GS Options History — August 2021

In August 2021, GS traded between $378.94 and $418.99. ATM implied volatility averaged 24.8%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.2% (HV 20d: 23.6%). Max pain ranged from $360.00 to $380.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2021-08-30: Highest Volume — 160,965 contracts
  • 2021-08-20: Largest IV drop — 8.2% change
  • 2021-08-19: Highest IV Rank — 22.0%
  • 2021-08-19: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$402.36$378.94$418.99$379.15$413.56
Max Pain$370.00$360.00$380.00$365.00$380.00
ATM IV24.8%23.0%27.1%25.8%23.6%
Expected Move7.0%6.3%7.8%7.1%6.5%
HV 20d23.6%17.9%30.2%30.2%22.0%
HV 60d25.4%24.9%25.8%25.8%25.3%
IV Rank9.6%0.0%22.0%14.8%2.9%
IV Percentile12.1%0.0%33.3%19.4%2.8%
Term Structure0.3%-0.7%1.1%0.0%0.3%
VWIV25.5%20.4%28.7%25.7%24.1%
Skew 25d2.8%-0.5%4.6%3.0%3.5%
Skew 10d6.2%2.4%11.0%6.3%6.9%
Call IV 25d24.3%22.2%26.1%25.3%22.7%
Put IV 25d27.1%24.5%30.7%28.3%26.3%
Bid-Ask Spread %40.6129.9652.2338.0946.53
Gamma HHI0.100.040.280.060.07
Net GEX81.2M-28.5M161.2M55.8M71.7M
Net DEX-2.76B-4.09B-1.76B-1.77B-2.62B
Net VEX-11.3M-12.3M-10.6M-11.3M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.111.180.310.61
Total Volume56,547.520,496160,96573,24120,496
Total OI299,067.091266,009332,872266,009299,687

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$379.15$365.0025.8%7.1%30.2%14.8%25.7%3.0%0.0%55.8M-1.77B-11.3M0.3138.0956,08417,157126,567139,442
2021-08-03$380.52$365.0025.5%7.0%29.9%13.2%24.9%3.1%-0.1%66.9M-1.86B-11.4M0.4147.4118,6417,631129,982143,457
2021-08-04$378.94$365.0025.6%7.0%29.8%13.7%25.7%2.5%-0.7%82.3M-1.76B-11.6M0.4145.5819,8438,079143,401148,938
2021-08-05$383.82$360.0025.5%7.1%27.8%13.2%26.2%2.3%0.2%134.7M-2.13B-11.2M0.6341.2516,19410,269143,281151,009
2021-08-06$398.19$360.0025.6%7.3%27.6%13.5%26.7%2.0%-0.6%82.6M-3.42B-10.8M0.3240.53108,90234,897146,915156,137
2021-08-09$400.17$365.0026.0%7.5%26.3%15.7%26.8%3.7%0.2%85.8M-2.89B-11.1M0.3133.2183,59825,529131,089148,567
2021-08-10$408.49$365.0025.2%7.3%26.5%11.6%26.8%1.8%0.6%108.7M-3.52B-10.6M0.3435.3265,49622,255140,127150,813
2021-08-11$412.77$365.0024.6%7.1%26.0%8.1%26.4%2.2%0.3%132.0M-3.93B-10.8M0.6435.2848,12230,946151,547160,454
2021-08-12$414.76$365.0024.3%7.1%25.9%6.4%25.7%2.1%0.6%161.2M-4.09B-10.8M0.7729.9632,55825,159158,553165,464
2021-08-13$410.31$370.0023.7%6.9%24.3%3.5%25.3%2.1%0.7%-28.5M-3.65B-11.1M1.1844.3119,16022,548160,567172,305
2021-08-16$407.75$370.0024.5%7.1%20.6%7.7%25.8%2.8%0.2%86.7M-3.11B-10.9M1.1045.2213,35414,624142,831157,405
2021-08-17$404.26$370.0026.1%7.5%18.9%16.2%27.2%3.6%0.2%73.9M-2.80B-11.4M0.5844.7723,63913,785144,763161,132
2021-08-18$401.37$370.0025.5%7.3%17.9%13.3%26.4%3.3%0.2%55.0M-2.63B-11.5M0.6549.4017,19411,129146,645166,474
2021-08-19$393.29$370.0027.1%7.8%19.8%22.0%28.7%4.6%0.4%27.0M-2.02B-11.8M0.9138.1420,90018,935149,132169,603
2021-08-20$395.75$375.0024.9%7.1%19.8%10.0%26.6%4.1%0.2%37.7M-2.19B-11.8M0.9052.2316,98115,337152,522174,067
2021-08-23$402.05$375.0024.4%6.8%20.3%7.3%24.9%4.0%-0.1%52.1M-2.11B-11.3M1.0138.5115,33315,439123,626147,561
2021-08-24$408.95$375.0023.8%6.7%20.7%4.1%24.1%-0.5%1.1%74.8M-2.49B-11.6M0.7251.2417,74612,808126,399153,332
2021-08-25$413.38$375.0023.6%6.6%20.9%3.1%23.8%2.7%0.3%96.5M-2.85B-11.3M0.4132.9930,70112,591131,703161,717
2021-08-26$411.70$375.0024.7%6.9%21.1%9.0%24.8%3.5%0.4%103.4M-2.79B-11.5M0.4634.1847,59221,824136,174164,541
2021-08-27$418.99$380.0023.0%6.3%21.1%0.0%22.9%2.6%0.4%148.4M-3.37B-11.0M0.5935.1031,27718,327140,835167,608
2021-08-30$413.76$380.0023.3%6.4%21.9%1.2%20.4%3.0%0.6%78.6M-2.71B-11.3M0.1134.13145,38115,584133,167159,937
2021-08-31$413.56$380.0023.6%6.5%22.0%2.9%24.1%3.5%0.3%71.7M-2.62B-12.3M0.6146.5312,7137,783136,359163,328