.63	4.13	18,670	11,722	186,940	158,165
2018-08-15	$229.56	$230.00	17.3%	5.1%	13.9%	13.4%	18.3%	2.6%	0.6%	29.2M	17.6M	-8.7M	0.45	5.63	30,627	13,750	190,873	160,408
2018-08-16	$232.82	$230.00	15.9%	4.7%	14.7%	6.3%	16.9%	2.0%	0.3%	103.4M	-627.0M	-8.7M	0.35	4.01	33,369	11,677	199,438	163,042
2018-08-17	$233.41	$230.00	15.8%	4.6%	14.5%	5.8%	16.6%	1.9%	0.2%	72.0M	-701.3M	-8.8M	0.39	3.85	22,987	8,876	203,368	165,251
2018-08-20	$235.89	$230.00	15.8%	4.6%	14.5%	5.8%	16.2%	1.8%	0.6%	83.8M	-561.7M	-8.7M	0.48	4.34	23,204	11,210	156,517	129,090
2018-08-21	$239.17	$230.00	15.2%	4.4%	15.0%	2.3%	15.9%	1.9%	0.7%	108.6M	-886.9M	-8.9M	0.55	7.88	30,046	16,387	161,698	133,825
2018-08-22	$239.40	$230.00	15.3%	4.4%	15.0%	3.1%	15.9%	2.0%	0.6%	123.2M	-919.5M	-9.0M	0.80	4.98	14,205	11,294	166,706	137,869
2018-08-23	$236.80	$230.00	15.6%	4.4%	15.5%	4.6%	15.9%	1.9%	0.7%	115.0M	-629.1M	-8.8M	0.67	4.81	17,553	11,738	168,498	139,743
2018-08-24	$235.15	$230.00	15.6%	4.4%	15.6%	4.5%	15.5%	1.9%	0.7%	189.6M	-440.5M	-8.7M	0.65	6.32	22,038	14,236	173,170	142,742
2018-08-27	$242.52	$232.50	16.9%	4.7%	19.1%	11.2%	16.6%	1.8%	0.3%	108.2M	-1.09B	-8.9M	0.27	6.57	69,965	19,043	161,536	141,277
2018-08-28	$242.66	$235.00	17.5%	4.9%	18.8%	14.3%	17.1%	1.8%	0.0%	142.5M	-1.10B	-9.1M	0.29	4.92	53,424	15,477	175,499	145,825
2018-08-29	$241.84	$235.00	17.1%	4.7%	18.9%	12.2%	16.9%	1.8%	0.4%	129.1M	-950.9M	-9.1M	0.45	6.50	23,819	10,810	173,351	150,123
2018-08-30	$239.38	$235.00	17.6%	4.9%	18.8%	14.9%	17.0%	1.8%	0.2%	104.1M	-651.5M	-9.1M	0.53	5.88	25,599	13,461	178,414	152,411
2018-08-31	$238.22	$235.00	17.5%	4.8%	18.9%	14.6%	16.6%	1.8%	0.2%	71.2M	-489.2M	-8.9M	0.60	5.12	20,471	12,322	181,328	155,715