GS Options History — April 2021

In April 2021, GS traded between $323.74 and $353.26. ATM implied volatility averaged 26.4%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.1% (HV 20d: 20.3%). Max pain ranged from $325.00 to $330.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-04-14: Highest Volume — 174,658 contracts
  • 2021-04-14: Largest IV drop — 10.4% change
  • 2021-04-20: Highest IV Rank — 8.9%
  • 2021-04-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$336.28$323.74$353.26$326.62$348.14
Max Pain$327.98$325.00$330.00$327.50$330.00
ATM IV26.4%24.1%29.8%29.3%25.0%
Expected Move7.5%6.9%9.1%9.1%7.0%
HV 20d20.3%17.4%24.2%24.2%20.8%
HV 60d24.4%22.0%27.5%27.5%22.3%
IV Rank4.3%0.0%8.9%6.6%3.3%
IV Percentile4.0%0.0%15.1%11.9%2.8%
Term Structure-0.2%-1.2%1.1%-0.4%-0.7%
VWIV26.8%24.8%32.4%32.4%25.3%
Skew 25d1.5%0.7%3.1%1.3%2.1%
Skew 10d3.3%1.3%5.6%2.8%5.3%
Call IV 25d26.2%23.8%30.0%30.0%24.5%
Put IV 25d27.7%24.9%31.4%31.4%26.6%
Bid-Ask Spread %41.4912.2757.6157.6138.97
Gamma HHI0.100.050.360.060.14
Net GEX71.0M2.7M212.9M2.7M105.2M
Net DEX-1.79B-2.77B-1.08B-1.18B-2.31B
Net VEX-8.8M-9.6M-8.0M-8.5M-9.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.361.060.710.59
Total Volume43,493.23812,807174,65828,40828,848
Total OI287,125.571260,881343,121274,700291,556

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$326.62$327.5029.3%9.1%24.2%6.6%32.4%1.3%-0.4%2.7M-1.18B-8.5M0.7157.6116,65111,757125,626149,074
2021-04-05$323.74$325.0029.8%8.3%24.2%8.1%29.8%1.6%-0.3%7.5M-1.08B-8.2M1.0645.738,5239,029119,304142,643
2021-04-06$325.99$325.0028.8%8.0%21.7%6.1%28.6%0.8%-0.4%13.6M-1.18B-8.3M0.5944.768,0374,770123,638149,012
2021-04-07$325.87$325.0028.5%8.0%21.2%7.0%28.3%1.0%-0.7%15.7M-1.19B-8.1M0.5044.8211,6335,819124,884150,140
2021-04-08$330.34$325.0028.2%8.0%19.0%6.2%28.1%3.1%-1.2%44.8M-1.50B-8.2M0.4546.0518,2238,289127,901152,247
2021-04-09$331.10$325.0027.6%7.8%19.0%3.9%27.7%1.1%-0.6%61.1M-1.58B-8.1M0.5412.2724,42013,170131,530154,503
2021-04-12$331.49$325.0027.8%7.8%17.4%4.8%28.2%1.1%-0.4%36.7M-1.58B-8.0M0.3644.2027,1309,799125,339146,348
2021-04-13$328.78$325.0027.8%7.8%17.4%4.8%28.0%0.7%-0.7%39.1M-1.47B-8.5M0.6847.5341,95428,516136,483150,833
2021-04-14$335.10$325.0024.9%7.1%18.7%0.0%25.2%1.2%-0.0%88.2M-1.99B-8.6M0.3634.90128,74545,913148,362166,749
2021-04-15$338.64$330.0024.8%7.1%19.0%0.0%25.0%1.3%0.1%136.3M-2.21B-8.9M0.4549.8046,68620,814163,437172,262
2021-04-16$342.21$330.0024.1%6.9%19.0%0.0%24.8%1.1%0.0%212.9M-2.54B-8.9M0.3938.3553,82021,214164,746178,375
2021-04-19$343.03$330.0025.5%7.3%18.9%4.4%26.6%1.5%0.4%77.5M-2.01B-9.2M0.4950.5429,63614,654131,578129,303
2021-04-20$331.98$330.0027.0%7.7%21.4%8.9%27.8%2.0%0.4%39.9M-1.36B-9.6M0.5548.3830,32916,620141,264136,084
2021-04-21$334.82$330.0024.9%7.1%20.1%2.4%25.5%1.8%0.8%54.5M-1.56B-9.6M0.4542.6117,3127,846145,682141,633
2021-04-22$331.49$330.0026.3%7.5%20.3%7.5%26.4%2.2%0.7%30.0M-1.32B-9.4M0.5152.2417,7488,999147,110143,088
2021-04-23$339.43$330.0024.8%7.0%21.9%2.6%24.9%2.0%1.1%118.4M-1.99B-9.2M0.5841.1825,23414,566149,686145,350
2021-04-26$344.65$330.0025.1%7.1%21.3%3.7%25.7%1.9%-0.7%76.5M-2.15B-9.1M0.5021.8623,58011,836132,907137,027
2021-04-27$346.05$330.0025.4%7.1%21.3%4.9%25.4%1.6%-0.9%85.6M-2.24B-9.4M0.4237.6619,6638,224138,078141,133
2021-04-28$349.10$330.0024.9%6.9%20.6%3.0%24.9%0.7%-0.4%118.8M-2.45B-9.5M0.4433.5520,7899,050142,303143,919
2021-04-29$353.26$330.0024.4%6.9%19.8%1.1%24.8%1.8%-0.4%126.8M-2.77B-9.2M0.5338.3528,36315,149143,445145,055
2021-04-30$348.14$330.0025.0%7.0%20.8%3.3%25.3%2.1%-0.7%105.2M-2.31B-9.4M0.5938.9718,18610,662143,935147,621