GS Options History — March 2019

In March 2019, GS traded between $188.59 and $202.30. ATM implied volatility averaged 24.5%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.7% (HV 20d: 17.8%). Max pain ranged from $190.00 to $195.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2019-03-22: Highest Volume — 67,157 contracts
  • 2019-03-22: Largest IV spike — 11.2% change
  • 2019-03-25: Highest IV Rank — 42.4%
  • 2019-03-22: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$194.94$188.59$202.30$198.57$191.87
Max Pain$193.57$190.00$195.00$195.00$190.00
ATM IV24.5%21.0%28.7%22.9%25.5%
Expected Move6.9%6.3%7.7%6.4%7.2%
HV 20d17.8%14.3%20.5%17.3%19.5%
HV 60d30.7%27.6%33.4%33.4%27.6%
IV Rank29.6%18.9%42.4%24.8%32.6%
IV Percentile60.8%32.9%80.6%52.0%70.6%
Term Structure0.1%-1.5%2.5%0.2%-0.3%
VWIV24.1%22.1%27.1%22.7%25.1%
Skew 25d3.5%2.3%4.3%2.8%4.0%
Skew 10d6.8%4.6%9.0%5.1%7.4%
Call IV 25d23.0%19.2%27.6%21.5%23.6%
Put IV 25d26.5%21.5%31.7%24.3%27.7%
Bid-Ask Spread %4.772.477.783.814.29
Gamma HHI0.100.060.180.090.11
Net GEX12.9M-32.2M49.7M38.7M16.3M
Net DEX50.9M-397.8M645.5M-394.9M283.9M
Net VEX-8.2M-8.8M-7.8M-8.8M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.321.030.520.85
Total Volume34,314.90513,76567,15744,19825,095
Total OI342,952.524270,039375,366365,441338,630

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$198.57$195.0022.9%6.4%17.3%24.8%22.7%2.8%0.2%38.7M-394.9M-8.8M0.523.8128,98715,211174,999190,442
2019-03-04$195.88$195.0023.9%6.9%17.9%27.8%23.8%3.3%0.2%19.4M-58.2M-8.6M0.793.2118,41414,621166,634183,387
2019-03-05$196.02$195.0023.2%6.3%17.9%25.5%22.3%3.4%0.1%17.8M-51.6M-8.5M0.933.2112,35811,479170,686187,596
2019-03-06$194.96$195.0023.2%6.3%18.0%25.7%22.1%3.1%0.2%10.9M64.1M-8.4M1.012.479,0129,067174,034190,425
2019-03-07$192.88$195.0024.9%7.0%18.3%30.6%24.5%4.1%0.2%-10.1M308.2M-8.3M0.892.8420,31318,165175,778191,990
2019-03-08$195.30$195.0024.8%6.6%17.2%30.3%23.3%4.3%0.2%4.7M-31.4M-8.5M0.723.1524,22817,350178,741195,779
2019-03-11$196.19$190.0022.4%6.9%16.9%23.3%23.0%3.1%1.8%25.7M-133.2M-8.0M0.674.6617,59911,744169,929188,911
2019-03-12$196.68$190.0021.6%6.8%16.9%20.7%23.5%3.2%2.5%33.0M-208.9M-7.9M0.875.117,3696,396174,482189,135
2019-03-13$197.72$195.0021.4%6.5%16.2%20.3%23.8%3.1%1.5%40.9M-312.5M-7.9M0.505.1117,9888,967176,007191,008
2019-03-14$197.70$195.0021.9%6.6%16.2%21.6%23.4%2.6%1.9%49.7M-362.1M-8.0M0.465.0711,5465,343180,362192,676
2019-03-15$198.00$195.0021.0%6.3%15.7%18.9%23.4%2.3%2.0%23.8M-397.8M-7.8M0.587.2618,64710,884182,158193,208
2019-03-18$202.30$195.0023.2%6.5%14.3%25.5%22.2%3.0%-0.9%26.4M-298.8M-7.8M0.325.1045,89214,496118,090151,949
2019-03-19$200.95$195.0024.6%6.7%14.5%29.7%23.4%3.3%-1.0%37.7M-279.9M-8.3M0.415.3140,60916,696138,311158,524
2019-03-20$194.50$195.0026.3%7.1%18.7%35.0%24.6%3.3%-1.2%2.4M272.0M-8.1M0.587.2235,95520,750145,292164,278
2019-03-21$194.51$195.0025.8%7.0%18.4%33.5%24.6%3.2%-1.1%-4.8M292.9M-8.3M0.634.6828,45618,052154,128171,999
2019-03-22$189.54$195.0028.7%7.7%20.5%42.3%26.5%4.2%-1.5%-32.2M645.5M-8.2M0.837.7836,68430,473159,843176,230
2019-03-25$188.59$195.0028.7%7.6%19.6%42.4%27.1%4.3%-0.5%-15.7M561.1M-8.0M1.034.4214,81115,315148,083170,691
2019-03-26$190.19$190.0027.2%7.5%19.9%37.8%26.2%4.1%-0.6%-10.1M437.6M-8.1M0.474.6714,9717,032151,318173,690
2019-03-27$190.63$190.0027.3%7.5%19.9%37.9%26.5%4.2%-0.3%-3.6M390.8M-8.1M0.715.8411,5538,229155,021174,135
2019-03-28$190.71$190.0026.3%7.3%19.8%34.9%24.4%4.1%-0.2%372.3K342.6M-8.1M0.774.8811,1998,657158,529174,895
2019-03-29$191.87$190.0025.5%7.2%19.5%32.6%25.1%4.0%-0.3%16.3M283.9M-8.1M0.854.2913,56611,529160,314178,316