GS Options History — February 2020

In February 2020, GS traded between $195.74 and $244.31. ATM implied volatility averaged 25.6%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.2% (HV 20d: 21.4%). Max pain ranged from $230.00 to $235.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2020-02-28: Highest Volume — 38,173 contracts
  • 2020-02-28: Largest IV spike — 40.3% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$231.05$195.74$244.31$240.01$195.74
Max Pain$230.79$230.00$235.00$235.00$230.00
ATM IV25.6%19.7%54.8%23.9%54.8%
Expected Move7.5%5.7%17.4%6.6%17.4%
HV 20d21.4%18.6%30.3%20.3%30.3%
HV 60d20.0%18.8%25.7%19.1%25.7%
IV Rank48.7%18.1%100.0%49.8%100.0%
IV Percentile50.8%11.5%100.0%59.1%100.0%
Term Structure-0.5%-5.5%0.7%-0.3%-5.5%
VWIV26.7%19.4%63.3%23.1%63.3%
Skew 25d5.4%3.2%16.1%4.6%16.1%
Skew 10d10.3%6.3%29.0%7.9%29.0%
Call IV 25d23.7%18.5%47.4%22.4%47.4%
Put IV 25d29.1%22.1%63.5%27.0%63.5%
Bid-Ask Spread %4.763.1910.923.1910.92
Gamma HHI0.080.050.140.070.05
Net GEX-319.0K-29.0M40.1M17.1M-16.2M
Net DEX-107.5M-738.2M993.3M-464.4M993.3M
Net VEX-6.2M-6.5M-5.8M-6.5M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.291.430.811.43
Total Volume24,392.36813,74638,17318,10138,173
Total OI231,178.421207,914253,177219,759234,604

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$240.01$235.0023.9%6.6%20.3%49.8%23.1%4.6%-0.3%17.1M-464.4M-6.5M0.813.1910,0028,09997,435122,324
2020-02-04$241.99$235.0022.6%6.3%20.3%39.5%23.1%4.3%-0.0%24.5M-580.4M-6.4M0.824.077,5526,194100,470125,082
2020-02-05$244.31$235.0022.1%6.0%20.3%35.7%21.6%3.9%-0.4%40.1M-738.2M-6.3M1.093.567,8088,493102,386126,523
2020-02-06$242.46$230.0021.9%6.2%20.1%34.9%23.4%3.7%-0.4%26.8M-610.5M-6.2M0.525.4714,3947,486103,164128,681
2020-02-07$238.00$230.0022.7%6.2%20.4%40.6%22.0%4.0%-0.2%3.6M-304.1M-6.3M0.453.7519,1998,709107,572130,837
2020-02-10$237.14$230.0022.1%6.3%20.4%36.1%22.5%4.1%0.1%2.2M-295.5M-6.3M0.773.9612,4349,61199,724126,708
2020-02-11$236.67$230.0021.5%6.2%19.6%31.9%21.4%4.2%0.2%3.9M-289.7M-6.3M0.293.9214,0444,117103,407129,637
2020-02-12$238.87$230.0020.3%5.8%19.9%22.9%20.6%3.7%-0.1%18.9M-448.7M-6.2M0.364.6215,6135,608106,282130,361
2020-02-13$237.80$230.0020.5%5.7%19.9%24.1%20.6%3.8%-0.5%7.1M-370.6M-6.2M0.604.099,9795,965109,010131,274
2020-02-14$237.08$230.0019.7%5.8%18.6%18.1%19.4%3.5%0.5%-15.4M-315.9M-6.0M0.754.1712,8349,576111,100132,725
2020-02-18$233.16$230.0020.3%5.8%19.3%22.6%21.1%3.8%0.7%-18.3M-96.3M-5.9M0.524.3617,5509,201102,294128,859
2020-02-19$237.37$230.0020.3%5.8%20.6%22.5%21.0%3.2%-0.3%23.0M-427.0M-5.8M0.573.6017,2279,896107,028132,060
2020-02-20$232.56$230.0021.1%6.0%21.4%28.7%21.4%3.7%0.6%-20.3M-59.9M-5.9M0.404.0624,0329,657109,861133,948
2020-02-21$229.49$230.0023.9%6.9%21.7%49.2%23.5%4.8%-0.1%-29.0M138.8M-6.2M0.763.5417,50913,346116,689136,488
2020-02-24$225.11$230.0027.8%8.0%21.8%78.2%27.5%5.9%-0.4%-11.8M160.2M-6.3M0.773.8214,33611,01691,766116,148
2020-02-25$218.07$230.0031.9%9.6%23.8%100.0%32.4%8.0%-1.0%-20.0M423.0M-6.5M0.637.5418,55511,73592,898119,666
2020-02-26$216.51$230.0030.6%9.1%22.3%91.1%33.2%7.9%-1.0%-19.1M478.2M-6.4M1.055.2310,02410,57098,066122,042
2020-02-27$207.57$230.0039.0%12.0%25.8%100.0%46.1%10.1%-1.8%-23.0M765.1M-6.3M1.046.6216,15416,757100,690124,581
2020-02-28$195.74$230.0054.8%17.4%30.3%100.0%63.3%16.1%-5.5%-16.2M993.3M-6.4M1.4310.9215,72322,450104,325130,279