GS Options History — October 2019

In October 2019, GS traded between $196.48 and $218.09. ATM implied volatility averaged 23.8%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.7% (HV 20d: 22.1%). Max pain ranged from $200.00 to $207.50. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.71.

Notable Days

2019-10-15: Highest Volume — 92,760 contracts
2019-10-15: Largest IV drop — 11.2% change
2019-10-02: Highest IV Rank — 39.6%
2019-10-02: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$206.76	$196.48	$218.09	$203.01	$212.90
Max Pain	$203.91	$200.00	$207.50	$207.50	$207.50
ATM IV	23.8%	19.4%	30.1%	28.3%	21.0%
Expected Move	6.8%	5.3%	9.2%	8.6%	5.8%
HV 20d	22.1%	18.6%	24.3%	22.5%	19.3%
HV 60d	25.2%	23.3%	26.1%	25.3%	23.5%
IV Rank	17.9%	2.6%	39.6%	33.1%	8.0%
IV Percentile	37.6%	2.0%	86.9%	80.6%	12.3%
Term Structure	-0.1%	-0.7%	0.7%	-0.4%	0.0%
VWIV	23.6%	18.6%	31.9%	29.0%	20.5%
Skew 25d	4.6%	3.5%	5.9%	5.7%	3.8%
Skew 10d	9.0%	5.4%	11.9%	11.8%	5.6%
Call IV 25d	21.8%	17.7%	27.2%	25.7%	19.5%
Put IV 25d	26.4%	21.2%	33.1%	31.4%	23.2%
Bid-Ask Spread %	5.94	4.04	11.68	5.90	5.12
Gamma HHI	0.09	0.06	0.35	0.06	0.07
Net GEX	10.6M	-24.1M	95.3M	-13.7M	9.2M
Net DEX	-50.0M	-690.0M	556.9M	276.6M	-294.0M
Net VEX	-7.2M	-7.4M	-6.9M	-7.4M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.36	1.41	1.00	0.71
Total Volume	30,412.435	15,419	92,760	22,816	19,108
Total OI	272,335.391	249,474	314,335	249,474	283,990

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-10-01	$203.01	$207.50	28.3%	8.6%	22.5%	33.1%	29.0%	5.7%	-0.4%	-13.7M	276.6M	-7.4M	1.00	5.90	11,395	11,421	106,884	142,590
2019-10-02	$198.12	$207.50	30.1%	9.2%	23.5%	39.6%	31.9%	5.9%	-0.3%	-23.9M	511.1M	-7.3M	1.41	8.36	13,373	18,853	109,935	145,597
2019-10-03	$196.48	$205.00	29.3%	8.4%	21.2%	36.8%	26.5%	5.7%	-0.5%	-24.1M	556.9M	-7.2M	0.67	5.63	21,375	14,316	113,753	148,026
2019-10-04	$200.75	$205.00	27.0%	7.6%	22.9%	28.8%	25.2%	5.4%	-0.6%	1.3M	289.3M	-7.3M	0.39	4.68	20,518	7,990	118,388	150,646
2019-10-07	$201.05	$205.00	27.2%	7.7%	20.8%	29.3%	26.0%	5.3%	-0.1%	-6.4M	272.5M	-7.2M	0.36	4.92	15,676	5,654	112,137	145,468
2019-10-08	$197.37	$205.00	29.6%	8.5%	20.5%	37.5%	29.4%	5.8%	0.4%	-11.7M	439.2M	-7.2M	0.56	6.47	13,116	7,306	120,251	146,667
2019-10-09	$197.09	$205.00	28.3%	8.1%	20.3%	33.3%	28.3%	5.0%	-0.1%	-13.6M	451.2M	-7.1M	0.45	7.11	10,842	4,925	122,275	148,614
2019-10-10	$199.65	$200.00	27.6%	7.8%	20.5%	30.9%	27.0%	5.1%	-0.7%	-1.4M	294.8M	-7.2M	0.46	7.09	13,436	6,173	124,973	149,929
2019-10-11	$206.20	$200.00	26.1%	7.4%	24.2%	25.8%	26.6%	5.3%	-0.7%	30.6M	-116.5M	-7.3M	0.49	11.68	26,931	13,088	127,094	151,075
2019-10-14	$205.88	$200.00	25.0%	7.1%	24.0%	21.9%	23.4%	4.8%	-0.3%	5.3M	-2.2M	-7.1M	0.69	4.73	25,463	17,472	113,725	148,441
2019-10-15	$206.42	$200.00	22.2%	6.4%	24.0%	12.2%	22.3%	4.3%	-0.5%	16.1M	-43.7M	-6.9M	0.57	7.77	59,246	33,514	123,619	156,226
2019-10-16	$208.15	$200.00	20.9%	6.0%	24.0%	7.8%	22.2%	4.6%	0.6%	29.3M	-221.6M	-7.1M	0.95	5.91	16,804	15,896	130,747	165,304
2019-10-17	$206.99	$200.00	21.0%	6.0%	23.9%	8.1%	21.0%	4.0%	-0.4%	17.5M	-126.9M	-7.1M	1.26	4.48	17,299	21,761	132,683	167,924
2019-10-18	$207.10	$200.00	20.8%	6.0%	23.9%	7.6%	21.1%	4.2%	-0.3%	10.0M	-88.4M	-7.2M	0.71	5.31	14,747	10,434	133,720	180,615
2019-10-21	$209.52	$200.00	20.5%	5.8%	24.3%	6.4%	21.4%	4.1%	0.2%	1.2M	-179.3M	-7.1M	0.74	4.23	17,209	12,754	101,165	151,234
2019-10-22	$209.81	$205.00	21.0%	6.0%	21.9%	8.3%	21.4%	4.2%	0.3%	5.5M	-194.1M	-7.2M	0.95	4.45	11,359	10,778	106,842	156,160
2019-10-23	$211.26	$205.00	20.6%	5.8%	21.6%	6.7%	20.2%	4.0%	0.3%	11.7M	-272.5M	-7.2M	0.69	4.04	9,389	6,511	108,495	159,243
2019-10-24	$211.10	$205.00	20.4%	5.7%	21.5%	6.2%	19.8%	3.9%	0.4%	10.2M	-261.7M	-7.1M	1.05	5.73	7,507	7,912	109,772	160,501
2019-10-25	$214.75	$205.00	19.4%	5.3%	22.3%	2.6%	18.6%	3.5%	0.7%	95.3M	-556.1M	-7.0M	0.72	4.32	28,661	20,692	112,958	161,967
2019-10-28	$218.09	$207.50	20.5%	5.7%	22.6%	6.4%	20.8%	3.6%	-0.3%	30.7M	-690.0M	-7.0M	0.38	4.55	24,470	9,356	108,722	154,420
2019-10-29	$217.71	$207.50	20.3%	5.6%	20.8%	5.9%	19.7%	3.7%	0.1%	36.1M	-662.4M	-7.2M	0.38	5.03	17,043	6,496	115,672	157,086
2019-10-30	$215.98	$207.50	20.8%	5.8%	18.6%	7.4%	20.6%	3.5%	-0.1%	28.8M	-532.0M	-7.3M	0.74	9.22	12,171	9,046	118,959	159,222
2019-10-31	$212.90	$207.50	21.0%	5.8%	19.3%	8.0%	20.5%	3.8%	0.0%	9.2M	-294.0M	-7.3M	0.71	5.12	11,193	7,915	121,923	162,067