GS Options History — October 2021

In October 2021, GS traded between $374.32 and $418.04. ATM implied volatility averaged 25.1%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.0% (HV 20d: 27.1%). Max pain ranged from $375.00 to $395.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2021-10-15: Highest Volume — 159,627 contracts
  • 2021-10-15: Largest IV drop — 10.3% change
  • 2021-10-06: Highest IV Rank — 42.0%
  • 2021-10-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$399.54$374.32$418.04$380.31$413.29
Max Pain$388.93$375.00$395.00$375.00$395.00
ATM IV25.1%21.8%30.7%29.0%23.0%
Expected Move7.2%6.3%9.0%9.0%6.7%
HV 20d27.1%24.2%31.6%24.5%24.3%
HV 60d23.7%21.7%25.0%25.0%23.9%
IV Rank15.0%0.0%42.0%33.2%6.2%
IV Percentile24.1%0.0%71.4%53.6%3.6%
Term Structure0.1%-0.8%1.2%-0.1%1.1%
VWIV26.2%22.4%33.6%33.6%24.4%
Skew 25d3.8%1.7%6.6%5.5%2.1%
Skew 10d8.0%4.0%13.6%10.5%5.8%
Call IV 25d24.1%21.1%28.8%27.6%22.4%
Put IV 25d27.9%23.4%35.1%33.1%24.5%
Bid-Ask Spread %40.0225.8653.2942.7046.71
Gamma HHI0.070.040.110.070.07
Net GEX58.4M-23.4M109.4M-23.4M70.4M
Net DEX-2.11B-3.30B-649.8M-810.6M-2.64B
Net VEX-13.3M-14.0M-12.4M-13.7M-13.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.430.910.850.73
Total Volume47,230.85722,125159,62736,64246,691
Total OI340,317.095290,433362,331358,411350,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$380.31$375.0029.0%9.0%24.5%33.2%33.6%5.5%-0.1%-23.4M-810.6M-13.7M0.8542.7019,76916,873162,510195,901
2021-10-04$374.32$395.0030.7%8.6%24.9%41.8%31.1%6.6%-0.8%-10.7M-649.8M-13.3M0.8234.4319,81316,273150,342180,699
2021-10-05$387.12$390.0028.9%8.1%28.4%32.4%28.9%6.2%-0.7%25.0M-1.44B-13.5M0.4339.8425,34610,981154,288183,806
2021-10-06$387.42$390.0030.7%8.6%28.1%42.0%30.8%6.3%0.4%31.9M-1.47B-14.0M0.5738.7117,0229,693157,739190,687
2021-10-07$390.05$385.0027.9%7.9%28.3%27.2%28.5%5.7%-0.3%53.1M-1.72B-13.7M0.5241.1625,26713,235161,370193,423
2021-10-08$392.65$385.0026.5%7.5%28.4%19.4%27.4%5.2%-0.8%79.1M-1.97B-13.7M0.7543.6815,97912,005164,016196,380
2021-10-11$385.76$385.0028.5%8.0%28.5%30.2%28.7%5.1%-0.3%23.9M-1.39B-13.3M0.6844.3416,96811,463151,407183,170
2021-10-12$385.97$385.0027.9%8.0%28.3%27.0%28.9%5.0%-0.0%24.0M-1.40B-13.2M0.7945.5412,3539,772154,405186,090
2021-10-13$385.82$385.0027.1%7.8%28.3%23.0%28.7%4.3%-0.0%26.5M-1.38B-13.2M0.5345.4118,5609,792158,912190,446
2021-10-14$389.91$385.0024.4%7.0%28.2%8.6%25.1%4.0%0.1%47.5M-1.71B-13.0M0.9153.2934,89131,724161,250193,415
2021-10-15$406.74$385.0021.9%6.3%31.6%0.0%23.5%4.1%-0.1%104.8M-3.30B-12.4M0.5341.66104,23655,391165,627196,704
2021-10-18$413.44$385.0022.5%6.5%27.7%2.8%24.0%2.7%0.1%65.6M-2.73B-12.4M0.4325.8650,98221,928127,835162,598
2021-10-19$411.31$385.0022.1%6.3%27.9%0.6%22.9%2.3%0.1%105.8M-2.75B-13.2M0.5030.3223,80111,924139,832170,576
2021-10-20$406.83$390.0022.2%6.4%27.0%1.2%22.9%1.7%0.0%75.2M-2.38B-13.7M0.5236.5429,02914,972150,849182,282
2021-10-21$407.18$392.5022.2%6.4%26.9%1.2%22.5%2.0%-0.2%79.9M-2.43B-13.4M0.5744.1029,48916,737154,821184,747
2021-10-22$414.36$395.0021.8%6.3%27.4%0.0%22.4%2.0%-0.1%75.6M-3.01B-13.4M0.6042.4733,89620,232158,373187,703
2021-10-25$415.05$395.0021.8%6.3%26.7%0.2%22.9%2.1%1.0%87.7M-2.82B-12.9M0.5128.3736,62518,761144,062177,726
2021-10-26$418.04$395.0022.4%6.5%24.7%3.3%23.4%1.8%1.2%109.4M-3.04B-13.3M0.5831.5132,33118,678151,031183,211
2021-10-27$411.06$395.0023.2%6.8%25.3%7.2%24.4%1.8%1.0%76.9M-2.46B-13.8M0.7139.9424,75017,689154,412186,273
2021-10-28$413.74$395.0023.3%6.7%24.2%7.5%24.6%2.0%1.2%98.1M-2.69B-13.5M0.7843.7520,14515,782157,900189,721
2021-10-29$413.29$395.0023.0%6.7%24.3%6.2%24.4%2.1%1.1%70.4M-2.64B-13.4M0.7346.7127,04619,645158,678191,442