GS Options History — September 2018

In September 2018, GS traded between $224.23 and $237.85. ATM implied volatility averaged 19.5%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.2% (HV 20d: 17.3%). Max pain ranged from $230.00 to $235.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.54.

Notable Days

  • 2018-09-19: Highest Volume — 78,715 contracts
  • 2018-09-17: Largest IV spike — 9.1% change
  • 2018-09-28: Highest IV Rank — 33.1%
  • 2018-09-12: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$231.86$224.23$237.85$237.85$224.23
Max Pain$233.42$230.00$235.00$235.00$232.50
ATM IV19.5%18.2%21.0%18.2%21.0%
Expected Move5.8%5.1%6.1%5.1%6.1%
HV 20d17.3%15.2%19.2%18.8%16.2%
HV 60d16.0%15.5%16.8%15.6%16.8%
IV Rank24.9%18.3%33.1%18.3%33.1%
IV Percentile36.6%18.7%60.3%18.7%60.3%
Term Structure0.4%-0.8%2.3%0.3%-0.1%
VWIV20.3%17.8%21.8%17.9%21.8%
Skew 25d2.1%1.5%2.6%2.1%1.5%
Skew 10d4.0%2.6%5.0%3.8%2.6%
Call IV 25d18.7%16.7%20.7%17.5%20.7%
Put IV 25d20.8%18.5%22.2%19.6%22.2%
Bid-Ask Spread %5.863.3910.078.104.15
Gamma HHI0.100.070.180.100.10
Net GEX42.4M-28.1M134.9M72.3M-28.1M
Net DEX-28.5M-807.7M621.1M-479.2M621.1M
Net VEX-8.3M-8.7M-7.8M-8.7M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.220.850.490.80
Total Volume37,600.84221,17578,71523,86451,438
Total OI330,091.789292,300366,558314,491331,658

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$237.85$235.0018.2%5.1%18.8%18.3%17.9%2.1%0.3%72.3M-479.2M-8.7M0.498.1015,9717,893165,917148,574
2018-09-05$237.47$235.0018.7%5.2%18.5%20.6%17.8%2.1%0.1%78.4M-465.0M-8.7M0.465.2121,8489,958169,964150,345
2018-09-06$235.29$235.0019.1%6.0%18.8%22.6%20.7%2.6%0.3%51.7M-196.9M-8.7M0.5410.0720,25810,961174,526153,016
2018-09-07$234.25$235.0018.7%5.9%18.1%20.9%20.6%2.3%0.4%44.3M-60.2M-8.5M0.696.8617,87812,267178,299154,714
2018-09-10$232.03$235.0019.0%6.1%17.2%22.3%21.1%2.4%2.1%25.1M93.1M-8.1M0.735.4112,2638,912166,011147,132
2018-09-11$230.41$235.0019.4%6.1%16.9%24.4%21.0%2.6%2.0%12.9M207.4M-8.0M0.855.3022,38119,114169,886147,320
2018-09-12$228.23$235.0019.7%6.1%16.7%26.0%20.8%2.0%1.7%659.3K401.5M-8.1M0.436.2522,2549,553177,870153,181
2018-09-13$228.53$235.0018.8%5.8%16.7%21.5%21.1%2.3%1.6%13.7M336.4M-8.0M0.587.0727,82416,067183,937154,412
2018-09-14$229.36$235.0018.3%5.7%15.9%18.5%19.8%1.9%2.3%45.4M230.1M-8.1M0.466.1927,81712,775191,109160,096
2018-09-17$227.51$230.0019.9%5.8%16.1%27.2%20.6%2.3%-0.1%5.1M404.9M-7.8M0.765.7019,76415,003181,704154,581
2018-09-18$228.85$230.0019.7%5.7%15.7%25.9%20.1%1.9%-0.4%32.8M199.9M-8.0M0.546.2418,2689,866189,420157,555
2018-09-19$236.12$230.0019.9%5.7%18.9%26.9%20.1%2.4%-0.6%121.6M-672.7M-8.3M0.228.8564,46014,255192,380159,018
2018-09-20$237.46$230.0019.6%5.7%19.0%25.4%20.0%1.9%-0.8%134.9M-807.7M-8.6M0.424.3233,46713,896200,407161,226
2018-09-21$235.71$235.0019.3%5.6%18.8%24.0%19.6%2.1%-0.2%98.4M-592.1M-8.5M0.394.6128,01110,929203,120163,438
2018-09-24$232.63$235.0020.0%5.8%19.2%27.6%20.5%2.1%-0.1%36.1M-117.8M-8.3M0.593.6721,03712,484154,759137,541
2018-09-25$232.56$232.5020.1%5.9%15.2%27.9%20.6%2.1%-0.1%40.4M-126.4M-8.4M0.443.3917,7377,735161,869142,777
2018-09-26$229.25$232.5020.4%6.0%15.8%29.6%21.0%1.8%-0.1%14.9M163.8M-8.3M0.365.6531,58511,369165,922144,587
2018-09-27$227.59$232.5020.5%6.1%15.9%30.3%21.3%1.6%-0.1%4.5M318.9M-8.3M0.434.3925,95611,162175,490147,983
2018-09-28$224.23$232.5021.0%6.1%16.2%33.1%21.8%1.5%-0.1%-28.1M621.1M-8.1M0.804.1528,63422,804180,767150,891