GS Options History — June 2020

In June 2020, GS traded between $190.30 and $219.54. ATM implied volatility averaged 43.9%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 10.1% (HV 20d: 54.1%). Max pain ranged from $190.00 to $200.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2020-06-26: Highest Volume — 90,770 contracts
2020-06-11: Largest IV spike — 29.3% change
2020-06-11: Highest IV Rank — 33.8%
2020-06-11: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$205.28	$190.30	$219.54	$200.19	$198.17
Max Pain	$192.73	$190.00	$200.00	$200.00	$195.00
ATM IV	43.9%	36.3%	52.1%	39.0%	41.2%
Expected Move	12.7%	10.4%	15.1%	11.2%	12.1%
HV 20d	54.1%	42.9%	60.9%	54.5%	52.2%
HV 60d	61.7%	51.0%	79.0%	79.0%	52.8%
IV Rank	25.9%	18.5%	33.8%	21.1%	23.2%
IV Percentile	80.7%	73.0%	87.7%	77.0%	76.2%
Term Structure	-0.7%	-1.8%	0.8%	-0.4%	0.5%
VWIV	45.2%	37.1%	53.1%	38.0%	42.7%
Skew 25d	5.8%	2.8%	8.4%	5.2%	5.9%
Skew 10d	11.9%	6.9%	19.2%	11.1%	11.4%
Call IV 25d	42.0%	35.8%	50.1%	37.1%	39.1%
Put IV 25d	47.7%	39.7%	57.3%	42.2%	45.0%
Bid-Ask Spread %	25.68	9.14	39.55	11.15	19.78
Gamma HHI	0.06	0.04	0.13	0.05	0.05
Net GEX	13.1M	-13.7M	38.3M	10.5M	14.4M
Net DEX	-376.2M	-1.21B	293.1M	-200.5M	-126.7M
Net VEX	-7.6M	-7.9M	-7.3M	-7.3M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.43	1.51	0.58	0.54
Total Volume	33,183.909	14,889	90,770	22,039	28,978
Total OI	265,994.636	212,599	303,969	254,060	249,679

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
2020-06-01	$200.19	$200.00	39.0%	11.2%	54.5%	21.1%	38.0%	5.2%	-0.4%	10.5M	-200.5M	-7.3M	0.58	11.15	13,987	8,052	121,434	132,626
2020-06-02	$202.93	$200.00	41.1%	11.9%	54.2%	23.1%	41.3%	4.5%	-1.0%	16.7M	-339.5M	-7.5M	0.43	9.14	25,705	11,066	125,846	135,015
2020-06-03	$211.37	$200.00	39.3%	11.1%	55.5%	21.4%	41.0%	4.7%	-0.8%	31.7M	-765.7M	-7.6M	0.60	13.59	22,869	13,700	130,105	138,851
2020-06-04	$214.16	$190.00	38.3%	11.0%	55.2%	20.4%	39.0%	4.0%	-1.6%	36.8M	-925.1M	-7.6M	0.68	30.69	28,026	19,018	134,106	142,221
2020-06-05	$218.85	$190.00	36.3%	10.4%	54.9%	18.5%	37.1%	2.8%	-1.8%	38.3M	-1.21B	-7.5M	0.48	30.43	31,803	15,235	138,801	148,100
2020-06-08	$219.54	$190.00	37.2%	10.8%	54.9%	19.4%	40.5%	4.2%	0.8%	26.0M	-1.03B	-7.5M	1.51	23.48	7,664	11,585	131,045	138,613
2020-06-09	$218.75	$190.00	38.4%	11.0%	54.7%	20.5%	39.9%	4.5%	0.4%	21.4M	-968.6M	-7.6M	0.83	30.46	8,123	6,766	132,022	142,628
2020-06-10	$213.35	$190.00	40.3%	11.5%	53.8%	22.4%	40.6%	4.9%	-0.2%	14.3M	-687.4M	-7.7M	0.84	15.36	16,029	13,432	134,565	144,516
2020-06-11	$196.47	$190.00	52.1%	15.1%	60.9%	33.8%	53.1%	7.2%	-0.1%	-2.9M	156.2M	-7.7M	1.22	39.55	22,277	27,227	138,876	147,240
2020-06-12	$200.41	$190.00	51.0%	14.4%	60.9%	32.7%	52.8%	8.4%	-1.2%	655.8K	-50.1M	-7.9M	0.96	33.20	23,539	22,530	143,509	151,335
2020-06-15	$204.75	$190.00	49.0%	14.0%	60.2%	30.8%	50.5%	7.3%	-1.8%	13.2M	-320.1M	-7.8M	0.65	38.89	16,027	10,373	134,958	144,083
2020-06-16	$208.28	$190.00	47.6%	13.7%	56.3%	29.5%	49.2%	7.1%	-0.6%	19.1M	-505.5M	-7.9M	0.86	20.49	15,106	12,936	139,465	146,345
2020-06-17	$206.18	$190.00	46.6%	13.3%	55.8%	28.4%	46.7%	6.2%	-0.8%	13.5M	-375.5M	-7.8M	0.71	28.03	12,184	8,692	141,651	151,196
2020-06-18	$203.44	$190.00	46.4%	13.3%	56.3%	28.3%	47.1%	6.3%	-1.0%	11.1M	-248.6M	-7.7M	0.45	26.48	16,243	7,364	145,530	153,137
2020-06-19	$202.65	$190.00	45.4%	13.0%	56.2%	27.3%	46.4%	6.0%	0.3%	5.3M	-230.6M	-7.7M	0.67	35.17	19,062	12,858	149,117	154,852
2020-06-22	$203.07	$190.00	45.0%	13.1%	56.2%	26.9%	45.2%	6.2%	-0.6%	5.1M	-190.7M	-7.6M	0.74	29.79	11,998	8,921	102,589	110,010
2020-06-23	$204.75	$195.00	43.7%	12.7%	47.5%	25.7%	44.1%	5.5%	-0.5%	8.7M	-242.6M	-7.7M	0.59	21.09	15,794	9,252	109,444	115,131
2020-06-24	$199.58	$195.00	46.9%	13.9%	42.9%	28.7%	49.0%	6.5%	-0.9%	2.7M	-64.0M	-7.7M	0.85	31.80	11,505	9,806	113,107	117,499
2020-06-25	$206.40	$195.00	47.0%	13.8%	43.4%	28.9%	48.6%	5.8%	-1.3%	14.1M	-343.6M	-7.9M	0.47	32.15	23,734	11,175	114,054	119,957
2020-06-26	$190.30	$195.00	49.7%	14.9%	51.5%	31.5%	53.1%	7.6%	-1.4%	-13.7M	293.1M	-7.3M	0.76	25.12	51,715	39,055	122,013	123,100
2020-06-29	$192.51	$195.00	45.3%	13.6%	51.3%	27.2%	48.1%	6.6%	-0.6%	2.0M	101.9M	-7.5M	0.92	19.16	14,933	13,702	119,287	124,224
2020-06-30	$198.17	$195.00	41.2%	12.1%	52.2%	23.2%	42.7%	5.9%	0.5%	14.4M	-126.7M	-7.6M	0.54	19.78	18,834	10,144	122,161	127,518