GS Options History — August 2019

In August 2019, GS traded between $195.75 and $212.26. ATM implied volatility averaged 26.3%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.0% (HV 20d: 28.3%). Max pain ranged from $205.00 to $210.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2019-08-01: Highest Volume — 36,660 contracts
  • 2019-08-05: Largest IV spike — 22.8% change
  • 2019-08-05: Highest IV Rank — 48.3%
  • 2019-08-14: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$202.38$195.75$212.26$212.26$203.75
Max Pain$207.95$205.00$210.00$210.00$205.00
ATM IV26.3%23.9%30.7%24.5%24.2%
Expected Move7.5%6.8%8.7%7.0%6.9%
HV 20d28.3%23.9%31.3%23.9%28.3%
HV 60d23.9%22.4%25.1%22.4%23.7%
IV Rank33.4%22.1%48.3%29.5%22.1%
IV Percentile66.5%46.0%88.5%56.7%46.4%
Term Structure-0.2%-0.9%0.6%-0.7%0.2%
VWIV26.4%24.1%29.9%24.1%24.8%
Skew 25d6.2%4.8%7.6%4.8%5.6%
Skew 10d12.2%8.7%14.8%8.7%11.1%
Call IV 25d23.6%21.3%27.3%22.7%21.3%
Put IV 25d29.8%26.8%34.6%27.5%26.8%
Bid-Ask Spread %6.205.088.686.365.37
Gamma HHI0.080.060.160.060.06
Net GEX-15.4M-34.0M14.0M-10.9M567.8K
Net DEX312.7M-50.9M760.9M-50.9M47.3M
Net VEX-7.7M-8.1M-7.4M-7.9M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.322.340.712.34
Total Volume22,827.9555,12236,66036,66028,822
Total OI263,324.409241,080283,734252,686269,779

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$212.26$210.0024.5%7.0%23.9%29.5%24.1%4.8%-0.7%-10.9M-50.9M-7.9M0.716.3621,43015,230109,194143,492
2019-08-02$209.03$210.0025.0%7.0%24.5%31.0%24.4%5.8%-0.5%-13.9M157.1M-8.0M1.006.0618,11818,126114,737147,301
2019-08-05$202.14$210.0030.7%8.5%27.2%48.3%29.9%7.0%-0.7%-23.6M459.5M-8.0M1.278.6814,38818,316108,507146,035
2019-08-06$205.30$210.0027.2%7.7%27.7%37.6%26.6%6.9%-0.3%-18.7M263.2M-8.0M0.727.1914,50010,437113,185149,967
2019-08-07$205.56$210.0028.0%7.8%27.7%40.1%29.2%7.0%-0.4%-14.8M232.3M-8.1M1.045.4411,81212,229116,169151,827
2019-08-08$206.99$210.0024.6%7.1%25.9%29.7%24.2%6.3%-0.4%-12.5M127.8M-7.9M0.817.4210,4458,487119,028153,902
2019-08-09$207.65$210.0024.6%6.9%25.6%29.0%25.1%6.1%-0.2%-2.1M56.7M-7.8M1.507.807,53411,316121,190155,812
2019-08-12$201.20$210.0028.8%8.1%27.5%42.0%26.8%6.8%-0.7%-25.1M475.0M-7.7M1.025.0810,34410,584112,233151,356
2019-08-13$203.66$210.0025.4%7.1%26.5%31.4%24.6%6.3%-0.8%-20.2M333.9M-7.7M1.096.749,38210,224116,088155,980
2019-08-14$196.47$210.0029.5%8.7%28.9%44.1%29.2%7.3%0.6%-34.0M760.9M-7.7M0.816.3016,64613,504118,079158,607
2019-08-15$195.75$210.0029.8%8.4%28.8%44.9%29.6%7.6%-0.9%-33.4M708.1M-7.6M1.125.6310,81212,144120,598156,423
2019-08-16$199.06$210.0025.9%7.4%29.7%33.0%27.3%6.9%-0.1%-29.6M533.3M-7.7M0.645.2316,58410,632124,070159,664
2019-08-19$202.45$210.0023.9%6.9%30.6%26.8%24.6%5.9%0.0%-11.9M226.7M-7.6M0.945.357,5317,09099,358141,722
2019-08-20$200.35$205.0025.5%7.3%29.1%31.6%25.5%5.8%-0.3%-17.7M339.3M-7.4M0.325.5316,0535,094101,113144,204
2019-08-21$200.50$205.0024.2%7.0%28.7%27.8%24.2%5.3%0.1%-10.8M296.6M-7.5M0.725.5810,7257,687106,778145,771
2019-08-22$202.43$205.0024.1%6.9%29.2%27.0%24.8%5.6%0.4%-3.7M187.7M-7.6M0.685.9712,2478,366109,433149,758
2019-08-23$196.44$205.0027.8%8.0%30.2%38.0%29.2%6.0%0.2%-21.5M557.4M-7.6M1.056.3211,30911,836112,404152,044
2019-08-26$198.99$205.0026.8%7.7%31.0%34.9%27.6%6.1%0.2%-18.3M384.7M-7.6M0.706.603,0142,108104,852149,324
2019-08-27$198.35$205.0027.4%7.9%30.8%34.2%27.8%6.3%0.2%-18.8M423.8M-7.6M0.646.118,9695,713107,442150,697
2019-08-28$200.48$205.0026.2%7.5%31.3%29.8%27.2%6.0%-0.0%-11.2M308.7M-7.5M0.485.9212,8376,134109,061152,397
2019-08-29$203.57$205.0024.1%6.8%28.7%23.0%24.1%5.5%0.1%14.0M49.8M-7.6M0.875.8212,54910,907110,352153,204
2019-08-30$203.75$205.0024.2%6.9%28.3%22.1%24.8%5.6%0.2%567.8K47.3M-7.7M2.345.378,63420,188112,701157,078