GS Options History — November 2020

In November 2020, GS traded between $189.92 and $237.01. ATM implied volatility averaged 29.4%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 7.2% (HV 20d: 36.7%). Max pain ranged from $200.00 to $215.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2020-11-09: Highest Volume — 63,169 contracts
  • 2020-11-04: Largest IV drop — 13.7% change
  • 2020-11-02: Highest IV Rank — 21.0%
  • 2020-11-02: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$218.31$189.92$237.01$189.92$230.92
Max Pain$204.75$200.00$215.00$200.00$215.00
ATM IV29.4%26.3%38.9%38.9%27.9%
Expected Move8.6%7.6%12.1%12.1%8.3%
HV 20d36.7%27.8%41.3%27.8%35.3%
HV 60d32.5%28.3%33.8%28.3%33.7%
IV Rank11.8%8.8%21.0%21.0%9.9%
IV Percentile32.3%23.8%63.5%63.5%27.4%
Term Structure-0.1%-1.0%1.4%-0.8%1.4%
VWIV30.7%26.9%43.1%43.1%28.9%
Skew 25d3.1%1.7%6.3%6.3%2.2%
Skew 10d6.3%3.2%13.2%13.2%5.1%
Call IV 25d28.7%25.9%36.7%36.3%27.5%
Put IV 25d31.7%28.6%42.7%42.6%29.6%
Bid-Ask Spread %29.1815.5043.1515.7624.78
Gamma HHI0.100.050.260.050.10
Net GEX42.4M-5.8M84.3M-5.8M32.6M
Net DEX-889.3M-1.54B454.1M454.1M-1.06B
Net VEX-8.1M-8.7M-7.7M-8.3M-8.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.231.230.670.23
Total Volume30,996.2511,50163,16921,76744,803
Total OI306,469.75266,936329,882305,582283,733

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$189.92$200.0038.9%12.1%27.8%21.0%43.1%6.3%-0.8%-5.8M454.1M-8.3M0.6715.7613,0208,747154,785150,797
2020-11-03$198.15$200.0038.9%11.9%32.1%21.0%41.5%6.0%-0.4%11.3M15.6M-8.7M0.5218.4429,46615,331154,785150,797
2020-11-04$198.55$200.0033.5%9.9%31.6%15.8%34.4%4.8%-0.8%14.0M30.1M-8.5M0.8016.0312,56410,109165,404158,418
2020-11-05$202.67$200.0031.9%9.0%31.9%14.3%32.5%4.2%-0.1%26.2M-233.1M-8.6M0.5842.3319,86011,538162,818160,118
2020-11-06$201.65$200.0030.1%8.8%32.0%12.5%31.2%3.7%0.7%12.5M-212.2M-8.5M0.6337.1216,30110,283168,448161,434
2020-11-09$217.25$200.0029.1%8.3%40.0%11.5%29.9%2.0%0.2%46.2M-1.07B-8.4M0.3542.8246,64916,520154,352148,456
2020-11-10$218.00$200.0029.6%8.2%39.6%12.0%30.0%2.7%-1.0%53.1M-1.11B-8.3M0.5543.1514,6038,042156,640149,479
2020-11-11$217.39$200.0027.9%8.1%39.6%10.3%29.2%2.0%0.4%56.9M-1.03B-8.2M1.0124.4412,77912,914157,756151,133
2020-11-12$213.18$200.0030.0%8.6%40.0%12.4%31.2%3.2%0.0%37.3M-711.2M-8.4M1.1743.1117,10119,923160,641154,346
2020-11-13$220.18$205.0028.5%8.2%41.3%10.9%29.3%2.6%-0.1%84.3M-1.21B-8.2M0.8641.0220,25917,483159,624160,285
2020-11-16$222.22$205.0027.4%7.9%41.2%9.8%28.3%2.8%-0.1%47.6M-1.14B-7.9M0.8331.6217,38514,349148,026154,515
2020-11-17$223.75$205.0027.3%7.8%41.0%9.7%28.5%2.9%0.3%51.4M-1.21B-7.9M0.9930.259,4159,317150,191159,316
2020-11-18$225.05$205.0027.3%7.8%38.7%9.8%28.0%2.0%-0.3%58.0M-1.30B-7.8M0.6227.9820,34012,516152,058161,647
2020-11-19$224.48$205.0027.0%7.8%38.5%9.4%28.9%2.0%-0.4%55.9M-1.22B-8.1M1.2330.937,5889,329153,418164,353
2020-11-20$224.08$205.0026.7%7.7%38.5%9.2%27.8%2.9%-0.2%66.6M-1.19B-7.9M0.9625.6410,48310,040154,110164,961
2020-11-23$229.74$210.0026.3%7.6%37.5%8.8%26.9%2.8%0.1%36.6M-1.12B-7.7M0.6523.1120,91513,664126,484140,452
2020-11-24$237.01$210.0027.0%7.8%36.9%9.4%28.5%1.7%-0.1%48.8M-1.53B-7.8M0.4421.5536,76216,056132,671146,487
2020-11-25$236.86$215.0026.5%7.8%34.7%8.9%27.7%2.2%0.2%64.8M-1.54B-7.9M0.9028.1111,57710,393142,940152,517
2020-11-27$235.06$215.0026.6%7.7%35.1%9.1%27.7%2.2%-0.1%49.3M-1.41B-7.9M0.9115.506,0125,489144,205156,795
2020-11-30$230.92$215.0027.9%8.3%35.3%9.9%28.9%2.2%1.4%32.6M-1.06B-8.0M0.2324.7836,2988,505136,034147,699