GS Options History — February 2021

In February 2021, GS traded between $274.86 and $330.49. ATM implied volatility averaged 31.0%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.3% (HV 20d: 28.7%). Max pain ranged from $260.00 to $285.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-02-26: Highest Volume — 75,124 contracts
  • 2021-02-25: Largest IV spike — 9.3% change
  • 2021-02-01: Highest IV Rank — 14.7%
  • 2021-02-25: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$306.26$274.86$330.49$274.86$322.71
Max Pain$269.21$260.00$285.00$285.00$270.00
ATM IV31.0%29.1%34.5%34.5%31.9%
Expected Move8.9%8.3%10.0%9.6%9.3%
HV 20d28.7%22.4%35.9%32.8%24.1%
HV 60d30.0%28.5%33.1%32.1%29.0%
IV Rank9.6%4.9%14.7%14.7%5.9%
IV Percentile24.0%10.3%44.4%44.4%28.6%
Term Structure0.2%-0.6%1.2%-0.6%-0.1%
VWIV31.7%29.6%35.5%34.2%32.5%
Skew 25d1.8%0.1%5.1%4.4%5.1%
Skew 10d3.0%-0.1%7.6%7.6%7.0%
Call IV 25d30.7%27.4%33.7%33.2%29.0%
Put IV 25d32.6%30.2%37.6%37.6%34.1%
Bid-Ask Spread %46.9930.2361.0156.0942.05
Gamma HHI0.110.060.270.060.06
Net GEX53.0M8.2M99.1M8.2M28.6M
Net DEX-2.15B-2.72B-848.8M-848.8M-2.23B
Net VEX-8.5M-9.5M-7.7M-9.5M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.191.540.340.19
Total Volume32,496.21118,55775,12425,74075,124
Total OI264,350.632234,303290,881259,486272,262

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$274.86$285.0034.5%9.6%32.8%14.7%34.2%4.4%-0.6%8.2M-848.8M-9.5M0.3456.0919,2256,515133,051126,435
2021-02-02$287.32$285.0032.7%9.0%35.9%12.9%32.2%2.4%-0.2%51.0M-1.62B-9.3M0.5256.7430,05815,586140,139128,894
2021-02-03$288.74$285.0031.4%8.5%35.2%11.6%30.1%1.6%-0.0%59.6M-1.72B-9.1M0.4855.1116,1017,702144,590133,759
2021-02-04$292.86$260.0030.4%8.8%31.7%10.6%31.5%1.4%0.3%77.4M-2.04B-9.0M0.4555.0030,71113,787148,504135,780
2021-02-05$294.65$260.0029.3%8.6%30.3%9.5%30.4%1.1%0.5%83.0M-2.14B-8.9M0.7148.7120,45714,456153,466137,415
2021-02-08$300.74$260.0030.3%8.8%30.9%10.5%31.7%0.1%0.8%59.5M-2.13B-8.4M0.5761.0118,89410,846134,099125,871
2021-02-09$300.54$260.0030.2%8.7%30.7%10.4%31.5%1.0%0.4%57.7M-2.04B-8.6M0.5652.5215,2658,551133,964128,054
2021-02-10$303.51$265.0030.8%8.8%29.0%11.1%31.6%0.7%-0.3%57.3M-2.20B-8.2M0.5435.8014,3467,799135,029132,172
2021-02-11$301.46$265.0030.5%8.9%29.0%10.8%32.1%4.3%0.5%50.8M-2.04B-8.5M1.5450.567,30011,257136,540134,123
2021-02-12$306.03$265.0030.0%8.7%28.7%10.3%31.1%0.7%0.3%99.1M-2.36B-8.5M0.6851.0513,3219,021137,824137,703
2021-02-16$312.54$265.0030.5%8.7%27.8%10.7%31.8%1.2%0.2%55.1M-2.43B-7.8M0.7338.6720,68215,008126,613128,720
2021-02-17$312.49$270.0031.2%9.0%26.8%10.9%31.7%0.8%0.6%48.7M-2.38B-8.1M0.9045.8212,77811,553127,469132,601
2021-02-18$310.64$270.0029.9%8.6%26.3%9.6%30.8%1.6%0.3%49.9M-2.27B-8.2M0.9547.2612,82412,208129,872137,277
2021-02-19$315.78$270.0029.1%8.3%26.6%8.1%29.6%1.7%1.2%54.4M-2.58B-8.0M0.5543.2919,64310,828131,687140,437
2021-02-22$316.24$270.0030.4%8.6%26.6%6.8%30.8%1.8%0.1%34.8M-2.14B-8.1M0.8731.7811,51710,062114,162120,141
2021-02-23$319.62$270.0031.0%8.7%24.2%4.9%31.4%1.4%0.5%39.1M-2.28B-8.0M0.7244.1811,5178,296116,766122,907
2021-02-24$330.49$270.0031.2%9.0%25.8%5.2%32.4%1.3%0.5%47.8M-2.72B-7.7M0.5330.2331,50416,548119,888125,454
2021-02-25$327.77$270.0034.1%10.0%22.4%8.2%35.5%2.5%-0.1%44.0M-2.56B-8.4M1.0046.8723,11823,020127,096131,898
2021-02-26$322.71$270.0031.9%9.3%24.1%5.9%32.5%5.1%-0.1%28.6M-2.23B-8.5M0.1942.0562,87612,248132,482139,780