GS Options History — April 2020

In April 2020, GS traded between $146.28 and $191.21. ATM implied volatility averaged 53.1%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 29.7% (HV 20d: 82.7%). Max pain ranged from $160.00 to $195.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2020-04-15: Highest Volume — 47,723 contracts
  • 2020-04-06: Largest IV drop — 18.7% change
  • 2020-04-01: Highest IV Rank — 52.7%
  • 2020-04-01: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$174.05$146.28$191.21$146.28$184.21
Max Pain$168.57$160.00$195.00$195.00$175.00
ATM IV53.1%38.8%71.6%71.6%42.2%
Expected Move15.2%11.1%22.3%22.3%12.1%
HV 20d82.7%50.7%113.4%112.8%50.7%
HV 60d73.8%69.5%75.8%69.5%75.8%
IV Rank34.8%20.9%52.7%52.7%24.2%
IV Percentile89.4%83.7%95.2%95.2%84.9%
Term Structure-0.7%-4.0%1.0%-4.0%-0.9%
VWIV54.1%40.3%74.8%74.8%43.2%
Skew 25d14.4%8.8%19.9%16.8%8.8%
Skew 10d28.0%16.4%40.5%38.5%16.4%
Call IV 25d46.3%34.8%63.5%63.5%38.9%
Put IV 25d60.7%43.6%80.3%80.3%47.8%
Bid-Ask Spread %15.314.4935.8714.509.48
Gamma HHI0.050.030.130.050.06
Net GEX1.3M-7.6M16.0M-7.6M7.7M
Net DEX361.8M-116.2M869.4M869.4M157.7M
Net VEX-5.6M-6.4M-3.9M-3.9M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.431.160.700.54
Total Volume24,579.38111,97447,72314,00225,504
Total OI224,280.619197,642259,504214,706228,003

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$146.28$195.0071.6%22.3%112.8%52.7%74.8%16.8%-4.0%-7.6M869.4M-3.9M0.7014.508,2495,75399,764114,942
2020-04-02$148.90$160.0069.0%18.9%112.9%50.3%68.7%19.9%-0.1%-7.4M830.2M-4.0M0.9122.087,8007,063102,132116,233
2020-04-03$146.37$160.0067.2%18.9%112.7%48.5%66.2%19.2%-1.1%-7.5M846.2M-3.9M1.1235.875,6596,315104,288117,206
2020-04-06$157.17$160.0054.6%15.9%111.7%36.3%53.5%16.6%1.0%-4.9M721.3M-4.3M0.6924.848,5035,87598,943110,712
2020-04-07$167.71$160.0055.3%15.3%113.3%37.0%54.0%16.6%-1.3%-355.5K513.6M-5.0M0.9725.3811,73811,404102,895112,179
2020-04-08$176.11$160.0055.4%15.6%113.4%37.1%55.8%17.6%-0.9%351.3K332.7M-5.6M0.4719.3419,4959,135105,624116,473
2020-04-09$184.56$160.0053.8%15.1%105.1%35.4%54.9%15.9%-1.7%4.5M83.3M-6.1M0.5117.8423,81412,082110,159119,769
2020-04-13$182.47$165.0056.6%16.1%98.4%38.2%58.9%15.9%-2.6%556.4K243.4M-5.9M1.1615.467,2148,353106,928115,334
2020-04-14$178.28$165.0051.2%14.6%93.7%32.9%54.2%15.2%0.6%111.5K361.6M-5.6M0.8219.4116,95613,847109,476119,900
2020-04-15$178.82$165.0050.7%14.5%93.7%32.4%55.2%14.2%-0.6%4.1M332.2M-5.7M0.9115.2025,04122,682118,616126,375
2020-04-16$175.52$165.0053.1%15.3%77.8%34.8%54.7%14.2%-0.6%-701.4K434.1M-5.7M0.8410.7415,96913,450122,071133,953
2020-04-17$182.87$165.0049.9%14.3%72.9%31.7%51.7%13.0%0.0%11.6M157.3M-6.1M0.5016.9725,06912,494124,248135,256
2020-04-20$179.30$165.0055.6%16.5%68.5%37.2%57.0%14.5%0.1%-161.4K261.2M-6.1M0.5616.5819,09210,60490,522107,120
2020-04-21$174.83$170.0057.1%16.2%67.3%38.7%56.6%14.4%-0.9%-2.7M368.4M-6.0M0.6410.1616,34510,44797,149110,949
2020-04-22$176.97$175.0053.4%15.2%57.5%35.1%53.4%14.1%0.1%-648.7K314.2M-6.2M0.549.5610,4025,634103,080115,979
2020-04-23$175.48$175.0051.5%14.8%57.0%33.2%52.3%17.3%-0.7%-2.2M363.1M-6.1M0.4611.7019,8099,102106,038117,377
2020-04-24$177.32$175.0046.1%13.1%54.8%28.0%46.4%10.0%-0.1%-2.1M329.9M-6.0M0.699.7413,3619,223109,292120,670
2020-04-27$183.75$175.0042.4%12.0%55.0%24.4%43.3%9.8%0.1%4.7M162.5M-6.2M0.436.9113,8155,90899,667115,164
2020-04-28$186.97$175.0038.8%11.3%54.9%20.9%40.3%9.3%-0.2%13.1M30.8M-6.3M0.705.3210,2577,166105,229116,112
2020-04-29$191.21$175.0038.8%11.1%53.5%20.9%41.3%8.8%-0.2%16.0M-116.2M-6.4M0.834.4913,91911,619105,814118,252
2020-04-30$184.21$175.0042.2%12.1%50.7%24.2%43.2%8.8%-0.9%7.7M157.7M-6.2M0.549.4816,6098,895108,035119,968