GS Options History — November 2018

In November 2018, GS traded between $189.10 and $232.33. ATM implied volatility averaged 27.0%, placing in the 64.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 10.5% (HV 20d: 37.5%). Max pain ranged from $205.00 to $225.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2018-11-12: Highest Volume — 85,192 contracts
  • 2018-11-12: Largest IV spike — 35.5% change
  • 2018-11-20: Highest IV Rank — 91.9%
  • 2018-11-20: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$207.81$189.10$232.33$227.06$190.86
Max Pain$219.17$205.00$225.00$225.00$205.00
ATM IV27.0%20.3%32.2%24.7%26.8%
Expected Move7.9%6.1%9.2%7.7%8.3%
HV 20d37.5%28.6%43.6%30.9%38.8%
HV 60d26.9%22.3%30.3%22.7%30.3%
IV Rank64.4%29.3%91.9%52.2%63.4%
IV Percentile84.7%42.1%98.8%83.7%84.5%
Term Structure-0.5%-1.9%0.2%-0.4%-0.0%
VWIV27.6%21.5%31.2%27.4%29.2%
Skew 25d4.6%3.9%5.4%4.6%4.0%
Skew 10d8.9%5.5%11.3%8.3%8.5%
Call IV 25d25.2%18.7%30.2%23.0%25.0%
Put IV 25d29.8%22.6%35.6%27.6%29.0%
Bid-Ask Spread %6.573.7411.244.583.95
Gamma HHI0.100.060.310.060.31
Net GEX-17.0M-66.0M51.0M14.1M-66.0M
Net DEX847.4M-447.3M1.67B-109.9M1.38B
Net VEX-7.0M-7.8M-6.2M-7.8M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.671.240.871.22
Total Volume40,996.47618,29985,19223,11070,562
Total OI314,781.714283,932362,848297,290338,456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$227.06$225.0024.7%7.7%30.9%52.2%27.4%4.6%-0.4%14.1M-109.9M-7.8M0.874.5812,36510,745145,244152,046
2018-11-02$229.79$225.0025.1%7.8%31.0%54.2%28.3%4.9%-0.3%51.0M-332.6M-7.8M0.818.3422,28618,007146,213153,131
2018-11-05$228.34$225.0025.8%7.1%31.1%58.1%25.1%4.9%-0.5%15.6M-109.9M-7.7M0.975.9411,57211,180139,803144,129
2018-11-06$227.50$225.0024.6%7.0%30.8%51.8%25.2%4.5%-0.2%13.0M-37.6M-7.7M1.106.748,7149,585143,303147,840
2018-11-07$232.33$225.0020.3%6.1%29.0%29.3%21.5%3.9%0.2%41.1M-447.3M-7.2M1.0710.3418,98220,309145,148149,347
2018-11-08$231.34$225.0021.1%6.2%28.6%33.2%22.7%3.9%-0.1%42.0M-371.8M-7.3M1.027.3418,33718,776148,834150,566
2018-11-09$224.82$225.0022.7%6.6%30.9%42.0%22.8%4.3%0.2%-19.0M321.0M-7.2M1.179.8414,02516,362150,514154,123
2018-11-12$206.35$225.0030.8%8.6%43.6%84.3%29.5%4.7%-0.5%-36.4M1.21B-6.3M0.7011.2450,20034,992141,508144,183
2018-11-13$204.46$225.0030.0%8.3%42.6%80.2%29.2%5.0%-0.8%-34.2M1.29B-6.5M1.247.1328,97536,028161,058156,031
2018-11-14$203.01$220.0031.2%8.5%41.2%86.2%30.5%5.0%-1.3%-37.2M1.32B-6.9M1.049.5635,44036,811168,823166,230
2018-11-15$203.31$220.0029.3%8.1%41.3%76.6%29.7%4.8%-1.1%-31.3M1.29B-7.1M0.797.1721,28416,741181,034175,226
2018-11-16$202.31$220.0027.8%8.0%40.9%68.4%27.4%4.4%0.0%-27.9M1.36B-6.9M0.755.6819,12514,283185,091177,757
2018-11-19$197.54$220.0028.9%8.2%41.1%74.5%29.0%4.8%-0.8%-38.7M1.29B-6.5M0.835.4218,66315,509136,887154,223
2018-11-20$191.90$220.0032.2%9.2%41.8%91.9%31.2%5.4%-1.9%-41.2M1.50B-6.2M0.974.6726,32125,428142,059157,781
2018-11-21$192.73$215.0029.6%8.5%40.5%77.9%29.2%5.2%-1.3%-41.9M1.47B-6.5M0.865.6118,05115,561152,125166,237
2018-11-23$189.10$215.0030.2%8.8%40.1%81.0%30.7%5.1%-1.6%-43.0M1.67B-6.5M1.248.8613,02916,182155,663172,839
2018-11-26$194.16$212.5027.6%8.2%41.8%67.2%28.8%4.7%-0.3%-37.0M1.36B-6.7M0.773.7417,99313,899143,783169,269
2018-11-27$193.31$210.0027.1%8.2%41.8%65.1%28.3%4.3%-0.1%-38.7M1.41B-6.8M0.983.7814,33013,994148,915173,772
2018-11-28$197.91$210.0025.5%7.7%41.1%56.6%27.1%4.3%-0.4%-21.8M1.12B-7.2M0.683.7625,75717,543153,459177,284
2018-11-29$195.96$210.0025.8%7.9%38.3%58.2%27.5%4.0%-0.2%-20.6M1.20B-7.3M0.674.3019,79313,187158,800181,682
2018-11-30$190.86$205.0026.8%8.3%38.8%63.4%29.2%4.0%-0.0%-66.0M1.38B-6.9M1.223.9531,77138,791161,730176,726