GS Options History — July 2021

In July 2021, GS traded between $353.21 and $381.33. ATM implied volatility averaged 25.7%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.0% (HV 20d: 28.6%). Max pain ranged from $365.00 to $370.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2021-07-12: Highest Volume — 138,103 contracts
  • 2021-07-19: Largest IV spike — 18.9% change
  • 2021-07-19: Highest IV Rank — 33.8%
  • 2021-07-19: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$371.54$353.21$381.33$375.47$374.70
Max Pain$365.95$365.00$370.00$370.00$365.00
ATM IV25.7%24.0%29.3%26.2%25.0%
Expected Move7.3%6.7%8.3%7.7%6.8%
HV 20d28.6%23.6%31.8%23.8%29.9%
HV 60d25.5%23.4%26.8%23.5%26.0%
IV Rank12.3%5.2%33.8%12.7%10.2%
IV Percentile14.0%3.2%39.7%15.1%12.3%
Term Structure0.1%-1.4%1.0%0.1%1.0%
VWIV26.2%24.5%30.3%27.4%24.5%
Skew 25d2.6%1.6%4.5%1.6%3.1%
Skew 10d6.0%3.4%10.7%3.4%9.0%
Call IV 25d25.0%23.4%28.1%25.8%23.6%
Put IV 25d27.6%26.0%32.6%27.4%26.7%
Bid-Ask Spread %27.213.2959.027.9256.64
Gamma HHI0.070.030.220.080.05
Net GEX33.2M-92.4M99.9M73.7M40.9M
Net DEX-1.38B-2.07B-185.8M-1.75B-1.50B
Net VEX-11.6M-12.2M-10.6M-11.5M-12.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.300.860.580.79
Total Volume49,562.14320,300138,10331,17327,754
Total OI299,921.619264,736354,176301,565294,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$375.47$370.0026.2%7.7%23.8%12.7%27.4%1.6%0.1%73.7M-1.75B-11.5M0.587.9219,75411,419138,833162,732
2021-07-02$374.30$370.0024.8%7.3%23.6%7.2%26.0%1.8%0.2%15.3M-1.60B-11.3M0.715.3720,08514,224140,628166,912
2021-07-06$370.24$365.0025.9%7.3%23.7%11.4%25.8%2.2%-0.2%-14.5M-1.12B-11.1M0.603.2919,15311,463127,223154,061
2021-07-07$368.14$365.0026.7%7.3%23.7%14.7%26.2%2.1%-1.4%-22.7M-992.8M-10.6M0.5812.2621,22012,362130,473157,643
2021-07-08$357.61$365.0027.9%8.0%25.5%19.8%29.6%2.5%1.0%-42.1M-185.8M-11.2M0.673.8128,95519,540135,378160,581
2021-07-09$371.39$365.0026.4%7.4%28.0%13.5%26.4%2.0%0.1%17.7M-1.43B-11.1M0.516.7243,33822,050139,637166,147
2021-07-12$381.33$365.0027.7%7.7%29.3%18.8%27.6%2.1%-0.9%44.8M-2.07B-11.4M0.784.3077,61560,488134,261157,318
2021-07-13$376.87$365.0024.4%7.0%29.1%5.5%25.2%1.9%-0.4%53.1M-1.77B-11.5M0.474.9290,36542,844154,288167,990
2021-07-14$372.90$370.0024.3%6.9%29.3%5.8%25.3%2.1%-0.6%27.2M-1.48B-12.1M0.415.4339,76616,146168,698177,250
2021-07-15$373.19$370.0024.3%6.9%29.3%6.8%24.8%2.3%-0.6%66.5M-1.65B-11.6M0.556.8331,04616,986176,080178,096
2021-07-16$364.42$365.0024.7%7.1%29.2%8.6%25.3%2.9%0.0%-92.4M-706.4M-11.6M0.8630.7332,19927,571175,533178,440
2021-07-19$353.21$365.0029.3%8.3%29.0%33.8%30.3%4.5%-0.0%-9.2M-296.4M-11.4M0.7424.8729,31821,836131,404133,332
2021-07-20$365.07$365.0026.3%7.5%30.7%17.5%26.7%2.9%0.1%22.1M-985.1M-12.2M0.3059.0244,62713,564139,502142,466
2021-07-21$374.07$365.0025.1%7.2%31.8%10.9%26.2%2.5%0.0%81.0M-1.68B-12.2M0.3251.6648,70215,405143,589146,162
2021-07-22$373.10$365.0024.6%7.0%31.8%8.5%25.5%2.9%0.3%94.7M-1.62B-11.8M0.5939.5918,99111,215150,424150,180
2021-07-23$373.86$365.0024.5%7.0%30.8%7.6%24.9%2.4%0.1%99.9M-1.66B-12.2M0.3942.2429,75611,603151,160154,608
2021-07-26$375.20$365.0025.3%7.2%30.9%11.8%26.3%2.8%0.7%42.3M-1.51B-12.0M0.6643.9812,8638,456126,316142,209
2021-07-27$374.29$365.0026.4%7.5%30.8%18.0%26.8%4.3%0.5%48.5M-1.53B-11.9M0.6957.8512,0428,258131,372144,333
2021-07-28$375.39$365.0025.1%7.0%30.5%10.9%25.5%3.0%0.9%60.9M-1.58B-12.1M0.5259.0015,1877,939134,275146,934
2021-07-29$377.57$365.0024.0%6.7%30.0%5.2%24.8%2.8%1.0%89.3M-1.78B-11.7M0.8244.9313,54611,154137,405150,056
2021-07-30$374.70$365.0025.0%6.8%29.9%10.2%24.5%3.1%1.0%40.9M-1.50B-12.1M0.7956.6415,46912,285142,141152,284