GS Options History — March 2021

In March 2021, GS traded between $325.44 and $348.64. ATM implied volatility averaged 31.3%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.9% (HV 20d: 24.5%). Max pain ranged from $290.00 to $330.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.90.

Notable Days

2021-03-18: Highest Volume — 66,637 contracts
2021-03-03: Largest IV spike — 8.9% change
2021-03-29: Highest IV Rank — 10.2%
2021-03-04: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$335.83	$325.44	$348.64	$330.10	$327.17
Max Pain	$314.67	$290.00	$330.00	$300.00	$330.00
ATM IV	31.3%	29.2%	35.5%	30.8%	30.4%
Expected Move	9.2%	8.4%	10.1%	8.8%	9.2%
HV 20d	24.5%	19.3%	27.8%	23.2%	24.9%
HV 60d	28.7%	27.2%	30.2%	29.3%	27.8%
IV Rank	6.6%	3.7%	10.2%	4.7%	9.0%
IV Percentile	26.3%	9.9%	50.0%	23.0%	21.0%
Term Structure	0.0%	-1.1%	1.7%	-0.3%	-0.3%
VWIV	33.1%	30.0%	36.4%	31.9%	32.4%
Skew 25d	1.9%	0.9%	5.3%	2.5%	1.7%
Skew 10d	4.4%	2.4%	8.7%	3.1%	4.6%
Call IV 25d	31.3%	28.4%	35.3%	29.9%	30.6%
Put IV 25d	33.1%	30.0%	38.2%	32.4%	32.3%
Bid-Ask Spread %	39.37	20.49	55.62	31.98	55.62
Gamma HHI	0.08	0.04	0.17	0.08	0.04
Net GEX	33.9M	-6.1M	82.9M	41.8M	8.6M
Net DEX	-1.84B	-2.67B	-981.8M	-1.91B	-1.19B
Net VEX	-8.3M	-8.9M	-7.9M	-8.0M	-8.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.38	1.65	0.81	0.63
Total Volume	31,884.304	16,909	66,637	21,341	26,169
Total OI	256,068.217	227,724	282,567	239,782	266,053

Daily Data (23 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
2021-03-01	$330.10	$300.00	30.8%	8.8%	23.2%	4.7%	31.9%	2.5%	-0.3%	41.8M	-1.91B	-8.0M	0.81	31.98	11,770	9,571	108,177	131,605
2021-03-02	$331.88	$300.00	31.6%	9.1%	23.2%	5.6%	33.2%	1.7%	-0.8%	46.6M	-1.98B	-8.2M	0.88	35.40	13,030	11,405	112,308	135,650
2021-03-03	$335.80	$300.00	34.4%	10.1%	19.3%	8.6%	36.4%	1.7%	-0.5%	51.3M	-2.12B	-8.6M	0.83	20.49	18,029	14,984	116,424	139,642
2021-03-04	$329.88	$290.00	35.5%	10.1%	21.3%	9.7%	36.0%	3.0%	-0.8%	34.1M	-1.78B	-8.9M	1.07	36.88	14,104	15,063	120,054	143,333
2021-03-05	$326.94	$290.00	32.3%	9.7%	21.8%	6.4%	34.6%	1.9%	0.1%	33.0M	-1.58B	-8.7M	1.29	41.27	15,416	19,822	120,824	145,544
2021-03-08	$336.70	$300.00	33.4%	9.9%	23.4%	7.6%	36.0%	1.0%	1.2%	43.7M	-2.10B	-8.0M	0.96	42.49	11,667	11,227	111,494	134,866
2021-03-09	$332.01	$295.00	31.1%	9.4%	23.9%	5.0%	32.9%	1.2%	1.7%	40.0M	-1.89B	-8.2M	1.30	45.85	7,583	9,830	114,328	137,308
2021-03-10	$341.55	$305.00	32.2%	9.6%	25.2%	6.2%	34.2%	1.4%	1.2%	56.2M	-2.30B	-8.1M	0.62	34.56	21,123	13,008	115,699	141,256
2021-03-11	$342.04	$310.00	31.2%	9.3%	25.2%	5.2%	33.6%	1.9%	1.4%	69.1M	-2.37B	-8.2M	1.11	37.14	16,952	18,840	120,211	143,928
2021-03-12	$348.64	$310.00	31.9%	9.4%	25.1%	5.9%	33.6%	1.6%	1.4%	82.9M	-2.67B	-8.1M	0.55	30.08	21,383	11,692	121,867	148,153
2021-03-15	$345.33	$310.00	32.0%	9.3%	25.7%	6.0%	33.2%	1.5%	-0.9%	51.6M	-2.36B	-8.2M	1.16	36.87	9,806	11,384	116,359	138,425
2021-03-16	$342.09	$315.00	29.8%	8.6%	25.6%	3.7%	31.4%	1.1%	-0.1%	47.0M	-2.19B	-8.3M	1.31	26.96	10,769	14,154	118,524	142,073
2021-03-17	$344.11	$325.00	29.9%	8.6%	25.5%	3.8%	30.6%	1.1%	-0.3%	46.6M	-2.30B	-7.9M	0.69	39.26	9,987	6,922	119,438	147,278
2021-03-18	$347.91	$325.00	31.6%	9.1%	25.3%	5.6%	32.3%	1.6%	-0.2%	62.3M	-2.47B	-7.9M	0.97	22.43	33,770	32,867	121,331	148,760
2021-03-19	$345.61	$325.00	30.6%	8.6%	25.3%	5.9%	31.0%	1.7%	1.5%	-1.1M	-2.20B	-8.2M	1.65	44.76	15,873	26,265	124,911	157,656
2021-03-22	$339.81	$330.00	29.2%	8.4%	26.4%	4.4%	30.0%	1.6%	-0.2%	19.0M	-1.60B	-8.1M	0.69	44.46	18,290	12,541	103,733	123,991
2021-03-23	$332.34	$330.00	29.8%	8.7%	27.8%	5.3%	30.5%	0.9%	-0.1%	9.2M	-1.29B	-8.4M	0.56	47.98	18,957	10,546	108,554	128,131
2021-03-24	$329.77	$330.00	29.7%	8.9%	25.3%	6.4%	31.8%	1.9%	0.4%	3.9M	-1.19B	-8.2M	0.38	46.48	25,562	9,587	111,845	130,498
2021-03-25	$330.98	$330.00	30.9%	9.2%	25.2%	8.6%	34.7%	1.8%	-0.8%	13.7M	-1.23B	-8.6M	0.63	28.00	26,859	16,832	117,921	132,646
2021-03-26	$325.44	$330.00	30.9%	9.3%	25.3%	9.3%	33.1%	2.8%	-0.4%	-6.1M	-981.8M	-8.4M	0.89	53.12	23,055	20,450	121,371	139,161
2021-03-29	$325.87	$330.00	31.3%	9.2%	23.9%	10.2%	33.4%	5.3%	-1.1%	3.7M	-1.09B	-8.5M	1.09	55.41	16,116	17,548	111,959	136,054
2021-03-30	$332.07	$327.50	30.6%	9.3%	24.8%	9.5%	33.7%	1.8%	-1.0%	22.1M	-1.43B	-8.6M	0.58	47.96	20,643	11,888	116,737	143,489
2021-03-31	$327.17	$330.00	30.4%	9.2%	24.9%	9.0%	32.4%	1.7%	-0.3%	8.6M	-1.19B	-8.5M	0.63	55.62	16,059	10,110	120,489	145,564