GS Options History — November 2019

In November 2019, GS traded between $217.64 and $223.16. ATM implied volatility averaged 19.3%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.8% (HV 20d: 17.4%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2019-11-27: Highest Volume — 58,528 contracts
  • 2019-11-22: Largest IV drop — 7.5% change
  • 2019-11-07: Highest IV Rank — 5.4%
  • 2019-11-07: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$220.32$217.64$223.16$217.64$221.81
Max Pain$217.75$210.00$220.00$210.00$220.00
ATM IV19.3%17.3%20.2%19.8%17.7%
Expected Move5.6%5.1%5.9%5.5%5.2%
HV 20d17.4%15.4%19.5%19.3%15.4%
HV 60d21.4%19.0%23.9%23.8%19.0%
IV Rank2.9%0.0%5.4%4.0%1.6%
IV Percentile3.9%0.0%9.9%4.8%0.8%
Term Structure0.0%-0.7%0.6%0.0%0.4%
VWIV19.8%17.8%21.6%19.5%18.2%
Skew 25d3.0%2.3%3.6%3.2%3.1%
Skew 10d5.4%3.8%6.9%4.3%6.7%
Call IV 25d18.1%16.5%19.1%18.5%16.5%
Put IV 25d21.1%18.9%22.3%21.7%19.6%
Bid-Ask Spread %5.572.919.805.945.99
Gamma HHI0.140.080.390.190.09
Net GEX47.8M14.1M114.2M73.3M28.6M
Net DEX-696.7M-1.04B-393.0M-711.2M-553.9M
Net VEX-6.9M-7.1M-6.5M-7.1M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.160.950.650.52
Total Volume22,205.859,32458,52823,2019,324
Total OI279,168.25259,866300,539288,636272,239

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$217.64$210.0019.8%5.5%19.3%4.0%19.5%3.2%0.0%73.3M-711.2M-7.1M0.655.9414,0599,142124,892163,744
2019-11-04$220.09$215.0019.9%5.8%19.5%4.3%20.7%3.6%0.4%40.0M-812.5M-7.0M0.425.2119,5348,253115,120153,575
2019-11-05$219.07$215.0019.9%5.8%17.8%4.5%21.1%3.2%0.5%34.4M-711.8M-7.0M0.583.0212,3857,242117,790157,242
2019-11-06$218.58$215.0020.2%5.8%17.9%5.3%20.9%3.3%0.3%32.8M-671.1M-7.0M0.514.979,5724,900120,900159,474
2019-11-07$223.16$215.0020.2%5.9%18.5%5.4%21.6%2.9%0.5%58.7M-1.04B-7.0M0.459.8030,69313,664122,883160,203
2019-11-08$223.06$215.0019.8%5.7%15.7%4.0%20.7%3.2%0.6%71.4M-1.02B-7.0M0.498.5513,2316,425127,346164,530
2019-11-11$219.03$215.0019.9%5.7%17.5%4.4%20.1%3.5%-0.1%34.8M-658.4M-7.0M0.538.6111,9156,304120,216158,121
2019-11-12$220.56$215.0019.4%5.6%17.5%2.7%19.6%3.1%-0.2%47.5M-788.6M-6.8M0.586.9614,4818,359122,560159,271
2019-11-13$219.33$220.0019.6%5.7%17.7%3.4%20.4%3.4%0.3%39.7M-677.3M-7.1M0.737.0411,7768,623127,398163,468
2019-11-14$219.38$220.0019.4%5.5%17.5%2.6%19.8%3.1%0.1%39.5M-694.7M-7.1M0.803.158,7927,070129,991166,547
2019-11-15$220.29$220.0018.8%5.4%17.4%0.6%19.3%2.4%0.1%99.5M-819.8M-6.9M0.526.4712,3386,388131,872168,667
2019-11-18$219.71$220.0019.3%5.5%17.3%2.3%19.5%2.3%-0.5%23.8M-519.4M-6.8M0.792.918,6566,843110,864149,002
2019-11-19$220.11$220.0019.4%5.6%17.3%2.7%20.4%2.8%-0.6%31.1M-573.9M-6.7M0.953.378,3737,953114,042150,938
2019-11-20$217.88$220.0020.2%5.8%17.7%5.3%20.3%2.9%-0.7%14.1M-393.0M-7.0M0.663.9014,9309,823116,624154,356
2019-11-21$218.44$220.0020.1%5.8%17.7%5.2%20.3%2.9%-0.7%22.4M-442.8M-7.0M0.545.097,9724,304120,251157,541
2019-11-22$220.21$220.0018.6%5.4%16.9%0.0%19.2%2.7%-0.6%114.2M-628.0M-6.8M0.494.3115,1767,435121,729158,217
2019-11-25$222.87$220.0018.1%5.3%16.6%0.0%19.0%2.8%0.3%43.6M-744.3M-6.6M0.435.7717,1287,332114,023154,073
2019-11-26$222.12$220.0017.6%5.1%16.6%0.0%18.1%2.6%0.2%35.6M-687.7M-6.5M0.645.349,2515,943118,027156,861
2019-11-27$223.02$220.0017.3%5.1%16.3%0.0%17.8%2.3%0.5%71.8M-791.3M-6.5M0.165.0250,4458,083120,531158,237
2019-11-29$221.81$220.0017.7%5.2%15.4%1.6%18.2%3.1%0.4%28.6M-553.9M-6.7M0.525.996,1443,180113,654158,585