GS Options History — March 2020

In March 2020, GS traded between $135.78 and $207.68. ATM implied volatility averaged 74.4%, placing in the 74.9% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 4.9% (HV 20d: 79.3%). Max pain ranged from $195.00 to $230.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.99.

Notable Days

2020-03-06: Highest Volume — 31,053 contracts
2020-03-05: Largest IV spike — 46.2% change
2020-03-06: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 34.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$167.46	$135.78	$207.68	$206.31	$154.75
Max Pain	$211.14	$195.00	$230.00	$230.00	$195.00
ATM IV	74.4%	32.7%	120.3%	37.9%	63.5%
Expected Move	21.6%	9.9%	34.5%	11.4%	19.5%
HV 20d	79.3%	36.6%	115.9%	37.2%	112.4%
HV 60d	50.1%	27.3%	68.9%	27.6%	68.9%
IV Rank	74.9%	41.2%	100.0%	54.9%	44.9%
IV Percentile	98.4%	93.7%	100.0%	99.2%	93.7%
Term Structure	-3.4%	-8.1%	-0.3%	-0.3%	-1.2%
VWIV	71.8%	39.5%	113.2%	41.9%	64.7%
Skew 25d	27.4%	12.0%	45.1%	12.5%	19.1%
Skew 10d	54.9%	23.5%	89.0%	26.7%	33.0%
Call IV 25d	60.5%	27.1%	93.2%	32.4%	54.4%
Put IV 25d	87.9%	39.1%	138.2%	44.8%	73.5%
Bid-Ask Spread %	19.26	6.52	32.66	12.33	22.51
Gamma HHI	0.05	0.04	0.07	0.06	0.05
Net GEX	-10.2M	-19.7M	-1.2M	-19.7M	-5.7M
Net DEX	889.9M	534.3M	1.20B	650.0M	820.0M
Net VEX	-5.1M	-6.6M	-3.4M	-6.5M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.57	1.86	0.63	0.70
Total Volume	20,117.727	10,177	31,053	21,606	10,177
Total OI	230,253.955	199,933	248,963	223,164	211,473

Daily Data (22 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
2020-03-02	$206.31	$230.00	37.9%	11.4%	37.2%	54.9%	41.9%	12.5%	-0.3%	-19.7M	650.0M	-6.5M	0.63	12.33	13,216	8,390	93,163	130,001
2020-03-03	$204.88	$225.00	39.7%	12.8%	36.6%	59.9%	45.3%	13.9%	-0.6%	-16.4M	641.9M	-6.6M	0.75	9.45	15,263	11,397	99,135	131,460
2020-03-04	$207.68	$225.00	32.7%	9.9%	37.0%	41.2%	39.5%	12.0%	-0.6%	-14.6M	534.3M	-6.4M	0.83	6.52	12,409	10,323	105,932	133,481
2020-03-05	$197.78	$220.00	47.8%	13.0%	39.1%	81.5%	45.6%	18.1%	-1.5%	-18.3M	789.4M	-6.5M	1.10	7.20	11,992	13,206	109,883	133,537
2020-03-06	$192.17	$220.00	56.2%	15.6%	39.6%	100.0%	55.7%	23.5%	-2.1%	-18.7M	892.2M	-6.6M	1.53	10.36	12,285	18,768	113,429	135,534
2020-03-09	$173.86	$220.00	71.5%	19.3%	50.6%	100.0%	64.2%	30.1%	-3.9%	-15.6M	1.12B	-5.7M	1.86	11.40	7,454	13,883	104,334	130,365
2020-03-10	$181.18	$215.00	68.8%	18.9%	54.4%	95.1%	62.3%	27.0%	-3.0%	-15.4M	968.7M	-6.2M	1.18	10.89	8,281	9,735	106,274	130,728
2020-03-11	$172.38	$215.00	75.6%	21.1%	55.7%	100.0%	65.0%	34.8%	-2.6%	-14.3M	1.07B	-5.7M	1.82	11.26	4,060	7,392	109,092	131,277
2020-03-12	$153.05	$215.00	98.0%	26.7%	65.7%	100.0%	81.5%	43.0%	-6.6%	-11.2M	1.20B	-4.7M	1.20	18.94	12,099	14,505	110,637	131,488
2020-03-13	$170.70	$210.00	81.7%	22.5%	80.5%	79.8%	76.2%	35.6%	-6.1%	-12.8M	1.04B	-5.4M	1.20	21.56	12,005	14,442	113,890	129,962
2020-03-16	$157.19	$210.00	99.0%	28.0%	83.6%	100.0%	90.4%	41.4%	-5.8%	-9.0M	1.05B	-5.0M	0.74	22.58	10,230	7,561	109,304	126,346
2020-03-17	$157.44	$210.00	98.0%	28.0%	84.0%	98.9%	84.0%	39.6%	-7.4%	-8.9M	1.03B	-5.1M	0.80	14.20	8,320	6,620	112,267	127,231
2020-03-18	$137.33	$210.00	120.3%	34.5%	92.3%	100.0%	113.2%	45.1%	-8.1%	-6.5M	1.10B	-4.0M	0.95	32.66	9,814	9,304	115,104	127,345
2020-03-19	$150.50	$210.00	98.6%	28.5%	101.5%	78.9%	96.3%	38.4%	-6.3%	-7.0M	995.9M	-4.6M	0.92	31.95	10,550	9,716	118,476	125,380
2020-03-20	$141.12	$210.00	88.4%	25.8%	102.6%	69.1%	91.0%	28.4%	-4.0%	-7.4M	1.09B	-3.8M	1.21	30.70	13,140	15,853	118,590	125,832
2020-03-23	$135.78	$205.00	91.2%	27.3%	102.7%	71.7%	93.6%	28.2%	-2.2%	-6.0M	934.6M	-3.4M	0.81	21.82	9,296	7,562	89,432	110,501
2020-03-24	$151.04	$205.00	72.8%	22.1%	112.7%	53.9%	72.5%	21.2%	-2.7%	-5.9M	852.8M	-4.0M	0.57	30.40	13,615	7,799	92,781	112,632
2020-03-25	$155.96	$200.00	78.8%	23.6%	114.1%	59.7%	81.1%	24.4%	-5.7%	-3.2M	744.5M	-4.6M	0.70	31.14	12,848	8,975	98,602	115,493
2020-03-26	$163.72	$200.00	71.6%	22.1%	115.9%	52.7%	72.5%	22.0%	-0.3%	-1.6M	636.2M	-5.0M	0.64	26.39	9,863	6,265	101,073	116,869
2020-03-27	$160.26	$200.00	75.1%	23.2%	114.7%	56.1%	73.5%	22.3%	-2.9%	-1.2M	665.6M	-4.9M	0.85	20.86	6,994	5,937	102,534	118,449
2020-03-30	$159.00	$195.00	68.9%	20.6%	112.3%	50.1%	69.6%	21.8%	-1.0%	-4.6M	751.7M	-4.5M	0.81	18.63	6,092	4,954	95,618	110,653
2020-03-31	$154.75	$195.00	63.5%	19.5%	112.4%	44.9%	64.7%	19.1%	-1.2%	-5.7M	820.0M	-4.1M	0.70	22.51	5,982	4,195	98,012	113,461