GS Options History — January 2021

In January 2021, GS traded between $266.10 and $308.62. ATM implied volatility averaged 34.0%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.2% (HV 20d: 32.8%). Max pain ranged from $255.00 to $290.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.60.

Notable Days

  • 2021-01-06: Highest Volume — 110,253 contracts
  • 2021-01-27: Largest IV spike — 17.5% change
  • 2021-01-27: Highest IV Rank — 18.2%
  • 2021-01-27: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$287.64$266.10$308.62$266.10$271.76
Max Pain$275.39$255.00$290.00$255.00$285.00
ATM IV34.0%29.3%38.0%35.9%36.9%
Expected Move9.4%8.4%11.0%9.7%10.3%
HV 20d32.8%30.0%37.0%30.0%32.8%
HV 60d32.9%32.2%33.7%32.2%33.0%
IV Rank14.3%9.6%18.2%16.1%17.1%
IV Percentile42.7%19.0%59.9%52.8%56.0%
Term Structure-0.3%-2.2%1.1%-0.5%-0.1%
VWIV33.7%29.6%39.6%34.8%36.0%
Skew 25d1.1%-0.9%6.4%2.0%6.4%
Skew 10d2.4%-4.0%11.2%4.8%11.2%
Call IV 25d34.4%29.1%39.0%36.2%35.3%
Put IV 25d35.6%30.4%41.7%38.3%41.7%
Bid-Ask Spread %44.6432.4055.9837.1839.86
Gamma HHI0.110.060.300.110.14
Net GEX33.4M-36.8M85.5M81.2M-36.8M
Net DEX-2.30B-4.03B-435.4M-2.29B-435.4M
Net VEX-8.4M-9.9M-7.4M-8.1M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.281.290.380.82
Total Volume52,412.36823,734110,25350,27936,912
Total OI310,306.316235,480372,862316,104289,470

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$266.10$255.0035.9%9.7%30.0%16.1%34.8%2.0%-0.5%81.2M-2.29B-8.1M0.3837.1836,43813,841161,712154,392
2021-01-05$272.29$255.0035.2%9.6%30.4%15.4%34.1%1.7%-0.8%85.5M-2.64B-8.1M0.4243.8843,24817,969161,671159,107
2021-01-06$285.09$255.0033.5%9.3%33.0%13.7%33.1%1.4%0.1%75.2M-3.30B-7.6M0.4244.5877,42132,832162,880167,169
2021-01-07$292.87$260.0036.5%9.8%33.5%16.8%35.3%-0.9%-0.7%60.5M-3.67B-7.4M0.4037.2654,34021,632168,680177,845
2021-01-08$290.26$260.0035.8%9.6%34.1%16.0%34.4%-0.9%-0.7%45.9M-3.44B-7.6M0.6743.6131,01020,648175,470182,721
2021-01-11$293.08$265.0036.4%9.8%34.1%16.6%35.5%1.5%-1.8%58.4M-3.29B-7.8M0.3738.9433,11512,118167,296172,449
2021-01-12$302.15$270.0036.8%9.9%32.9%17.0%35.5%-0.6%-2.2%63.0M-3.72B-7.8M0.2838.3255,87515,373171,550177,380
2021-01-13$302.87$270.0034.9%9.6%32.4%15.1%34.2%-0.4%-1.5%67.9M-3.77B-7.6M0.6750.1916,69411,251177,604182,640
2021-01-14$308.62$270.0034.8%9.7%32.4%15.0%33.9%-0.5%-1.3%71.0M-4.03B-7.8M0.5233.9735,23918,391179,926183,605
2021-01-15$300.10$285.0033.9%9.6%35.3%14.1%34.1%-0.3%-0.6%75.5M-3.47B-8.3M0.5451.5636,34719,492183,678189,184
2021-01-19$294.84$285.0030.1%8.6%36.6%10.3%30.7%0.7%1.1%30.2M-1.71B-8.1M0.6446.0446,37129,853124,086111,394
2021-01-20$290.88$290.0030.1%8.6%37.0%10.4%30.6%1.1%0.1%18.7M-1.52B-8.3M0.7650.9239,23629,853136,589122,467
2021-01-21$290.25$290.0029.3%8.4%32.4%9.6%29.6%1.4%0.8%6.3M-1.48B-8.7M0.5840.1717,68410,255145,239135,282
2021-01-22$290.04$290.0029.7%8.5%30.5%10.0%30.2%1.5%0.9%-25.3M-1.45B-9.1M0.6454.6720,51213,144147,377138,058
2021-01-25$282.70$290.0032.0%9.1%31.2%12.2%32.5%1.9%-0.2%-3.4M-1.07B-9.1M0.7932.4027,79921,847127,814123,655
2021-01-26$282.13$287.5032.3%9.1%30.7%12.6%32.6%1.8%0.9%2.1M-1.10B-9.4M0.5653.2515,2638,471139,032134,290
2021-01-27$273.71$285.0038.0%11.0%32.5%18.2%39.6%1.6%-0.7%-15.1M-591.5M-9.8M1.2955.9819,67325,381141,787136,422
2021-01-28$275.48$285.0034.5%9.7%32.3%14.7%34.1%2.4%0.9%-25.6M-651.4M-9.7M0.6055.3618,93711,370144,359141,540
2021-01-29$271.76$285.0036.9%10.3%32.8%17.1%36.0%6.4%-0.1%-36.8M-435.4M-9.9M0.8239.8620,23416,678147,060142,410