GS Options History — June 2019

In June 2019, GS traded between $182.64 and $204.18. ATM implied volatility averaged 25.3%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 1.6% (HV 20d: 23.8%). Max pain ranged from $190.00 to $195.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2019-06-28: Highest Volume — 55,971 contracts
  • 2019-06-04: Largest IV drop — 10.0% change
  • 2019-06-03: Highest IV Rank — 40.5%
  • 2019-06-25: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$193.50$182.64$204.18$182.64$204.18
Max Pain$190.75$190.00$195.00$195.00$190.00
ATM IV25.3%23.6%28.1%28.1%25.8%
Expected Move7.6%7.1%8.2%8.1%7.8%
HV 20d23.8%20.5%26.4%20.5%20.5%
HV 60d22.8%22.0%23.7%22.0%22.3%
IV Rank32.1%26.9%40.5%40.5%33.5%
IV Percentile66.4%53.2%81.7%81.7%69.8%
Term Structure0.3%-1.4%3.5%-0.3%-0.2%
VWIV26.6%25.1%28.5%28.5%27.8%
Skew 25d4.5%3.9%5.4%5.4%4.5%
Skew 10d8.9%7.5%10.5%10.5%9.2%
Call IV 25d23.3%21.3%25.5%25.5%24.2%
Put IV 25d27.8%25.5%30.9%30.9%28.6%
Bid-Ask Spread %3.992.145.524.644.17
Gamma HHI0.080.060.140.090.12
Net GEX2.1M-28.3M33.7M-28.3M33.7M
Net DEX135.6M-484.3M774.9M774.9M-484.3M
Net VEX-7.1M-7.4M-6.6M-6.6M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.511.590.780.51
Total Volume23,941.0513,10955,97125,93755,971
Total OI280,041.05221,485307,995272,625247,416

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$182.64$195.0028.1%8.1%20.5%40.5%28.5%5.4%-0.3%-28.3M774.9M-6.6M0.784.6414,61111,326122,271150,354
2019-06-04$189.26$195.0025.3%7.1%25.3%32.0%25.6%5.1%0.0%-10.9M389.6M-7.1M0.745.3618,56013,809127,256154,045
2019-06-05$188.10$195.0025.6%7.3%24.4%32.9%25.2%4.8%-0.1%-13.5M463.6M-7.1M1.083.839,57510,336131,315157,243
2019-06-06$190.01$190.0024.3%7.5%24.9%29.1%26.4%4.6%0.0%-5.3M285.0M-7.2M1.595.527,67212,184134,046158,480
2019-06-07$189.60$190.0023.6%7.4%24.7%27.0%26.1%4.1%0.2%9.7M320.3M-7.1M1.283.5111,41514,578136,002160,794
2019-06-10$194.06$190.0024.2%7.5%26.4%28.7%27.0%3.9%1.9%2.6M59.5M-7.2M0.754.7917,28413,013129,158157,333
2019-06-11$194.47$190.0023.6%7.5%23.6%26.9%26.7%4.2%2.4%1.1M70.5M-7.3M0.833.6310,7929,003132,400163,264
2019-06-12$190.03$190.0024.6%7.8%24.7%29.7%26.3%4.3%2.6%-17.4M375.3M-7.1M0.834.6512,34810,226133,740164,194
2019-06-13$191.22$190.0024.5%7.7%24.9%29.5%26.6%4.2%2.7%-11.5M282.7M-7.1M0.944.607,3726,902137,742164,980
2019-06-14$191.80$190.0024.2%7.6%24.3%28.7%26.3%4.3%3.5%-7.6M240.8M-7.1M0.983.7610,70310,449139,126166,209
2019-06-17$191.29$190.0025.9%7.7%24.1%33.9%25.9%4.8%-1.2%-8.2M275.8M-7.0M0.762.557,4505,659133,486161,322
2019-06-18$195.19$190.0025.7%7.5%25.3%33.2%26.3%4.9%-0.7%9.5M553.0K-7.0M0.722.9214,49110,367135,154160,683
2019-06-19$195.75$190.0025.6%7.3%25.2%32.8%26.7%4.6%-0.6%11.5M-26.8M-7.0M1.034.5610,11310,397136,450163,654
2019-06-20$195.74$190.0025.1%7.2%24.5%31.5%25.1%4.5%-0.8%13.7M-600.7K-7.0M0.784.3212,5789,780138,446165,069
2019-06-21$196.79$190.0025.2%7.3%23.0%31.6%25.5%4.3%-1.4%23.8M-87.7M-6.9M0.783.3916,55012,959141,216166,779
2019-06-24$197.41$190.0025.9%7.7%22.8%33.7%26.6%4.3%-0.3%6.8M-47.6M-7.0M0.643.9413,3258,57093,363128,122
2019-06-25$195.99$190.0027.2%8.2%22.2%37.8%28.1%4.7%-0.5%1.8M24.7M-7.2M0.903.9811,43810,32697,723132,626
2019-06-26$197.34$190.0026.4%7.9%21.9%35.1%27.0%4.5%-0.4%8.3M-41.7M-7.4M0.712.148,9376,304101,308136,923
2019-06-27$199.12$190.0026.0%7.8%21.8%34.0%28.1%4.3%-0.4%22.1M-162.0M-7.4M0.603.6213,4158,033103,404137,725
2019-06-28$204.18$190.0025.8%7.8%20.5%33.5%27.8%4.5%-0.2%33.7M-484.3M-7.4M0.514.1737,07618,895107,182140,234