GS Options History — September 2020

In September 2020, GS traded between $186.21 and $211.90. ATM implied volatility averaged 35.3%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.8% (HV 20d: 28.5%). Max pain ranged from $200.00 to $200.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2020-09-03: Highest Volume — 58,777 contracts
2020-09-09: Largest IV drop — 11.6% change
2020-09-08: Highest IV Rank — 21.5%
2020-09-29: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$199.71	$186.21	$211.90	$205.64	$200.60
Max Pain	$200.00	$200.00	$200.00	$200.00	$200.00
ATM IV	35.3%	33.1%	39.5%	33.2%	36.6%
Expected Move	10.4%	9.1%	11.3%	9.1%	11.2%
HV 20d	28.5%	20.7%	35.7%	20.7%	35.7%
HV 60d	33.0%	28.9%	37.2%	36.9%	28.9%
IV Rank	17.5%	15.3%	21.5%	15.4%	18.7%
IV Percentile	59.5%	55.2%	68.7%	58.7%	59.9%
Term Structure	0.6%	-1.2%	3.7%	0.1%	3.1%
VWIV	36.7%	32.4%	40.3%	32.4%	39.6%
Skew 25d	2.8%	0.3%	3.9%	1.8%	2.6%
Skew 10d	5.8%	3.1%	8.3%	3.1%	6.5%
Call IV 25d	34.7%	32.6%	38.0%	32.8%	35.8%
Put IV 25d	37.5%	34.6%	41.9%	34.6%	38.4%
Bid-Ask Spread %	20.29	7.42	46.77	30.77	15.13
Gamma HHI	0.06	0.05	0.10	0.06	0.06
Net GEX	13.4M	-26.6M	64.7M	38.3M	23.4M
Net DEX	-21.2M	-710.9M	582.0M	-326.0M	-238.4M
Net VEX	-7.9M	-8.5M	-7.3M	-8.1M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.26	0.73	0.42	0.68
Total Volume	36,524.333	21,206	58,777	25,101	30,426
Total OI	289,641.333	259,808	309,489	279,390	296,742

Daily Data (21 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
2020-09-01	$205.64	$200.00	33.2%	9.1%	20.7%	15.4%	32.4%	1.8%	0.1%	38.3M	-326.0M	-8.1M	0.42	30.77	17,668	7,433	149,629	129,761
2020-09-02	$210.08	$200.00	34.1%	9.2%	21.3%	16.4%	33.0%	2.1%	0.6%	60.9M	-619.0M	-8.5M	0.26	15.13	33,455	8,670	151,539	132,532
2020-09-03	$207.06	$200.00	36.2%	10.9%	22.0%	18.3%	38.3%	0.3%	0.1%	43.0M	-389.5M	-8.5M	0.37	21.59	42,777	16,000	153,587	133,714
2020-09-04	$211.90	$200.00	35.7%	10.8%	23.0%	17.9%	37.8%	2.6%	0.2%	64.7M	-710.9M	-8.5M	0.31	46.77	44,318	13,692	154,806	139,289
2020-09-08	$202.80	$200.00	39.5%	11.3%	27.6%	21.5%	39.8%	3.9%	0.1%	17.4M	-111.7M	-8.2M	0.54	37.58	26,605	14,388	146,993	132,620
2020-09-09	$203.32	$200.00	34.9%	10.3%	27.4%	17.1%	36.7%	3.9%	1.3%	23.2M	-135.1M	-8.0M	0.36	32.13	18,523	6,744	154,094	137,794
2020-09-10	$200.62	$200.00	34.9%	10.4%	27.6%	17.1%	36.7%	3.1%	1.7%	8.9M	46.8M	-7.9M	0.41	39.57	24,639	10,162	157,354	139,713
2020-09-11	$201.17	$200.00	34.1%	10.1%	27.0%	16.3%	38.5%	2.9%	1.9%	8.2M	22.8M	-7.8M	0.73	25.97	21,918	15,988	157,386	142,009
2020-09-14	$201.96	$200.00	33.6%	9.8%	27.1%	15.8%	34.9%	2.9%	-0.7%	14.6M	-28.7M	-7.7M	0.46	13.74	14,839	6,859	145,731	138,242
2020-09-15	$198.58	$200.00	33.1%	9.6%	26.3%	15.3%	34.7%	2.7%	-0.4%	-779.1K	159.6M	-7.4M	0.52	20.65	21,450	11,126	148,155	139,880
2020-09-16	$201.52	$200.00	33.2%	9.5%	26.8%	15.4%	33.9%	2.8%	-1.2%	12.7M	-13.7M	-7.7M	0.69	21.64	17,634	12,082	152,931	145,016
2020-09-17	$194.90	$200.00	34.0%	9.8%	29.1%	16.2%	34.7%	2.4%	-0.5%	-26.6M	407.3M	-7.4M	0.51	14.27	25,879	13,120	155,343	146,976
2020-09-18	$196.62	$200.00	33.7%	9.7%	29.3%	15.9%	34.1%	2.5%	-0.7%	-4.9M	261.7M	-7.5M	0.73	9.18	24,070	17,544	161,212	148,277
2020-09-21	$193.27	$200.00	35.9%	10.5%	29.8%	18.1%	37.0%	2.8%	-0.2%	-10.2M	299.3M	-7.3M	0.67	11.37	21,008	14,102	127,594	132,214
2020-09-22	$191.53	$200.00	35.1%	10.3%	28.6%	17.3%	35.8%	3.5%	0.1%	-12.8M	367.2M	-7.5M	0.55	9.19	22,235	12,276	134,475	138,363
2020-09-23	$186.21	$200.00	37.6%	10.9%	29.9%	19.7%	37.6%	3.4%	-0.0%	-19.4M	582.0M	-7.3M	0.58	7.42	15,543	9,007	143,434	142,616
2020-09-24	$195.48	$200.00	37.3%	11.0%	35.4%	19.4%	38.7%	3.0%	-0.3%	8.2M	35.7M	-8.0M	0.31	15.59	42,475	13,060	148,633	145,338
2020-09-25	$194.54	$200.00	36.6%	10.9%	33.9%	18.8%	38.6%	3.0%	-0.2%	6.5M	95.0M	-8.1M	0.57	14.21	28,474	16,257	157,407	145,634
2020-09-28	$199.22	$200.00	35.4%	10.7%	35.3%	17.6%	38.0%	3.4%	3.7%	16.7M	-145.7M	-8.0M	0.57	14.68	21,215	12,144	146,002	138,782
2020-09-29	$196.93	$200.00	36.8%	11.3%	34.9%	19.0%	40.3%	3.5%	3.7%	9.7M	-4.2M	-8.1M	0.69	9.49	12,584	8,622	148,436	142,215
2020-09-30	$200.60	$200.00	36.6%	11.2%	35.7%	18.7%	39.6%	2.6%	3.1%	23.4M	-238.4M	-8.1M	0.68	15.13	18,094	12,332	152,709	144,033