GS Options History — November 2021 In November 2021, GS traded between $381.42 and $423.63. ATM implied volatility averaged 26.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.9% (HV 20d: 22.5%). Max pain ranged from $395.00 to $400.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.62.
Notable Days 2021-11-30 : Highest Volume — 233,955 contracts2021-11-26 : Largest IV spike — 15.8% change2021-11-30 : Highest IV Rank — 63.7%2021-11-30 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $401.54 $381.42 $423.63 $416.13 $381.42 Max Pain $399.05 $395.00 $400.00 $395.00 $397.50 ATM IV 26.3% 23.5% 32.1% 23.7% 32.1% Expected Move 7.6% 6.7% 9.6% 6.7% 9.6% HV 20d 22.5% 18.5% 24.7% 23.1% 24.4% HV 60d 23.6% 22.8% 24.9% 22.8% 24.9% IV Rank 27.8% 9.6% 63.7% 9.6% 63.7% IV Percentile 39.1% 7.5% 90.1% 9.1% 90.1% Term Structure -0.1% -1.4% 1.1% 0.1% -0.7% VWIV 27.5% 24.5% 34.2% 24.5% 33.8% Skew 25d 2.2% 1.3% 4.0% 2.4% 4.0% Skew 10d 5.0% 3.2% 7.3% 4.5% 7.3% Call IV 25d 26.1% 23.3% 31.1% 23.3% 30.6% Put IV 25d 28.3% 25.5% 34.6% 25.7% 34.6% Bid-Ask Spread % 45.53 25.33 56.18 47.83 33.57 Gamma HHI 0.06 0.04 0.08 0.07 0.04 Net GEX 27.4M -55.0M 101.6M 73.0M -20.2M Net DEX -1.83B -3.28B -626.3M -2.72B -626.3M Net VEX -14.3M -15.0M -13.0M -13.3M -14.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.10 1.21 0.82 0.10 Total Volume 62,010.571 29,727 233,955 31,598 233,955 Total OI 366,855.524 328,444 395,759 328,444 366,758
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2021-11-01 $416.13 $395.00 23.7% 6.7% 23.1% 9.6% 24.5% 2.4% 0.1% 73.0M -2.72B -13.3M 0.82 47.83 17,336 14,262 145,767 182,677 2021-11-02 $423.63 $395.00 25.5% 7.4% 21.1% 21.4% 27.0% 1.8% 1.1% 94.4M -3.28B -13.0M 0.30 25.33 72,977 21,589 148,738 186,095 2021-11-03 $417.86 $400.00 25.6% 7.3% 22.1% 22.4% 26.1% 1.8% -0.1% 101.6M -2.99B -14.4M 0.34 28.10 52,288 18,012 165,061 191,496 2021-11-04 $406.73 $395.00 26.4% 7.7% 24.6% 28.2% 27.5% 1.8% 0.5% 25.4M -2.12B -14.9M 0.55 41.69 46,980 25,721 174,407 196,319 2021-11-05 $407.67 $400.00 24.6% 7.2% 24.5% 17.5% 26.0% 1.3% -0.1% 47.7M -2.24B -15.0M 0.67 41.73 32,817 21,963 180,637 204,263 2021-11-08 $408.15 $400.00 25.6% 7.4% 23.4% 23.4% 26.9% 1.9% 0.6% 44.9M -2.30B -14.7M 0.59 47.18 25,257 14,837 166,860 195,725 2021-11-09 $404.51 $400.00 27.7% 7.6% 23.8% 36.1% 27.1% 2.6% -1.4% 28.1M -1.96B -14.9M 0.63 49.11 25,031 15,755 171,811 198,850 2021-11-10 $398.32 $400.00 26.9% 7.7% 24.6% 31.7% 28.5% 2.4% 0.1% -1.7M -1.47B -15.0M 0.65 52.14 24,996 16,262 175,595 202,329 2021-11-11 $403.29 $400.00 25.0% 7.2% 24.7% 19.9% 26.7% 2.2% 0.3% 30.4M -1.90B -14.6M 0.86 50.53 16,000 13,727 179,221 206,499 2021-11-12 $404.04 $400.00 23.8% 7.0% 19.5% 12.5% 25.5% 2.1% 0.7% 48.0M -1.98B -14.3M 0.69 53.89 25,474 17,538 179,581 208,354 2021-11-15 $404.67 $400.00 24.3% 7.0% 18.5% 15.6% 25.3% 2.1% -0.1% 45.0M -2.06B -14.2M 0.75 51.97 19,164 14,326 168,409 198,524 2021-11-16 $403.22 $400.00 23.5% 6.7% 18.5% 10.4% 24.5% 2.0% -0.3% 37.9M -1.94B -14.0M 0.83 53.70 19,481 16,172 171,861 201,020 2021-11-17 $392.40 $400.00 25.4% 7.3% 20.4% 22.0% 25.8% 1.5% 0.0% -27.9M -1.01B -13.8M 0.65 53.79 34,298 22,235 175,224 204,732 2021-11-18 $391.52 $400.00 25.3% 7.3% 20.4% 21.7% 26.1% 2.2% -0.3% -30.8M -961.0M -14.2M 0.81 54.67 28,150 22,699 181,741 208,585 2021-11-19 $386.99 $400.00 26.5% 7.6% 19.3% 29.2% 27.0% 1.5% 0.1% -55.0M -635.2M -13.8M 0.75 56.18 42,663 32,057 184,281 211,478 2021-11-22 $399.24 $400.00 26.6% 7.7% 22.8% 29.8% 27.4% 2.3% 0.1% 33.4M -1.85B -14.4M 0.35 40.84 51,151 17,725 155,554 183,029 2021-11-23 $405.90 $397.50 27.0% 7.8% 23.6% 32.3% 27.8% 2.4% -0.6% 76.3M -2.41B -14.4M 0.37 35.49 47,928 17,666 163,132 186,366 2021-11-24 $399.39 $400.00 27.2% 8.0% 23.5% 33.4% 28.2% 2.4% -0.6% 51.8M -1.89B -14.4M 0.39 45.83 44,800 17,393 167,923 189,853 2021-11-26 $390.92 $400.00 31.5% 9.4% 24.3% 59.8% 34.2% 3.4% -0.8% -18.7M -1.19B -14.8M 1.21 41.85 26,028 31,393 176,522 193,680 2021-11-29 $386.30 $400.00 28.6% 8.5% 24.5% 42.3% 31.2% 2.5% -0.1% -9.0M -919.9M -14.0M 0.71 50.68 25,758 18,358 163,399 191,610 2021-11-30 $381.42 $397.50 32.1% 9.6% 24.4% 63.7% 33.8% 4.0% -0.7% -20.2M -626.3M -14.3M 0.10 33.57 211,816 22,139 170,001 196,757
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