GS Options History — January 2020

In January 2020, GS traded between $231.21 and $249.13. ATM implied volatility averaged 22.8%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.6% (HV 20d: 16.2%). Max pain ranged from $215.00 to $235.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2020-01-15: Highest Volume — 101,341 contracts
2020-01-31: Largest IV spike — 14.9% change
2020-01-31: Highest IV Rank — 63.8%
2020-01-31: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$241.67	$231.21	$249.13	$234.04	$237.58
Max Pain	$228.33	$215.00	$235.00	$215.00	$235.00
ATM IV	22.8%	19.7%	25.8%	22.0%	25.8%
Expected Move	6.3%	5.5%	7.3%	6.4%	7.3%
HV 20d	16.2%	13.7%	20.7%	18.9%	20.7%
HV 60d	18.2%	17.6%	19.1%	18.8%	19.1%
IV Rank	38.2%	17.9%	63.8%	23.2%	63.8%
IV Percentile	45.1%	11.1%	82.1%	34.5%	82.1%
Term Structure	-0.3%	-1.2%	1.0%	-0.3%	0.0%
VWIV	22.7%	20.2%	25.9%	23.3%	25.9%
Skew 25d	3.0%	1.2%	5.4%	3.0%	5.4%
Skew 10d	5.8%	1.8%	8.9%	6.3%	8.7%
Call IV 25d	21.6%	19.2%	24.4%	21.1%	23.8%
Put IV 25d	24.6%	20.9%	29.2%	24.1%	29.2%
Bid-Ask Spread %	4.90	2.79	9.39	2.97	5.42
Gamma HHI	0.12	0.07	0.24	0.14	0.07
Net GEX	53.1M	608.2K	125.2M	71.5M	608.2K
Net DEX	-1.19B	-2.21B	-260.6M	-1.19B	-260.6M
Net VEX	-6.1M	-6.8M	-5.6M	-5.7M	-6.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.27	0.95	0.30	0.95
Total Volume	38,303.143	20,318	101,341	42,261	24,711
Total OI	278,109.524	208,936	365,741	283,666	242,597

Daily Data (21 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
2020-01-02	$234.04	$215.00	22.0%	6.4%	18.9%	23.2%	23.3%	3.0%	-0.3%	71.5M	-1.19B	-5.7M	0.30	2.97	32,564	9,697	119,201	164,465
2020-01-03	$231.21	$215.00	23.1%	6.8%	19.2%	28.4%	23.8%	3.5%	-0.1%	41.4M	-965.5M	-6.0M	0.66	3.14	14,041	9,201	127,040	168,207
2020-01-06	$233.44	$225.00	22.9%	6.2%	19.3%	33.1%	21.9%	3.5%	-0.6%	46.8M	-1.09B	-5.8M	0.52	9.39	14,904	7,742	118,125	167,408
2020-01-07	$235.71	$225.00	23.5%	6.3%	15.1%	37.6%	22.3%	3.4%	-0.8%	58.1M	-1.27B	-5.8M	0.27	7.11	50,253	13,628	121,910	170,123
2020-01-08	$238.71	$225.00	24.1%	6.3%	14.6%	42.2%	22.7%	3.4%	-1.0%	81.4M	-1.52B	-5.9M	0.33	6.82	26,661	8,798	131,438	175,587
2020-01-09	$242.53	$225.00	23.4%	6.2%	15.0%	40.1%	22.4%	3.0%	-0.9%	91.1M	-1.83B	-5.9M	0.34	4.23	38,032	12,790	135,768	178,337
2020-01-10	$241.82	$225.00	22.9%	6.3%	15.1%	38.0%	21.9%	2.6%	-0.7%	81.5M	-1.75B	-5.8M	0.53	4.93	16,811	8,947	139,035	182,132
2020-01-13	$245.31	$225.00	24.4%	6.6%	14.1%	52.1%	23.4%	2.7%	-1.2%	59.8M	-1.79B	-5.6M	0.47	4.24	25,017	11,728	128,723	173,741
2020-01-14	$245.86	$225.00	25.0%	6.8%	13.7%	57.8%	23.9%	1.2%	-1.0%	64.8M	-1.87B	-5.6M	0.56	7.72	48,045	27,142	134,925	179,643
2020-01-15	$244.83	$230.00	22.4%	6.1%	13.7%	38.5%	21.3%	1.6%	-1.2%	73.8M	-1.80B	-5.9M	0.59	4.77	63,569	37,772	153,659	197,068
2020-01-16	$249.13	$230.00	20.5%	5.7%	14.0%	24.2%	20.8%	1.6%	-0.5%	125.2M	-2.21B	-5.8M	0.50	8.22	31,083	15,683	161,987	202,790
2020-01-17	$248.46	$230.00	19.7%	5.5%	13.9%	17.9%	20.2%	1.5%	-0.8%	72.5M	-2.08B	-5.8M	0.45	3.55	34,007	15,359	162,306	203,435
2020-01-21	$246.31	$230.00	20.8%	5.9%	14.3%	26.2%	21.6%	2.0%	0.2%	45.7M	-878.8M	-6.0M	0.88	2.79	11,919	10,433	95,174	113,762
2020-01-22	$247.48	$230.00	20.1%	5.8%	14.1%	21.1%	21.2%	2.3%	0.3%	51.3M	-939.4M	-6.0M	0.54	3.10	13,254	7,130	98,002	118,235
2020-01-23	$245.92	$230.00	21.4%	6.1%	14.6%	30.8%	22.5%	3.1%	0.6%	34.4M	-812.3M	-6.2M	0.75	3.35	15,622	11,740	100,004	120,597
2020-01-24	$241.48	$235.00	22.7%	6.4%	16.5%	40.8%	23.0%	3.7%	1.0%	13.0M	-495.0M	-6.6M	0.74	3.97	17,629	12,986	105,305	126,676
2020-01-27	$238.46	$235.00	25.1%	7.1%	17.3%	58.6%	25.4%	4.3%	0.0%	4.3M	-355.8M	-6.7M	0.89	3.61	12,734	11,313	95,925	123,536
2020-01-28	$242.77	$235.00	23.8%	6.7%	18.2%	48.7%	23.5%	3.5%	-0.1%	25.1M	-633.1M	-6.5M	0.47	3.51	17,699	8,321	99,192	126,817
2020-01-29	$240.24	$235.00	22.7%	6.3%	18.6%	40.3%	22.3%	4.2%	0.6%	22.4M	-490.9M	-6.5M	0.49	5.46	23,602	11,481	106,968	130,027
2020-01-30	$243.79	$235.00	22.5%	6.3%	19.1%	38.9%	22.5%	3.9%	0.1%	51.2M	-740.9M	-6.3M	0.88	4.67	10,784	9,534	108,655	131,775
2020-01-31	$237.58	$235.00	25.8%	7.3%	20.7%	63.8%	25.9%	5.4%	0.0%	608.2K	-260.6M	-6.8M	0.95	5.42	12,668	12,043	108,680	133,917