GS Options History — February 2019

In February 2019, GS traded between $190.96 and $199.57. ATM implied volatility averaged 22.8%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 5.8% (HV 20d: 28.6%). Max pain ranged from $190.00 to $195.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.78.

Notable Days

  • 2019-02-15: Highest Volume — 54,543 contracts
  • 2019-02-07: Largest IV spike — 10.4% change
  • 2019-02-08: Highest IV Rank — 29.2%
  • 2019-02-08: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.24$190.96$199.57$196.85$196.54
Max Pain$190.53$190.00$195.00$190.00$195.00
ATM IV22.8%21.4%24.4%22.9%22.7%
Expected Move6.6%6.2%6.9%6.8%6.4%
HV 20d28.6%18.8%39.3%39.2%18.8%
HV 60d35.7%33.3%39.3%39.3%33.3%
IV Rank24.6%20.3%29.2%24.6%24.1%
IV Percentile49.9%36.9%61.9%49.2%47.6%
Term Structure0.1%-0.7%1.0%0.2%0.1%
VWIV23.8%22.1%29.4%23.5%22.8%
Skew 25d3.3%2.8%4.2%3.6%3.2%
Skew 10d6.7%5.4%8.5%7.2%6.5%
Call IV 25d21.8%20.5%22.9%21.5%21.6%
Put IV 25d25.1%23.7%27.0%25.1%24.8%
Bid-Ask Spread %3.982.895.423.703.56
Gamma HHI0.100.070.130.080.10
Net GEX18.7M-5.1M36.3M15.2M16.7M
Net DEX-260.3M-657.2M195.4M-364.0M-111.9M
Net VEX-8.8M-9.1M-8.6M-9.1M-8.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.281.400.630.53
Total Volume31,893.73716,04654,54327,65430,474
Total OI352,378.632334,443384,716353,821358,293

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-02-01$196.85$190.0022.9%6.8%39.2%24.6%23.5%3.6%0.2%15.2M-364.0M-9.1M0.633.7016,93510,719177,456176,365
2019-02-04$197.36$190.0021.7%6.4%38.0%21.2%22.6%3.2%1.0%22.5M-408.6M-8.9M0.523.9816,3458,424166,029169,820
2019-02-05$197.57$190.0021.8%6.2%38.0%21.3%22.5%3.1%-0.3%30.5M-463.5M-8.9M0.763.5811,2438,511171,602171,731
2019-02-06$196.91$190.0021.4%6.3%37.8%20.3%22.1%3.2%0.6%21.5M-363.9M-8.8M0.753.849,1596,887172,806174,024
2019-02-07$192.76$190.0023.7%6.6%39.0%27.1%24.1%4.1%-0.7%-5.1M45.6M-8.8M0.774.1223,41218,091175,527176,208
2019-02-08$190.96$190.0024.4%6.9%39.3%29.2%24.8%4.2%-0.3%1.7M195.4M-8.7M1.193.5917,71821,031178,927180,014
2019-02-11$191.64$190.0023.6%6.8%39.3%26.7%23.9%4.0%-0.4%1.7M106.4M-8.6M1.402.897,39210,353169,528175,481
2019-02-12$194.39$190.0022.9%6.6%39.3%24.7%23.1%3.2%0.0%13.8M-167.0M-8.9M0.714.1117,64512,583172,035179,287
2019-02-13$195.26$190.0023.0%6.6%39.3%25.0%23.8%3.1%0.0%20.1M-251.0M-9.0M0.974.6219,36518,732178,043182,295
2019-02-14$193.26$190.0023.2%6.6%19.1%25.5%23.7%3.2%0.7%4.0M-3.0M-8.9M1.124.5419,08921,411182,470189,292
2019-02-15$198.78$190.0022.6%6.5%21.6%23.9%23.3%3.3%0.3%24.4M-657.2M-9.0M0.955.4228,04126,502187,598197,118
2019-02-19$198.89$190.0022.9%6.6%20.7%24.7%24.6%3.0%-0.3%25.4M-465.2M-8.9M0.843.4015,68913,107158,691175,752
2019-02-20$198.21$190.0023.1%6.6%19.0%25.3%24.1%3.0%0.1%29.6M-400.0M-8.9M0.594.3314,7338,702163,821180,757
2019-02-21$196.30$190.0023.0%6.6%19.3%25.1%23.9%3.3%0.1%17.2M-204.5M-8.8M0.974.4415,49215,064167,021181,949
2019-02-22$196.09$190.0023.4%6.5%19.3%26.3%23.3%2.8%-0.0%16.2M-179.0M-8.9M0.853.6414,73512,487169,475186,587
2019-02-25$198.86$190.0022.3%6.5%19.0%22.8%22.6%3.0%-0.0%30.3M-445.9M-8.7M0.534.1326,28713,896161,350180,678
2019-02-26$199.57$190.0022.8%6.5%18.9%24.3%29.4%3.0%-0.1%36.3M-512.5M-8.8M0.283.7138,63010,817169,330183,830
2019-02-27$198.31$195.0022.8%6.6%19.0%24.5%23.6%3.2%0.2%34.2M-295.7M-8.9M0.453.9018,1238,157166,020187,984
2019-02-28$196.54$195.0022.7%6.4%18.8%24.1%22.8%3.2%0.1%16.7M-111.9M-8.7M0.533.5619,96410,510170,209188,084