GS Options History — May 2021

In May 2021, GS traded between $349.05 and $372.47. ATM implied volatility averaged 25.6%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.2% (HV 20d: 24.4%). Max pain ranged from $300.00 to $350.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2021-05-27: Highest Volume — 150,207 contracts
  • 2021-05-12: Largest IV spike — 11.1% change
  • 2021-05-12: Highest IV Rank — 22.7%
  • 2021-05-12: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$363.89$349.05$372.47$351.35$372.47
Max Pain$316.50$300.00$350.00$330.00$350.00
ATM IV25.6%23.2%30.4%24.1%23.2%
Expected Move7.3%6.3%8.8%6.7%6.3%
HV 20d24.4%20.4%26.9%20.4%24.4%
HV 60d23.3%22.2%24.6%22.2%23.0%
IV Rank5.8%0.0%22.7%0.2%0.0%
IV Percentile6.5%0.0%32.9%0.4%0.0%
Term Structure0.2%-0.8%0.6%-0.1%0.6%
VWIV26.3%22.3%30.6%24.5%23.1%
Skew 25d3.0%1.4%4.5%2.1%2.2%
Skew 10d6.0%3.0%10.0%5.2%3.0%
Call IV 25d24.7%22.0%30.0%23.4%22.0%
Put IV 25d27.7%24.2%34.0%25.6%24.2%
Bid-Ask Spread %38.3114.0852.3522.1043.67
Gamma HHI0.090.060.260.080.26
Net GEX85.2M50.7M141.1M89.9M141.1M
Net DEX-2.63B-3.68B-2.03B-2.38B-2.03B
Net VEX-9.0M-9.6M-8.4M-9.1M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.101.140.640.95
Total Volume39,396.116,025150,20719,49934,691
Total OI287,980.25261,661308,604274,490273,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$351.35$330.0024.1%6.7%20.4%0.2%24.5%2.1%-0.1%89.9M-2.38B-9.1M0.6422.1011,8677,632135,293139,197
2021-05-04$349.05$330.0025.7%7.4%20.7%5.7%26.3%1.4%0.5%79.3M-2.24B-9.2M0.7631.9413,93010,567138,368141,618
2021-05-05$357.99$330.0024.9%7.2%22.0%3.2%26.1%2.5%0.1%98.8M-2.83B-8.7M0.3936.8327,66710,668139,654144,969
2021-05-06$364.80$300.0025.5%7.3%22.4%5.1%27.1%4.5%-0.6%112.3M-3.27B-8.5M0.3051.1750,33515,038143,325147,043
2021-05-07$371.15$300.0024.3%7.1%22.8%0.9%25.4%2.4%0.0%123.9M-3.68B-8.4M0.4427.1347,38921,063146,194151,274
2021-05-10$371.50$300.0025.3%7.3%22.8%4.5%26.4%2.3%0.4%88.6M-3.15B-8.4M1.0429.0123,58424,465136,177142,508
2021-05-11$360.65$300.0027.4%7.9%25.6%11.9%27.9%3.6%0.3%57.7M-2.38B-9.5M0.7742.2721,80416,879139,640148,614
2021-05-12$355.41$305.0030.4%8.8%25.9%22.7%30.6%4.0%0.5%50.7M-2.03B-9.6M0.5046.0529,54414,655144,927152,335
2021-05-13$360.54$310.0028.1%8.1%26.1%14.5%29.2%3.2%0.3%76.4M-2.44B-9.6M0.7250.9313,5479,773150,955155,196
2021-05-14$368.96$310.0025.3%7.3%26.9%4.4%26.5%2.8%0.2%83.8M-3.10B-8.9M0.7050.2624,57717,287151,306157,298
2021-05-17$368.76$310.0026.6%7.6%26.9%8.9%27.8%3.2%0.5%89.3M-2.88B-9.0M0.8037.579,7437,785139,024145,375
2021-05-18$367.27$310.0026.1%7.5%23.5%7.0%27.5%2.8%-0.1%91.9M-2.81B-9.1M1.1452.357,4808,545141,624148,649
2021-05-19$357.11$320.0028.2%8.1%26.2%14.7%29.4%3.9%-0.8%52.5M-2.09B-9.5M0.6548.4917,54411,484143,589153,022
2021-05-20$361.14$320.0025.4%7.2%25.9%4.6%25.9%3.2%0.5%79.4M-2.43B-9.3M0.7134.5512,4798,805147,608155,497
2021-05-21$366.78$320.0025.4%7.2%25.2%4.6%25.9%3.1%0.3%97.1M-2.90B-8.9M0.4733.8623,48311,101148,858157,776
2021-05-24$369.31$320.0024.0%6.7%24.9%0.0%24.8%3.1%0.3%70.5M-2.53B-8.7M0.8714.0812,85311,163125,993135,668
2021-05-25$365.32$320.0024.8%7.0%25.4%2.7%25.2%3.2%0.2%54.7M-2.28B-8.9M0.9639.1815,24014,578129,001141,539
2021-05-26$367.71$320.0023.7%6.6%25.4%0.0%23.4%3.1%-0.1%66.9M-2.43B-9.0M0.7931.8110,3268,144133,370146,944
2021-05-27$370.50$325.0023.5%6.5%25.2%0.0%22.3%3.3%0.6%98.5M-2.68B-8.8M0.1042.99136,48013,727136,334150,303
2021-05-28$372.47$350.0023.2%6.3%24.4%0.0%23.1%2.2%0.6%141.1M-2.03B-9.2M0.9543.6717,79216,899118,442155,098