GS Options History — December 2018

In December 2018, GS traded between $157.19 and $191.88. ATM implied volatility averaged 36.1%, placing in the 88.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.9% (HV 20d: 33.2%). Max pain ranged from $180.00 to $210.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2018-12-05: Highest Volume — 71,657 contracts
  • 2018-12-04: Largest IV spike — 25.6% change
  • 2018-12-17: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$172.75$157.19$191.88$191.88$166.72
Max Pain$191.75$180.00$210.00$200.00$180.00
ATM IV36.1%23.3%47.8%23.3%38.2%
Expected Move10.8%7.2%14.3%7.2%11.5%
HV 20d33.2%26.7%40.0%38.4%35.1%
HV 60d32.3%30.4%35.0%30.4%35.0%
IV Rank88.2%45.0%100.0%45.0%71.0%
IV Percentile96.5%67.9%100.0%67.9%97.2%
Term Structure-0.1%-2.2%2.4%0.8%-1.0%
VWIV37.1%25.4%49.1%25.4%40.2%
Skew 25d6.2%3.5%8.4%3.5%7.2%
Skew 10d12.6%6.9%18.0%6.9%14.7%
Call IV 25d33.3%22.1%43.5%22.1%34.9%
Put IV 25d39.5%25.5%51.9%25.5%42.1%
Bid-Ask Spread %6.563.0214.843.023.54
Gamma HHI0.110.060.320.100.07
Net GEX-30.1M-67.6M-7.5M-33.0M-11.3M
Net DEX1.47B1.14B1.89B1.21B1.14B
Net VEX-6.5M-6.9M-5.8M-6.9M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.591.750.810.82
Total Volume47,381.719,81971,65732,92619,819
Total OI374,216.9330,234423,250330,234351,578

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$191.88$200.0023.3%7.2%38.4%45.0%25.4%3.5%0.8%-33.0M1.21B-6.9M0.813.0218,18414,742157,583172,651
2018-12-04$184.33$200.0029.3%9.2%39.9%76.3%31.8%5.1%0.2%-43.4M1.46B-6.5M1.526.9527,85542,376162,393169,667
2018-12-05$184.37$200.0029.2%9.5%40.0%75.8%32.7%5.1%0.4%-43.1M1.45B-6.5M1.5114.8428,57943,078162,393169,667
2018-12-06$184.74$210.0030.5%9.2%38.6%83.0%32.1%5.2%0.4%-43.9M1.39B-6.8M0.939.0926,89625,101171,856176,379
2018-12-07$179.74$210.0031.3%9.5%38.9%86.7%32.5%5.5%0.5%-42.1M1.58B-6.5M0.686.8417,23311,650180,649180,513
2018-12-10$179.24$205.0033.3%10.0%38.5%97.5%35.7%6.1%1.6%-31.7M1.45B-6.4M0.975.5827,52826,629176,308169,431
2018-12-11$177.11$200.0032.7%10.0%26.7%94.1%33.7%5.5%2.1%-32.9M1.50B-6.6M0.894.8929,35926,084188,107180,723
2018-12-12$177.28$195.0031.6%9.7%26.9%88.2%31.5%5.2%2.3%-33.3M1.46B-6.9M1.754.1119,62634,321201,390190,853
2018-12-13$175.53$195.0031.6%9.6%26.9%88.5%33.0%5.0%2.4%-39.0M1.53B-6.9M0.933.4021,87020,255208,987195,339
2018-12-14$172.58$190.0033.4%9.9%26.9%98.2%33.3%5.2%2.0%-67.6M1.69B-6.8M1.044.1426,36127,291215,552199,937
2018-12-17$166.68$185.0038.3%11.2%28.5%100.0%38.0%5.9%-2.2%-30.6M1.84B-6.2M0.784.2225,53719,971206,663193,453
2018-12-18$171.69$185.0038.1%11.0%31.2%99.0%37.2%6.1%-1.9%-23.2M1.50B-6.9M0.596.3225,03614,867216,566198,047
2018-12-19$168.56$185.0037.2%10.7%30.4%95.4%36.0%6.3%-0.5%-26.0M1.66B-6.6M1.165.9216,95919,631221,563199,476
2018-12-20$168.43$185.0039.7%11.4%30.2%100.0%39.4%7.5%-0.7%-25.7M1.50B-6.6M1.107.9116,93618,708224,701191,629
2018-12-21$159.93$185.0044.0%12.8%34.0%100.0%44.2%8.0%-1.9%-25.0M1.89B-5.8M1.406.5828,04439,205228,501194,749
2018-12-24$157.19$185.0047.8%14.3%31.5%100.0%49.1%8.4%-1.9%-17.4M1.49B-5.8M1.1211.7719,86622,165171,719167,570
2018-12-26$161.92$180.0045.2%13.5%34.5%92.3%45.6%8.0%-1.9%-15.0M1.31B-6.2M1.298.2227,30635,228176,431173,396
2018-12-27$164.41$180.0044.9%13.5%33.6%91.4%47.7%7.8%-1.2%-7.5M1.14B-6.6M0.946.7420,24919,121183,519180,519
2018-12-28$162.60$180.0041.9%12.7%33.6%82.1%43.5%7.4%-0.9%-10.4M1.26B-6.3M1.027.1621,76222,206187,636186,244
2018-12-31$166.72$180.0038.2%11.5%35.1%71.0%40.2%7.2%-1.0%-11.3M1.14B-6.5M0.823.5410,8778,942175,110176,468