GS Options History — December 2019

In December 2019, GS traded between $212.41 and $231.43. ATM implied volatility averaged 20.3%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.7% (HV 20d: 21.0%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2019-12-06: Highest Volume — 72,859 contracts
  • 2019-12-03: Largest IV spike — 11.1% change
  • 2019-12-31: Highest IV Rank — 24.7%
  • 2019-12-03: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$225.43$212.41$231.43$217.53$229.69
Max Pain$213.81$210.00$220.00$220.00$215.00
ATM IV20.3%18.6%22.7%19.7%22.4%
Expected Move6.2%5.8%6.7%6.1%6.5%
HV 20d21.0%15.4%22.8%15.4%20.7%
HV 60d20.2%18.5%21.4%19.5%18.5%
IV Rank10.8%4.4%24.7%8.0%24.7%
IV Percentile16.9%1.6%40.1%8.7%36.9%
Term Structure0.9%-0.9%3.7%0.2%-0.0%
VWIV22.0%20.5%23.9%21.4%22.6%
Skew 25d3.3%2.1%4.9%3.8%3.4%
Skew 10d6.9%4.3%9.7%6.8%6.6%
Call IV 25d19.0%16.2%21.6%18.0%21.4%
Put IV 25d22.3%19.4%25.0%21.8%24.8%
Bid-Ask Spread %3.912.585.694.903.69
Gamma HHI0.140.060.250.070.10
Net GEX59.7M-12.7M122.6M13.6M39.8M
Net DEX-811.3M-1.43B93.1M-262.7M-855.0M
Net VEX-6.4M-6.8M-5.8M-6.8M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.270.990.800.62
Total Volume26,965.816,88872,85924,79712,070
Total OI289,328.667257,434321,836257,434279,894

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$217.53$220.0019.7%6.1%15.4%8.0%21.4%3.8%0.2%13.6M-262.7M-6.8M0.804.9013,74211,055107,834149,600
2019-12-03$212.41$220.0021.9%6.7%16.9%15.2%23.5%4.9%0.3%-12.7M93.1M-6.8M0.994.5215,80815,678111,774154,639
2019-12-04$216.08$220.0020.6%6.2%18.1%11.0%21.3%4.6%0.6%9.0M-191.4M-6.8M0.572.7413,5387,656116,000157,629
2019-12-05$217.07$210.0019.4%6.4%18.2%7.0%22.0%4.3%0.4%14.0M-254.5M-6.7M0.604.175,8833,503117,310159,522
2019-12-06$225.16$210.0020.0%6.4%21.3%8.8%22.2%3.3%0.6%76.1M-964.2M-6.5M0.285.6956,72116,138118,296160,861
2019-12-09$222.43$210.0019.7%6.5%21.7%8.0%22.6%4.1%2.9%54.5M-666.3M-6.8M0.504.0616,9078,385127,888160,158
2019-12-10$221.82$210.0019.5%6.6%20.7%7.3%23.9%4.4%3.7%45.5M-575.3M-6.8M0.932.857,6067,090129,726162,944
2019-12-11$221.48$210.0019.0%6.5%20.6%5.6%22.6%4.3%3.6%41.9M-536.2M-6.7M0.533.538,5874,521130,855164,957
2019-12-12$226.39$210.0019.6%6.3%21.8%7.6%22.8%3.6%3.1%88.1M-1.01B-6.7M0.345.4130,52810,244133,484167,500
2019-12-13$225.24$210.0018.6%5.9%22.0%4.4%20.5%3.2%3.1%119.0M-940.7M-6.5M0.384.0327,08010,335139,848168,230
2019-12-16$228.09$210.0019.5%5.8%22.3%7.3%20.9%2.7%-0.1%91.7M-1.12B-6.2M0.294.9746,24213,388128,809162,072
2019-12-17$231.43$215.0020.6%6.0%22.7%10.9%21.1%2.7%-0.9%122.6M-1.43B-6.2M0.274.1730,5638,399140,928168,654
2019-12-18$230.36$215.0020.6%5.9%22.8%11.1%20.8%2.3%-0.5%114.5M-1.29B-6.3M0.392.5815,8626,160142,426171,772
2019-12-19$229.32$215.0020.3%5.8%22.5%9.8%21.9%2.4%-0.3%107.7M-1.19B-6.2M0.404.2221,1368,480143,672173,698
2019-12-20$228.83$215.0020.2%5.8%22.6%9.5%20.8%2.1%-0.4%76.5M-1.11B-6.0M0.443.4519,9098,834145,363176,473
2019-12-23$229.44$215.0020.1%5.8%22.5%9.2%20.8%2.5%0.9%46.9M-884.6M-6.0M0.463.4614,1086,429117,027157,395
2019-12-24$229.57$215.0020.2%5.9%22.2%9.6%21.3%2.7%0.8%55.2M-922.9M-6.2M0.464.314,7182,170124,654160,389
2019-12-26$231.00$215.0021.0%6.1%22.1%13.3%21.7%2.5%0.7%68.0M-1.01B-5.9M0.333.2016,9595,526122,333161,183
2019-12-27$230.93$215.0021.7%6.3%22.1%16.1%23.2%2.6%0.8%44.3M-1.03B-5.9M0.363.2913,5324,821125,182162,547
2019-12-30$229.86$215.0022.7%6.5%22.1%22.1%23.3%3.4%-0.2%38.3M-884.4M-5.8M0.872.928,5447,427113,598158,778
2019-12-31$229.69$215.0022.4%6.5%20.7%24.7%22.6%3.4%-0.0%39.8M-855.0M-6.0M0.623.697,4294,641117,220162,674