GS Options History — May 2020

In May 2020, GS traded between $170.91 and $208.62. ATM implied volatility averaged 41.5%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 4.2% (HV 20d: 45.7%). Max pain ranged from $175.00 to $200.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2020-05-28: Highest Volume — 93,789 contracts
  • 2020-05-13: Largest IV spike — 20.4% change
  • 2020-05-01: Highest IV Rank — 28.8%
  • 2020-05-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$183.07$170.91$208.62$177.57$197.06
Max Pain$195.25$175.00$200.00$175.00$200.00
ATM IV41.5%38.2%47.0%47.0%39.5%
Expected Move11.9%11.1%13.4%13.4%11.6%
HV 20d45.7%36.9%57.3%53.4%56.5%
HV 60d77.4%76.0%79.6%76.0%79.6%
IV Rank23.5%20.3%28.8%28.8%21.5%
IV Percentile82.0%76.6%85.7%85.7%78.6%
Term Structure0.2%-1.4%1.6%-0.8%-0.8%
VWIV42.4%36.8%48.1%48.1%41.4%
Skew 25d7.8%5.6%11.2%9.2%5.6%
Skew 10d16.0%10.0%21.2%18.0%10.0%
Call IV 25d38.6%35.5%43.4%43.4%38.2%
Put IV 25d46.5%42.2%52.6%52.6%43.8%
Bid-Ask Spread %10.835.0421.235.0410.38
Gamma HHI0.080.040.380.050.08
Net GEX4.7M-11.3M31.1M-4.4M-2.9M
Net DEX188.3M-810.8M619.7M391.8M-23.6M
Net VEX-6.1M-7.3M-5.6M-6.0M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.431.160.701.10
Total Volume32,263.2514,16393,78918,48146,927
Total OI239,104.3219,267270,672234,524270,672

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$177.57$175.0047.0%13.4%53.4%28.8%48.1%9.2%-0.8%-4.4M391.8M-6.0M0.705.0410,8837,598113,084121,440
2020-05-04$175.69$200.0046.8%13.2%53.0%28.7%45.3%9.7%-0.2%-3.6M415.8M-5.8M0.6111.2814,4768,812103,187116,431
2020-05-05$178.42$200.0043.7%12.1%47.8%25.6%45.0%9.7%0.3%1.3M322.2M-6.0M0.668.8910,7837,079108,506120,380
2020-05-06$177.19$200.0043.0%12.4%42.6%24.9%42.7%9.0%-0.1%-1.5M373.4M-6.0M0.5921.2310,7946,385112,944123,130
2020-05-07$182.51$200.0039.9%11.3%40.4%22.0%41.2%7.9%-0.3%7.9M172.8M-6.2M0.849.3610,2958,606113,394124,980
2020-05-08$185.19$200.0038.3%11.4%37.1%20.4%39.7%7.3%0.9%31.1M51.1M-6.2M0.6312.8414,7169,234115,942126,356
2020-05-11$183.71$200.0039.4%11.4%36.9%21.5%41.8%7.5%0.4%6.7M149.4M-6.1M0.938.007,3376,826110,116120,782
2020-05-12$177.35$200.0038.2%11.4%38.2%20.3%39.0%7.4%1.6%-3.6M399.8M-5.7M0.8818.6911,3109,952112,173123,124
2020-05-13$170.91$200.0046.0%13.4%40.3%27.9%47.8%11.2%1.0%-11.3M607.6M-5.6M0.997.8110,61210,471115,540126,002
2020-05-14$174.51$200.0045.3%13.1%40.6%27.2%46.2%9.1%0.5%-6.6M469.3M-5.8M0.6711.7322,06314,870116,903127,675
2020-05-15$170.98$200.0043.7%12.7%38.1%25.6%47.2%8.6%0.9%-6.6M619.7M-5.6M1.1618.2610,43312,099123,077129,785
2020-05-18$182.77$200.0040.0%11.5%44.9%22.0%41.8%7.6%0.3%935.2K227.2M-6.0M0.536.9518,4969,890103,391115,876
2020-05-19$179.17$190.0040.2%11.5%44.6%22.2%42.0%7.6%0.8%1.0M315.8M-6.0M0.649.769,3015,944109,212118,915
2020-05-20$181.17$190.0039.8%11.4%44.5%21.9%40.0%7.5%0.9%6.2M239.4M-6.1M0.6310.7611,5417,304111,947120,067
2020-05-21$179.94$190.0039.8%11.4%44.5%21.9%39.9%6.8%1.2%3.4M281.0M-6.1M0.608.2610,4076,285115,596123,057
2020-05-22$179.93$190.0039.0%11.1%44.3%21.1%38.9%5.6%0.9%28.3M284.3M-6.0M0.568.4512,8267,215118,062124,837
2020-05-26$196.17$190.0040.2%11.5%52.6%22.2%40.5%6.9%-0.9%14.5M-269.1M-6.5M0.448.9558,06525,343110,959117,236
2020-05-27$208.62$190.0041.2%11.8%56.3%23.3%42.3%6.9%-1.4%23.0M-810.8M-6.9M0.6310.4753,06033,238122,241126,729
2020-05-28$202.50$190.0038.3%11.2%57.3%20.4%36.8%5.7%-1.2%9.8M-451.2M-7.0M0.439.5965,79427,995129,495138,843
2020-05-29$197.06$200.0039.5%11.6%56.5%21.5%41.4%5.6%-0.8%-2.9M-23.6M-7.3M1.1010.3822,39424,533127,822142,850