GS Options History — January 2019

In January 2019, GS traded between $169.50 and $202.47. ATM implied volatility averaged 28.5%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 10.8% (HV 20d: 39.3%). Max pain ranged from $165.00 to $190.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2019-01-16: Highest Volume — 229,672 contracts
  • 2019-01-16: Largest IV drop — 11.0% change
  • 2019-01-03: Highest IV Rank — 69.3%
  • 2019-01-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.96$169.50$202.47$171.57$197.72
Max Pain$177.14$165.00$190.00$180.00$190.00
ATM IV28.5%23.1%37.6%35.5%24.1%
Expected Move8.2%6.7%10.9%10.9%6.8%
HV 20d39.3%34.9%46.7%37.1%39.6%
HV 60d38.0%35.2%40.7%35.7%39.3%
IV Rank41.8%25.2%69.3%62.9%28.4%
IV Percentile76.1%53.2%96.4%96.0%59.9%
Term Structure-0.4%-1.0%0.3%-0.7%-0.3%
VWIV29.2%23.6%39.2%39.2%24.6%
Skew 25d4.4%2.7%6.9%6.9%3.9%
Skew 10d8.9%5.1%13.5%13.5%7.6%
Call IV 25d26.7%21.5%34.7%32.4%22.6%
Put IV 25d31.2%25.0%41.5%39.4%26.5%
Bid-Ask Spread %3.902.807.004.363.46
Gamma HHI0.110.060.210.060.08
Net GEX23.1M-4.8M63.5M-4.0M22.7M
Net DEX-176.2M-1.79B963.0M880.4M-479.0M
Net VEX-8.2M-9.5M-6.9M-6.9M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.391.591.140.94
Total Volume50,043.3815,082229,67253,78941,349
Total OI370,687.238311,725478,221357,699343,438

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$171.57$180.0035.5%10.9%37.1%62.9%39.2%6.9%-0.7%-4.0M880.4M-6.9M1.144.3625,15228,637178,753178,946
2019-01-03$169.50$165.0037.6%10.3%34.9%69.3%36.8%6.8%-1.0%-4.8M963.0M-6.9M1.284.9111,87615,147184,819182,092
2019-01-04$175.35$165.0034.5%9.6%37.4%59.7%34.0%6.0%-0.5%7.9M586.8M-7.2M0.566.9530,61917,133187,298183,637
2019-01-07$176.55$170.0033.9%9.6%37.5%58.0%33.7%6.0%-0.1%3.5M575.6M-7.3M0.525.0913,7967,237187,887177,469
2019-01-08$174.97$170.0033.4%9.3%36.4%56.5%34.2%5.2%-0.8%3.0M653.3M-7.3M0.754.2116,34012,266198,337179,523
2019-01-09$176.02$170.0032.6%9.2%36.5%53.9%32.1%5.2%-0.5%6.9M581.3M-7.5M1.592.978,47713,476202,771182,798
2019-01-10$176.08$170.0032.1%9.0%36.3%52.5%31.7%5.2%-0.9%6.1M590.0M-7.4M1.162.8010,52212,224203,967184,878
2019-01-11$176.55$170.0031.0%8.9%36.3%49.2%30.6%4.9%-0.1%-945.6K557.9M-7.3M0.793.0115,78412,463206,545186,556
2019-01-14$178.94$170.0029.1%8.3%36.4%43.6%30.1%4.6%-0.7%6.4M405.7M-7.2M0.753.4812,5829,458198,975179,264
2019-01-15$179.33$170.0029.0%8.3%35.8%43.2%29.7%4.5%-0.8%8.8M363.5M-7.2M1.103.7723,90826,359202,949182,468
2019-01-16$197.53$175.0025.8%7.4%46.7%33.5%27.0%3.5%-0.1%39.6M-1.30B-7.5M0.593.97144,44885,224211,263189,680
2019-01-17$198.79$175.0025.3%7.3%46.0%31.9%26.8%2.8%-0.5%55.9M-1.40B-8.7M0.397.00101,23639,231235,410213,530
2019-01-18$202.24$185.0024.1%7.0%45.1%28.2%25.0%2.7%-0.7%45.3M-1.79B-9.2M0.632.9151,51432,608254,387223,834
2019-01-22$197.64$185.0026.0%7.7%46.4%34.0%27.8%3.1%-0.0%27.4M-544.6M-9.2M0.973.6328,37427,573157,169154,556
2019-01-23$197.16$185.0025.4%7.5%41.0%32.3%26.9%3.3%0.2%32.2M-505.4M-9.3M1.023.1518,16818,465166,199163,430
2019-01-24$197.54$185.0025.0%7.3%39.8%31.0%26.0%3.0%0.2%38.5M-534.4M-9.5M0.743.3520,69015,212171,484171,032
2019-01-25$200.89$185.0023.1%6.7%39.3%25.2%23.6%3.5%0.3%44.1M-921.5M-9.4M0.503.0627,23513,537176,223176,980
2019-01-28$199.79$185.0023.6%6.9%39.7%27.0%24.4%3.8%0.0%37.8M-667.8M-9.3M0.572.883,2451,837162,931166,591
2019-01-29$200.60$185.0024.5%7.1%39.0%29.5%24.6%4.2%-0.3%45.5M-759.7M-9.4M0.403.5016,4706,571167,032167,937
2019-01-30$202.47$185.0023.7%6.7%38.6%27.2%24.0%3.8%-0.1%63.5M-953.2M-9.2M0.423.5324,25310,215171,575169,819
2019-01-31$197.72$190.0024.1%6.8%39.6%28.4%24.6%3.9%-0.3%22.7M-479.0M-9.2M0.943.4621,35119,998172,856170,582