GS Options History — July 2020

In July 2020, GS traded between $196.56 and $217.70. ATM implied volatility averaged 37.9%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 8.9% (HV 20d: 46.9%). Max pain ranged from $195.00 to $210.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2020-07-15: Highest Volume — 130,916 contracts
2020-07-15: Largest IV drop — 8.6% change
2020-07-13: Highest IV Rank — 29.4%
2020-07-13: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$205.20	$196.56	$217.70	$198.44	$197.43
Max Pain	$199.55	$195.00	$210.00	$195.00	$205.00
ATM IV	37.9%	32.2%	47.5%	39.8%	32.9%
Expected Move	10.7%	9.0%	13.0%	12.0%	9.1%
HV 20d	46.9%	35.9%	54.3%	49.9%	36.7%
HV 60d	49.1%	47.7%	50.9%	50.9%	47.8%
IV Rank	20.1%	14.5%	29.4%	21.9%	15.2%
IV Percentile	67.5%	57.9%	83.7%	73.4%	58.7%
Term Structure	-0.1%	-1.8%	1.1%	-0.3%	0.7%
VWIV	37.8%	31.8%	45.7%	42.3%	31.8%
Skew 25d	2.7%	1.0%	5.7%	5.3%	1.4%
Skew 10d	4.8%	1.4%	9.5%	9.4%	3.5%
Call IV 25d	37.1%	32.1%	46.9%	38.1%	32.6%
Put IV 25d	39.8%	33.6%	48.4%	43.4%	34.0%
Bid-Ask Spread %	18.20	6.34	34.96	7.17	6.88
Gamma HHI	0.08	0.05	0.30	0.06	0.30
Net GEX	16.4M	-49.6M	60.1M	17.2M	-49.6M
Net DEX	-340.6M	-1.16B	149.7M	-144.8M	149.7M
Net VEX	-7.7M	-8.0M	-7.4M	-7.5M	-7.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.23	0.65	0.48	0.53
Total Volume	47,976.455	22,372	130,916	22,372	38,925
Total OI	267,198.227	224,879	311,100	254,775	288,455

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
2020-07-01	$198.44	$195.00	39.8%	12.0%	49.9%	21.9%	42.3%	5.3%	-0.3%	17.2M	-144.8M	-7.5M	0.48	7.17	15,086	7,286	125,048	129,727
2020-07-02	$197.74	$195.00	37.7%	11.6%	49.5%	19.9%	40.5%	5.7%	0.2%	31.0M	-115.8M	-7.4M	0.61	17.80	15,820	9,600	129,882	130,301
2020-07-06	$207.11	$195.00	40.8%	11.4%	51.9%	22.8%	40.4%	4.8%	-0.4%	16.7M	-466.0M	-7.6M	0.51	34.96	30,274	15,458	118,146	123,125
2020-07-07	$199.31	$195.00	41.4%	11.6%	53.4%	23.4%	43.2%	4.1%	-0.7%	7.1M	-126.5M	-7.5M	0.60	33.16	22,814	13,643	124,310	126,074
2020-07-08	$202.75	$195.00	44.0%	11.9%	53.9%	25.9%	43.0%	3.8%	-1.3%	16.0M	-315.9M	-7.8M	0.65	17.21	18,659	12,219	131,378	130,867
2020-07-09	$196.56	$195.00	45.4%	12.8%	54.3%	27.3%	44.5%	3.7%	-0.6%	-24.9K	-20.6M	-7.6M	0.59	30.30	25,744	15,145	134,758	132,451
2020-07-10	$205.78	$195.00	45.7%	12.5%	48.5%	27.6%	44.3%	3.2%	-1.7%	29.5M	-545.4M	-8.0M	0.32	17.86	47,657	15,238	139,340	135,430
2020-07-13	$209.23	$195.00	47.5%	13.0%	48.4%	29.4%	45.7%	1.0%	-1.8%	25.7M	-656.9M	-8.0M	0.26	15.84	42,237	10,796	133,721	126,272
2020-07-14	$212.53	$195.00	43.9%	12.3%	48.1%	25.8%	43.8%	2.7%	-0.6%	33.8M	-809.7M	-7.9M	0.50	19.12	48,759	24,566	137,673	129,196
2020-07-15	$217.70	$195.00	40.1%	11.3%	48.5%	22.2%	40.0%	1.6%	-0.6%	60.1M	-1.16B	-7.8M	0.35	24.07	96,683	34,233	151,384	139,868
2020-07-16	$215.01	$200.00	37.5%	10.6%	48.5%	19.7%	36.8%	1.4%	-0.8%	54.6M	-945.0M	-7.9M	0.26	14.54	70,063	18,496	160,330	143,077
2020-07-17	$211.73	$200.00	35.9%	10.3%	48.6%	18.1%	36.0%	1.5%	-0.0%	21.7M	-708.9M	-7.7M	0.48	19.00	31,125	14,975	164,751	146,349
2020-07-20	$212.08	$200.00	34.2%	9.8%	48.6%	16.4%	34.4%	2.3%	0.4%	20.4M	-443.7M	-7.6M	0.49	8.49	15,305	7,450	115,683	109,196
2020-07-21	$212.34	$200.00	34.8%	10.0%	48.6%	17.0%	34.6%	2.8%	0.4%	23.7M	-472.0M	-7.6M	0.23	28.74	43,529	10,004	121,625	111,930
2020-07-22	$206.18	$200.00	34.2%	9.8%	49.8%	16.4%	33.8%	2.0%	0.2%	15.0M	-239.7M	-7.7M	0.37	15.93	44,683	16,564	136,651	115,931
2020-07-23	$203.20	$210.00	33.7%	9.6%	49.2%	16.0%	33.5%	2.4%	0.4%	2.1M	-83.3M	-7.7M	0.44	13.86	33,067	14,531	145,801	124,605
2020-07-24	$201.79	$205.00	34.3%	9.8%	47.7%	16.5%	34.2%	2.5%	0.7%	-2.2M	-60.4M	-7.8M	0.44	21.14	26,750	11,647	152,392	127,292
2020-07-27	$203.07	$205.00	33.6%	9.4%	37.2%	15.9%	33.3%	2.1%	0.2%	13.1M	-146.9M	-7.8M	0.44	8.79	20,925	9,307	139,283	120,693
2020-07-28	$201.72	$205.00	32.6%	9.2%	37.2%	14.9%	32.5%	1.6%	0.9%	11.2M	-80.8M	-7.7M	0.42	19.06	16,873	7,133	144,007	124,962
2020-07-29	$203.22	$205.00	32.2%	9.2%	35.9%	14.5%	31.9%	1.5%	1.1%	15.0M	-145.1M	-7.7M	0.26	20.24	30,091	7,938	145,149	127,818
2020-07-30	$199.54	$205.00	32.6%	9.0%	36.6%	14.9%	32.1%	1.9%	0.8%	-664.0K	44.4M	-7.6M	0.50	6.34	29,406	14,778	153,432	129,998
2020-07-31	$197.43	$205.00	32.9%	9.1%	36.7%	15.2%	31.8%	1.4%	0.7%	-49.6M	149.7M	-7.5M	0.53	6.88	25,492	13,433	155,881	132,574