GS Options History — June 2021

In June 2021, GS traded between $350.75 and $391.87. ATM implied volatility averaged 25.8%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.4% (HV 20d: 23.4%). Max pain ranged from $340.00 to $370.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2021-06-29: Highest Volume — 71,462 contracts
  • 2021-06-14: Largest IV spike — 9.3% change
  • 2021-06-18: Highest IV Rank — 22.2%
  • 2021-06-18: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$373.53$350.75$391.87$381.25$379.17
Max Pain$364.77$340.00$370.00$350.00$370.00
ATM IV25.8%23.1%29.0%24.8%26.4%
Expected Move7.6%6.8%8.4%6.9%7.8%
HV 20d23.4%20.9%25.3%25.3%24.5%
HV 60d22.7%21.7%23.6%23.2%23.3%
IV Rank9.9%0.0%22.2%5.6%13.7%
IV Percentile12.0%0.0%29.0%4.4%16.3%
Term Structure0.3%-1.1%2.5%-0.0%0.0%
VWIV27.2%24.8%29.6%24.8%27.8%
Skew 25d2.3%0.1%3.6%2.8%1.8%
Skew 10d4.8%-1.6%12.0%5.5%3.1%
Call IV 25d25.2%21.8%28.1%24.2%25.9%
Put IV 25d27.5%23.3%31.4%27.0%27.6%
Bid-Ask Spread %37.193.6155.5734.983.61
Gamma HHI0.070.040.120.100.09
Net GEX36.8M-40.4M139.4M85.5M91.2M
Net DEX-1.54B-3.09B359.8M-2.34B-2.12B
Net VEX-10.5M-11.6M-8.9M-8.9M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.422.080.510.58
Total Volume41,821.13618,72971,46268,78238,976
Total OI295,443.818254,977345,296254,977299,298

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$381.25$350.0024.8%6.9%25.3%5.6%24.8%2.8%-0.0%85.5M-2.34B-8.9M0.5134.9845,67623,106110,810144,167
2021-06-02$383.18$350.0025.5%6.8%25.0%8.0%25.0%2.7%0.3%99.0M-2.47B-9.2M0.6646.0320,72013,712117,553152,956
2021-06-03$389.58$340.0024.8%7.6%24.2%5.4%28.2%2.5%-0.8%118.9M-2.94B-8.9M0.4845.2539,26518,978122,864158,089
2021-06-04$391.87$345.0023.8%7.4%23.6%2.2%27.1%2.7%0.4%139.4M-3.09B-9.3M0.5546.9629,63016,178128,121164,701
2021-06-07$388.60$350.0023.5%7.3%23.4%1.0%26.9%1.4%2.0%99.1M-2.57B-9.1M2.0841.4410,05820,939118,697152,688
2021-06-08$385.41$370.0023.1%7.3%23.7%0.0%26.2%2.7%2.5%75.2M-2.24B-9.6M0.9241.3014,77613,546121,435167,342
2021-06-09$382.84$370.0024.7%7.6%20.9%5.6%27.7%2.5%1.7%66.4M-2.06B-10.1M0.8327.9715,65012,930125,367172,092
2021-06-10$373.28$370.0024.5%7.5%22.4%5.0%26.8%3.6%2.0%3.4M-1.32B-10.4M0.7332.6621,96116,083129,674177,529
2021-06-11$377.48$370.0023.4%7.1%22.2%1.1%25.8%0.1%1.8%6.1M-1.63B-10.5M0.8034.1124,31119,397133,026183,721
2021-06-14$371.57$370.0025.6%7.5%21.6%9.0%26.7%2.4%-0.5%6.4M-1.22B-10.9M1.0234.1815,79816,126128,075179,014
2021-06-15$371.98$370.0025.7%7.5%21.6%9.9%26.6%2.4%-0.6%-1.1M-1.26B-10.8M0.7451.5415,01211,111131,385185,443
2021-06-16$371.48$370.0026.6%7.6%21.6%13.1%27.3%2.5%-0.3%-4.8M-1.27B-10.8M0.6055.5722,71913,669134,933187,530
2021-06-17$362.48$370.0027.5%7.9%21.0%16.6%27.6%3.0%-1.0%-40.4M-519.5M-10.8M0.6550.4239,02725,185140,655190,268
2021-06-18$350.75$370.0029.0%8.4%23.7%22.2%29.6%3.3%-1.1%-38.1M359.8M-11.3M0.9750.3828,77327,916148,837196,459
2021-06-21$356.69$370.0027.5%7.9%23.9%16.7%28.0%2.3%-0.1%-25.4M-358.8M-11.3M0.7130.9522,28615,860118,028144,962
2021-06-22$358.59$370.0027.2%7.9%23.8%15.4%28.0%1.8%-0.2%-22.3M-503.6M-11.2M0.6623.0311,2567,473124,154152,420
2021-06-23$361.72$370.0026.7%7.7%23.8%13.7%27.7%2.4%-0.4%-9.1M-728.0M-11.4M0.5849.4930,69017,705126,747154,144
2021-06-24$369.69$370.0027.8%8.2%25.0%17.6%28.9%1.3%0.6%28.6M-1.37B-11.4M0.6650.8328,87118,990133,534161,829
2021-06-25$369.18$370.0025.6%7.5%24.8%9.4%26.7%1.6%-0.3%65.9M-1.36B-11.6M0.6234.4326,38516,317140,142167,152
2021-06-28$368.06$370.0026.6%7.8%24.8%13.1%27.9%2.1%-0.1%14.6M-1.21B-11.3M0.6810.5812,8198,723128,903154,181
2021-06-29$372.71$370.0026.4%7.8%23.7%13.7%27.8%1.7%0.1%52.1M-1.57B-11.5M0.4222.5450,45821,004132,860157,979
2021-06-30$379.17$370.0026.4%7.8%24.5%13.7%27.8%1.8%0.0%91.2M-2.12B-11.2M0.583.6124,64414,332137,765161,533