GS Options History — December 2020

In December 2020, GS traded between $232.18 and $262.74. ATM implied volatility averaged 30.3%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.7% (HV 20d: 28.6%). Max pain ranged from $210.00 to $220.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.64.

Notable Days

2020-12-21: Highest Volume — 107,820 contracts
2020-12-21: Largest IV spike — 7.4% change
2020-12-31: Highest IV Rank — 13.2%
2020-12-21: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$246.29	$232.18	$262.74	$232.18	$262.74
Max Pain	$214.32	$210.00	$220.00	$220.00	$220.00
ATM IV	30.3%	27.3%	32.9%	27.3%	32.9%
Expected Move	8.6%	8.1%	9.0%	8.1%	8.8%
HV 20d	28.6%	22.3%	35.3%	35.3%	30.5%
HV 60d	32.0%	29.6%	33.4%	33.4%	32.2%
IV Rank	11.0%	8.5%	13.2%	8.5%	13.2%
IV Percentile	32.4%	25.0%	41.3%	25.0%	41.3%
Term Structure	0.6%	-0.8%	1.7%	1.5%	-0.3%
VWIV	31.1%	29.2%	33.1%	29.3%	32.1%
Skew 25d	2.3%	1.1%	3.5%	2.2%	1.1%
Skew 10d	5.3%	2.3%	7.4%	5.9%	4.1%
Call IV 25d	30.1%	26.8%	33.9%	27.0%	33.9%
Put IV 25d	32.5%	29.0%	35.2%	29.2%	35.0%
Bid-Ask Spread %	20.87	7.20	32.22	12.39	18.41
Gamma HHI	0.11	0.08	0.18	0.10	0.18
Net GEX	62.3M	34.9M	114.3M	34.9M	114.3M
Net DEX	-1.57B	-2.28B	-924.6M	-924.6M	-2.28B
Net VEX	-8.2M	-8.6M	-7.9M	-8.3M	-8.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.29	1.29	0.53	0.39
Total Volume	32,507.682	12,511	107,820	16,179	41,473
Total OI	305,251.045	276,405	337,760	281,697	326,712

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
2020-12-01	$232.18	$220.00	27.3%	8.1%	35.3%	8.5%	29.3%	2.2%	1.5%	34.9M	-924.6M	-8.3M	0.53	12.39	10,586	5,593	129,585	152,112
2020-12-02	$237.80	$220.00	28.3%	8.3%	33.6%	9.6%	30.1%	2.9%	1.3%	48.6M	-1.24B	-8.5M	0.78	14.54	12,796	10,024	134,902	154,021
2020-12-03	$235.32	$210.00	27.7%	8.5%	34.3%	8.9%	30.1%	2.2%	1.6%	37.4M	-1.09B	-8.4M	0.80	25.00	9,117	7,319	136,874	156,554
2020-12-04	$239.33	$210.00	28.8%	8.5%	34.1%	10.0%	30.7%	2.5%	1.3%	46.3M	-1.40B	-8.1M	0.69	21.30	17,781	12,314	139,118	157,958
2020-12-07	$237.78	$210.00	30.3%	8.8%	34.2%	11.4%	31.9%	2.9%	0.1%	47.5M	-1.21B	-8.1M	0.78	28.15	9,858	7,714	134,791	151,246
2020-12-08	$238.41	$210.00	30.0%	8.7%	23.6%	11.2%	32.2%	2.7%	0.2%	48.6M	-1.21B	-8.2M	0.63	24.32	8,202	5,130	138,605	155,194
2020-12-09	$242.41	$210.00	30.6%	8.9%	24.0%	11.8%	31.6%	2.5%	0.7%	62.7M	-1.51B	-8.2M	0.41	23.38	28,986	11,879	142,109	156,912
2020-12-10	$244.75	$210.00	30.1%	8.8%	23.8%	11.4%	31.6%	2.1%	0.5%	71.4M	-1.66B	-8.2M	0.80	31.33	11,118	8,854	146,762	159,810
2020-12-11	$239.60	$210.00	30.7%	9.0%	24.1%	11.9%	32.1%	2.3%	0.9%	43.0M	-1.24B	-8.2M	1.06	26.50	12,683	13,467	149,368	163,053
2020-12-14	$237.94	$215.00	30.7%	8.9%	22.3%	11.9%	31.9%	3.5%	0.8%	53.3M	-1.18B	-8.2M	1.29	24.14	7,038	9,099	144,621	155,327
2020-12-15	$242.57	$215.00	29.8%	8.5%	22.9%	10.2%	31.5%	3.4%	1.6%	67.2M	-1.48B	-8.1M	0.65	23.69	12,360	8,055	146,127	158,241
2020-12-16	$243.61	$215.00	29.5%	8.5%	22.9%	9.8%	30.5%	3.2%	1.2%	75.9M	-1.58B	-8.0M	0.69	20.59	7,404	5,107	149,544	160,402
2020-12-17	$244.13	$215.00	28.9%	8.2%	22.9%	9.1%	29.2%	3.3%	1.7%	84.5M	-1.62B	-7.9M	0.76	21.07	12,742	9,664	150,738	161,603
2020-12-18	$242.02	$215.00	30.2%	8.5%	23.2%	10.4%	29.8%	3.2%	1.3%	55.7M	-1.44B	-7.9M	0.79	32.22	14,114	11,097	151,074	164,945
2020-12-21	$256.38	$215.00	32.4%	9.0%	30.0%	12.6%	33.1%	2.2%	0.8%	52.8M	-1.90B	-8.0M	0.42	17.46	76,183	31,637	133,245	143,160
2020-12-22	$250.25	$215.00	30.5%	8.5%	31.1%	10.8%	30.6%	2.6%	-0.2%	53.6M	-1.55B	-8.2M	0.55	21.06	25,139	13,919	150,234	154,196
2020-12-23	$258.19	$215.00	32.0%	8.6%	31.1%	12.3%	31.4%	1.6%	-0.1%	87.7M	-2.12B	-8.1M	0.29	7.20	74,839	21,450	154,653	159,128
2020-12-24	$254.90	$215.00	31.6%	8.5%	31.6%	11.8%	32.1%	1.4%	-0.1%	53.2M	-1.88B	-8.6M	0.55	22.50	19,183	10,527	174,910	162,850
2020-12-28	$260.28	$215.00	32.0%	8.6%	31.9%	12.3%	31.4%	1.1%	-0.4%	75.7M	-2.10B	-8.0M	0.35	16.48	36,738	12,812	158,986	151,765
2020-12-29	$258.30	$215.00	31.8%	8.4%	31.1%	12.1%	30.6%	1.5%	-0.2%	74.4M	-1.98B	-8.2M	0.46	15.81	19,875	9,184	165,229	154,998
2020-12-30	$259.48	$220.00	31.5%	8.2%	31.1%	11.7%	30.4%	1.2%	-0.8%	82.2M	-2.04B	-8.2M	0.41	11.58	15,703	6,406	165,468	158,393
2020-12-31	$262.74	$220.00	32.9%	8.8%	30.5%	13.2%	32.1%	1.1%	-0.3%	114.3M	-2.28B	-8.2M	0.39	18.41	29,740	11,733	166,892	159,820