GS Options History — August 2020

In August 2020, GS traded between $199.32 and $212.40. ATM implied volatility averaged 30.2%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.1% (HV 20d: 22.1%). Max pain ranged from $200.00 to $205.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2020-08-11: Highest Volume — 96,441 contracts
  • 2020-08-12: Largest IV drop — 9.4% change
  • 2020-08-03: Highest IV Rank — 15.3%
  • 2020-08-11: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$205.83$199.32$212.40$199.32$205.21
Max Pain$200.71$200.00$205.00$205.00$200.00
ATM IV30.2%27.0%33.0%33.0%31.9%
Expected Move8.6%7.6%9.4%9.2%9.1%
HV 20d22.1%18.3%32.7%32.7%20.9%
HV 60d42.3%36.9%47.5%47.5%36.9%
IV Rank12.5%9.5%15.3%15.3%14.2%
IV Percentile52.9%46.0%58.7%58.7%55.2%
Term Structure0.5%-0.6%2.4%-0.5%0.7%
VWIV30.5%26.9%33.1%32.1%32.3%
Skew 25d2.5%1.2%3.3%3.0%2.1%
Skew 10d4.5%2.5%6.5%4.8%3.7%
Call IV 25d29.6%26.3%32.4%32.4%31.4%
Put IV 25d32.1%29.0%35.3%35.3%33.5%
Bid-Ask Spread %16.987.1836.4319.9911.62
Gamma HHI0.080.050.140.050.06
Net GEX30.2M3.1M65.3M7.8M32.0M
Net DEX-285.7M-693.7M49.8M18.0M-268.4M
Net VEX-7.7M-8.1M-7.2M-7.5M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.170.630.230.29
Total Volume39,542.28621,75696,44126,90530,741
Total OI273,895.857235,145290,928262,361272,473

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$199.32$205.0033.0%9.2%32.7%15.3%32.1%3.0%-0.5%7.8M18.0M-7.5M0.2319.9921,8205,085136,290126,071
2020-08-04$201.22$205.0032.2%8.8%29.9%14.5%31.1%3.3%-0.5%21.1M-101.3M-7.5M0.409.9819,6827,947141,379127,483
2020-08-05$204.50$205.0030.6%8.4%29.8%12.9%30.0%2.8%-0.4%40.2M-275.7M-7.6M0.359.4120,2107,008143,359129,263
2020-08-06$204.27$200.0031.6%9.0%27.4%13.9%32.6%2.1%-0.6%40.9M-261.9M-7.6M0.4027.9621,1108,436146,072130,480
2020-08-07$206.86$200.0031.0%9.1%22.5%13.4%32.2%2.9%-0.1%48.7M-448.7M-7.7M0.2823.6942,63511,764149,758133,064
2020-08-10$209.40$200.0031.3%9.0%22.1%13.7%32.3%2.5%0.4%43.7M-538.7M-7.7M0.3636.4331,79311,415142,368126,707
2020-08-11$211.31$200.0032.9%9.4%21.6%15.2%33.1%1.8%-0.1%48.8M-654.8M-8.0M0.1717.2882,65913,782144,898129,841
2020-08-12$212.40$200.0029.8%8.8%19.7%12.2%31.1%2.3%0.8%54.7M-640.1M-7.8M0.4132.0324,2809,909148,662132,812
2020-08-13$208.58$200.0030.5%8.7%20.3%12.9%31.0%2.9%-0.1%34.3M-363.6M-7.8M0.5511.3917,4509,560148,547134,329
2020-08-14$208.11$200.0029.7%8.5%19.6%12.0%30.9%2.9%0.2%6.7M-320.4M-7.7M0.5312.4718,1949,570150,027136,662
2020-08-17$202.97$200.0029.2%8.4%21.4%11.6%30.1%2.3%1.2%9.3M-30.9M-7.2M0.639.4618,74711,749136,869127,789
2020-08-18$201.83$200.0028.4%8.1%21.3%10.8%29.6%2.5%0.8%4.8M49.8M-7.3M0.4910.1515,9087,790141,269133,642
2020-08-19$203.39$200.0027.5%7.9%19.1%9.9%27.7%2.7%1.2%11.7M-51.4M-7.3M0.4324.1120,8568,971144,079136,966
2020-08-20$202.22$200.0028.1%8.0%18.5%10.5%28.8%2.7%0.7%3.1M27.2M-7.3M0.4417.9115,0586,698146,195139,251
2020-08-21$202.59$200.0027.0%7.6%18.3%9.5%26.9%2.7%1.4%16.1M4.9M-7.3M0.3212.9022,2347,076147,282141,133
2020-08-24$206.87$200.0029.0%8.2%19.7%11.4%29.2%3.0%0.3%15.7M-262.9M-7.4M0.209.3645,7159,265116,070119,075
2020-08-25$206.07$200.0028.6%8.0%19.5%11.1%28.5%2.4%2.4%33.5M-334.2M-7.6M0.2911.5040,65011,759131,895123,016
2020-08-26$205.57$200.0029.3%8.2%19.4%11.7%29.8%2.5%0.9%31.7M-292.1M-7.8M0.307.1820,8116,319139,983128,281
2020-08-27$210.76$200.0031.0%8.8%19.9%13.4%31.1%1.2%0.5%63.0M-693.7M-8.1M0.1824.2872,59413,139147,416130,129
2020-08-28$208.98$200.0030.4%8.5%19.7%12.8%30.5%1.2%0.8%65.3M-561.4M-8.1M0.2317.5040,5029,497158,042132,886
2020-08-31$205.21$200.0031.9%9.1%20.9%14.2%32.3%2.1%0.7%32.0M-268.4M-8.0M0.2911.6223,9106,831145,875126,598