GS Options History — October 2020

In October 2020, GS traded between $187.78 and $214.52. ATM implied volatility averaged 36.5%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 6.2% (HV 20d: 30.3%). Max pain ranged from $195.00 to $200.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.55.

Notable Days

2020-10-14: Highest Volume — 114,198 contracts
2020-10-28: Largest IV spike — 13.1% change
2020-10-30: Highest IV Rank — 23.6%
2020-10-30: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$202.92	$187.78	$214.52	$198.00	$187.78
Max Pain	$199.77	$195.00	$200.00	$200.00	$200.00
ATM IV	36.5%	31.7%	41.5%	37.6%	41.5%
Expected Move	10.5%	9.0%	12.6%	11.4%	12.6%
HV 20d	30.3%	26.2%	34.9%	34.9%	27.9%
HV 60d	27.2%	26.1%	28.9%	28.9%	28.3%
IV Rank	18.7%	14.0%	23.6%	19.8%	23.6%
IV Percentile	57.8%	42.1%	74.6%	62.3%	74.6%
Term Structure	-0.1%	-1.5%	3.5%	3.5%	-0.5%
VWIV	37.2%	32.1%	43.1%	40.4%	43.1%
Skew 25d	3.3%	1.2%	6.9%	3.0%	6.9%
Skew 10d	6.6%	0.8%	14.3%	5.5%	14.3%
Call IV 25d	35.5%	31.3%	40.6%	36.2%	38.9%
Put IV 25d	38.7%	33.7%	45.8%	39.2%	45.8%
Bid-Ask Spread %	11.35	2.25	26.23	3.66	26.23
Gamma HHI	0.07	0.05	0.11	0.05	0.06
Net GEX	24.4M	-11.7M	60.0M	14.6M	-11.7M
Net DEX	-230.3M	-949.4M	612.3M	-61.8M	612.3M
Net VEX	-8.0M	-8.3M	-7.7M	-8.1M	-8.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.32	0.91	0.66	0.90
Total Volume	42,566.682	22,218	114,198	22,218	43,805
Total OI	303,995.909	256,310	354,926	304,152	323,589

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
2020-10-01	$198.00	$200.00	37.6%	11.4%	34.9%	19.8%	40.4%	3.0%	3.5%	14.6M	-61.8M	-8.1M	0.66	3.66	13,417	8,801	156,399	147,753
2020-10-02	$199.49	$200.00	37.8%	11.5%	34.8%	19.9%	41.1%	3.1%	2.9%	29.2M	-155.9M	-8.1M	0.65	4.25	17,533	11,375	157,815	149,275
2020-10-05	$202.26	$200.00	40.4%	11.7%	34.0%	22.5%	41.7%	3.1%	-0.5%	23.7M	-274.2M	-8.0M	0.41	7.71	20,366	8,437	149,940	140,641
2020-10-06	$201.25	$195.00	40.0%	11.4%	30.3%	22.1%	39.6%	2.4%	-0.2%	25.7M	-231.7M	-8.0M	0.56	8.86	25,310	14,229	156,906	142,521
2020-10-07	$204.19	$200.00	40.6%	11.2%	30.8%	22.7%	39.8%	2.6%	-1.5%	32.8M	-385.8M	-8.0M	0.46	13.46	15,989	7,277	156,485	145,738
2020-10-08	$207.67	$200.00	39.8%	10.9%	30.9%	21.9%	38.8%	1.9%	-0.7%	55.2M	-659.9M	-8.1M	0.57	6.15	18,425	10,583	161,170	147,904
2020-10-09	$207.10	$200.00	37.6%	10.5%	30.9%	19.7%	37.0%	1.6%	-0.9%	55.3M	-606.9M	-7.9M	0.53	11.15	22,213	11,842	162,744	150,018
2020-10-12	$214.52	$200.00	35.6%	9.9%	33.2%	17.8%	35.3%	1.2%	-1.1%	54.5M	-949.4M	-7.8M	0.32	11.17	45,123	14,419	154,612	140,698
2020-10-13	$211.49	$200.00	36.4%	10.3%	33.0%	18.6%	36.4%	2.0%	-0.7%	47.9M	-738.0M	-7.8M	0.60	11.70	51,560	30,767	159,168	143,983
2020-10-14	$210.66	$200.00	32.9%	9.4%	32.8%	15.1%	33.1%	2.5%	-0.4%	60.0M	-719.6M	-7.8M	0.39	2.25	81,882	32,316	184,147	163,902
2020-10-15	$208.40	$200.00	33.9%	9.6%	30.4%	16.2%	34.2%	2.4%	-0.7%	41.6M	-547.1M	-7.8M	0.49	2.70	37,030	18,168	180,452	162,701
2020-10-16	$206.54	$200.00	31.7%	9.0%	30.6%	14.0%	32.1%	1.8%	-0.5%	24.6M	-406.3M	-7.7M	0.50	3.25	33,395	16,685	188,067	166,859
2020-10-19	$205.44	$200.00	35.0%	10.0%	29.9%	17.3%	35.3%	3.3%	-0.5%	18.3M	-219.1M	-7.8M	0.74	9.15	21,644	16,112	130,891	125,419
2020-10-20	$208.99	$200.00	34.1%	9.7%	29.9%	16.4%	34.1%	3.4%	-1.0%	34.5M	-423.1M	-8.1M	0.40	18.66	28,298	11,318	138,440	133,390
2020-10-21	$202.24	$200.00	34.3%	9.8%	30.6%	16.5%	34.0%	3.8%	-0.3%	2.4M	-2.1M	-8.0M	0.32	15.85	31,882	10,281	143,484	137,147
2020-10-22	$205.60	$200.00	33.1%	9.5%	26.3%	15.4%	34.0%	4.0%	-0.7%	26.0M	-281.2M	-8.3M	0.57	19.39	19,675	11,200	158,946	141,476
2020-10-23	$205.12	$200.00	32.7%	9.4%	26.2%	15.0%	33.8%	4.2%	-0.5%	21.5M	-218.4M	-8.2M	0.56	21.29	17,957	10,064	159,060	145,199
2020-10-26	$200.08	$200.00	35.5%	10.5%	26.7%	17.7%	37.0%	4.0%	0.9%	2.5M	25.3M	-8.0M	0.91	9.52	13,951	12,729	142,169	136,878
2020-10-27	$195.78	$200.00	35.6%	10.6%	27.5%	17.8%	36.8%	3.9%	0.8%	-11.5M	276.6M	-7.8M	0.48	12.31	25,409	12,082	145,157	141,560
2020-10-28	$190.82	$200.00	40.2%	12.2%	28.0%	22.3%	42.1%	5.3%	0.6%	-5.9M	445.8M	-8.0M	0.67	18.58	28,323	18,919	159,091	146,222
2020-10-29	$190.91	$200.00	36.9%	11.1%	27.7%	19.0%	38.0%	5.2%	0.9%	-4.8M	454.8M	-7.9M	0.49	12.39	23,902	11,774	160,684	149,210
2020-10-30	$187.78	$200.00	41.5%	12.6%	27.9%	23.6%	43.1%	6.9%	-0.5%	-11.7M	612.3M	-8.2M	0.90	26.23	23,048	20,757	169,159	154,430