GS Options History — September 2021

In September 2021, GS traded between $375.75 and $413.02. ATM implied volatility averaged 26.9%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.8% (HV 20d: 20.0%). Max pain ranged from $375.00 to $402.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2021-09-22: Highest Volume — 65,457 contracts
  • 2021-09-20: Largest IV spike — 25.9% change
  • 2021-09-20: Highest IV Rank — 61.3%
  • 2021-09-20: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$397.39$375.75$413.02$412.88$379.40
Max Pain$381.79$375.00$402.50$402.50$375.00
ATM IV26.9%22.8%34.3%23.1%30.0%
Expected Move8.0%6.3%10.1%6.3%9.5%
HV 20d20.0%16.6%24.5%21.9%24.5%
HV 60d24.6%22.9%25.8%25.3%25.8%
IV Rank21.5%0.0%61.3%0.1%38.4%
IV Percentile35.0%0.0%84.5%0.4%61.9%
Term Structure0.5%-1.1%2.1%0.5%0.2%
VWIV28.9%23.4%35.3%23.4%34.1%
Skew 25d5.3%3.2%8.2%3.4%7.0%
Skew 10d11.2%5.8%16.8%5.8%14.2%
Call IV 25d25.3%21.9%31.0%22.3%28.1%
Put IV 25d30.6%25.3%39.2%25.7%35.1%
Bid-Ask Spread %44.0529.5454.6729.5444.83
Gamma HHI0.060.030.160.080.04
Net GEX20.1M-37.3M91.1M64.1M-21.4M
Net DEX-1.29B-2.18B-253.3M-1.88B-758.6M
Net VEX-12.9M-14.1M-11.8M-12.2M-13.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.351.130.550.72
Total Volume38,385.33322,11565,45725,72032,819
Total OI311,616.143266,566355,275294,783355,275

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$412.88$402.5023.1%6.3%21.9%0.1%23.4%3.4%0.5%64.1M-1.88B-12.2M0.5529.5416,6239,097124,909169,874
2021-09-02$413.02$380.0022.8%7.2%21.7%0.0%25.7%3.2%0.4%63.0M-1.93B-11.9M0.6645.1413,5958,948126,813172,179
2021-09-03$412.12$380.0023.1%7.2%17.8%1.6%26.3%3.5%0.8%43.4M-1.89B-12.1M1.0547.7214,36315,048130,949174,959
2021-09-07$410.51$385.0023.9%7.3%17.9%5.9%26.8%3.5%1.5%47.5M-1.79B-11.8M0.6747.9113,2438,872120,436164,173
2021-09-08$405.16$385.0024.5%7.5%17.1%8.8%27.5%4.8%1.8%12.3M-1.29B-12.5M0.8750.9811,97210,419122,357171,103
2021-09-09$406.26$385.0024.5%7.5%16.6%8.8%27.2%4.0%2.0%6.6M-1.37B-12.3M0.7350.5512,8359,388126,244174,957
2021-09-10$403.63$385.0025.1%7.6%16.6%12.4%27.1%5.0%2.1%-13.7M-1.17B-12.5M1.1350.4212,58614,171127,075178,145
2021-09-13$408.49$385.0026.0%7.6%16.9%17.1%29.5%4.9%-0.0%31.1M-1.54B-12.7M0.6053.5517,61910,587121,513173,300
2021-09-14$403.57$385.0028.0%8.1%17.3%27.8%28.7%5.4%0.2%8.1M-1.23B-12.8M0.4551.6931,96114,330124,859177,876
2021-09-15$402.87$380.0026.8%7.7%17.0%21.0%27.9%5.1%-0.1%2.7M-1.26B-12.6M0.8853.4619,65017,284130,037181,984
2021-09-16$396.88$380.0026.7%7.7%17.6%20.8%27.3%4.8%-0.1%-37.3M-868.0M-12.4M0.6352.8721,56513,627135,438185,886
2021-09-17$391.27$380.0027.3%7.9%16.8%23.6%27.4%5.1%-0.7%-4.2M-504.8M-12.7M0.7954.6729,32523,199138,731191,100
2021-09-20$375.75$385.0034.3%10.1%21.9%61.3%35.3%8.2%-0.7%-18.5M-266.0M-13.0M0.9538.7932,89531,154114,134152,432
2021-09-21$377.31$385.0031.3%9.2%20.9%45.4%33.8%7.8%-1.1%-18.4M-253.3M-12.8M0.6933.9629,44520,336126,057159,944
2021-09-22$387.76$385.0028.0%8.4%22.5%27.5%30.1%7.2%-0.3%19.3M-991.7M-13.4M0.5039.6343,63421,823136,108171,578
2021-09-23$391.27$375.0027.5%7.9%22.4%24.7%29.2%5.6%-0.1%48.6M-1.53B-13.7M0.5430.1931,69116,994146,961181,425
2021-09-24$391.67$375.0025.6%7.7%22.4%15.0%28.7%5.1%2.1%91.1M-1.66B-13.5M0.7029.8319,20813,418154,182190,083
2021-09-27$399.71$375.0027.1%8.1%22.8%22.5%28.7%5.2%-0.2%60.5M-2.18B-13.5M0.3536.6146,79816,365146,003180,163
2021-09-28$389.81$375.0029.2%8.9%23.9%33.9%31.5%6.3%0.9%28.6M-1.53B-14.1M0.3840.9740,61415,316150,107185,451
2021-09-29$385.76$375.0029.3%9.1%24.0%34.6%31.7%6.5%0.5%9.5M-1.21B-14.0M0.6241.7314,3988,877158,736190,403
2021-09-30$379.40$375.0030.0%9.5%24.5%38.4%34.1%7.0%0.2%-21.4M-758.6M-13.8M0.7244.8319,04613,773161,438193,837