GS Options History — September 2019

In September 2019, GS traded between $198.82 and $219.66. ATM implied volatility averaged 23.9%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.8% (HV 20d: 24.7%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2019-09-09: Highest Volume — 44,083 contracts
  • 2019-09-16: Largest IV spike — 12.7% change
  • 2019-09-03: Highest IV Rank — 30.0%
  • 2019-09-24: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$211.72$198.82$219.66$198.82$207.47
Max Pain$207.75$200.00$210.00$205.00$210.00
ATM IV23.9%21.3%26.6%26.6%25.9%
Expected Move7.1%6.6%7.7%7.6%7.7%
HV 20d24.7%20.1%29.9%27.1%22.8%
HV 60d24.6%24.0%25.0%24.3%24.9%
IV Rank18.9%10.2%30.0%30.0%25.1%
IV Percentile42.9%17.1%71.4%71.4%67.1%
Term Structure0.5%-0.8%2.5%-0.4%-0.3%
VWIV25.4%23.6%27.0%27.0%26.5%
Skew 25d4.8%4.1%6.1%6.1%5.4%
Skew 10d9.8%8.5%12.5%12.5%10.3%
Call IV 25d21.8%19.0%24.1%24.1%23.5%
Put IV 25d26.6%23.5%30.1%30.1%28.8%
Bid-Ask Spread %7.045.7310.735.915.92
Gamma HHI0.090.050.230.060.06
Net GEX16.1M-18.0M59.0M-16.5M-4.0M
Net DEX-308.2M-925.3M356.9M356.9M56.6M
Net VEX-7.5M-7.8M-7.2M-7.6M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.351.230.850.78
Total Volume23,245.5510,31144,08332,29611,372
Total OI270,336.8237,331295,217256,428245,139

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$198.82$205.0026.6%7.6%27.1%30.0%27.0%6.1%-0.4%-16.5M356.9M-7.6M0.855.9117,48614,810104,408152,020
2019-09-04$201.80$200.0023.5%6.6%27.0%17.8%23.6%5.5%0.3%-21.0K134.6M-7.8M0.456.3811,6555,235111,032156,543
2019-09-05$207.36$205.0022.4%7.2%28.8%13.9%25.4%5.0%0.3%21.6M-235.6M-7.8M0.697.8520,45414,095112,258157,357
2019-09-06$207.36$205.0021.3%7.0%28.7%10.2%25.2%4.7%0.4%14.5M-209.0M-7.7M1.177.909,22910,830113,307160,037
2019-09-09$212.38$205.0022.5%7.2%29.9%14.5%24.5%4.6%2.5%23.7M-443.3M-7.6M0.545.7628,67715,406107,271154,784
2019-09-10$215.40$205.0023.2%7.2%27.6%16.8%26.4%4.9%1.9%36.7M-663.3M-7.7M0.687.1518,96112,891113,935158,633
2019-09-11$216.24$205.0022.7%7.1%27.4%15.1%25.4%4.6%2.1%38.7M-689.7M-7.6M0.896.5010,6789,482116,327161,738
2019-09-12$218.67$205.0022.3%6.7%23.3%13.5%24.4%4.3%1.4%49.6M-864.3M-7.5M1.215.7319,38023,453118,334164,435
2019-09-13$219.66$210.0021.8%6.7%23.1%11.9%24.8%4.2%2.3%59.0M-925.3M-7.4M1.086.5810,83611,736121,526173,691
2019-09-16$217.21$210.0024.6%7.2%23.5%21.3%26.2%4.6%-0.8%23.7M-582.1M-7.5M1.157.758,80510,148112,251166,739
2019-09-17$215.62$210.0024.9%7.2%23.3%21.4%26.4%4.5%-0.2%16.0M-480.4M-7.6M0.787.1311,1698,656114,809168,796
2019-09-18$217.53$210.0024.0%6.9%22.8%18.4%25.5%4.7%0.3%27.1M-624.3M-7.5M0.5110.7316,1538,266116,482170,255
2019-09-19$215.73$210.0023.6%6.8%23.2%17.3%23.6%4.1%-0.1%22.8M-504.1M-7.3M0.697.669,2926,425118,537171,853
2019-09-20$214.59$210.0024.0%6.9%23.3%18.4%24.9%4.5%-0.1%42.5M-403.3M-7.4M1.237.0310,56513,016119,396173,031
2019-09-23$213.50$210.0024.3%7.0%20.1%19.6%24.5%4.8%0.3%2.9M-198.5M-7.2M0.917.516,8396,23593,882143,449
2019-09-24$207.38$210.0026.1%7.7%23.0%25.8%26.6%5.2%-0.2%-18.0M142.9M-7.4M0.706.0318,34712,89598,013149,161
2019-09-25$209.90$210.0024.8%7.4%23.2%21.1%25.0%5.0%0.4%-2.3M-53.8M-7.5M0.357.4812,9544,482106,946152,572
2019-09-26$208.72$210.0025.1%7.4%23.2%22.3%24.8%4.8%-0.0%-9.6M19.8M-7.5M0.737.095,9524,359109,243153,384
2019-09-27$209.00$210.0025.4%7.5%22.6%23.2%26.6%5.1%0.0%-7.2M1.2M-7.6M0.906.617,1896,498110,812154,350
2019-09-30$207.47$210.0025.9%7.7%22.8%25.1%26.5%5.4%-0.3%-4.0M56.6M-7.4M0.785.926,3874,985104,433140,706