GS Options History — December 2021

In December 2021, GS traded between $370.31 and $398.39. ATM implied volatility averaged 28.5%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.3% (HV 20d: 28.2%). Max pain ranged from $370.00 to $395.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.16.

Notable Days

2021-12-01: Highest Volume — 151,413 contracts
2021-12-03: Largest IV spike — 18.4% change
2021-12-03: Highest IV Rank — 88.7%
2021-12-03: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$387.28	$370.31	$398.39	$379.94	$383.09
Max Pain	$380.57	$370.00	$395.00	$395.00	$380.00
ATM IV	28.5%	25.5%	36.2%	33.3%	25.5%
Expected Move	8.4%	7.2%	11.7%	10.3%	7.3%
HV 20d	28.2%	23.0%	32.3%	23.0%	28.6%
HV 60d	25.9%	24.8%	27.0%	24.9%	25.3%
IV Rank	41.2%	22.6%	88.7%	71.0%	22.6%
IV Percentile	59.2%	32.9%	98.0%	92.5%	32.9%
Term Structure	0.4%	-0.4%	1.2%	-0.1%	-0.3%
VWIV	31.2%	25.7%	42.0%	36.2%	26.6%
Skew 25d	3.7%	2.5%	5.4%	5.0%	2.6%
Skew 10d	8.7%	4.7%	14.4%	9.8%	4.7%
Call IV 25d	27.6%	24.6%	35.2%	31.8%	24.7%
Put IV 25d	31.3%	27.3%	40.2%	36.8%	27.3%
Bid-Ask Spread %	32.46	6.59	52.31	49.90	52.31
Gamma HHI	0.05	0.04	0.10	0.04	0.05
Net GEX	20.3M	-49.9M	85.8M	-20.8M	3.8M
Net DEX	-766.2M	-1.57B	138.7M	-56.5M	-486.5M
Net VEX	-13.9M	-15.1M	-12.6M	-15.1M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.11	0.22	0.12	0.20
Total Volume	123,398.818	95,666	151,413	151,413	110,094
Total OI	358,217.864	329,410	382,016	365,889	350,675

Daily Data (22 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
2021-12-01	$379.94	$395.00	33.3%	10.3%	23.0%	71.0%	36.2%	5.0%	-0.1%	-20.8M	-56.5M	-15.1M	0.12	49.90	134,934	16,479	160,418	205,471
2021-12-02	$388.36	$395.00	30.6%	9.9%	24.7%	54.1%	34.9%	5.3%	0.6%	12.4M	-747.0M	-14.9M	0.12	48.75	123,814	14,795	163,470	207,867
2021-12-03	$380.26	$392.50	36.2%	11.7%	24.0%	88.7%	42.0%	5.0%	0.2%	-49.9M	-55.7M	-15.1M	0.20	42.24	112,516	22,732	165,450	210,498
2021-12-06	$389.27	$370.00	31.5%	9.2%	25.8%	60.1%	34.2%	4.1%	-0.2%	9.1M	-800.6M	-14.8M	0.16	34.25	106,387	16,777	149,584	198,857
2021-12-07	$398.39	$370.00	26.6%	8.1%	27.3%	29.3%	29.4%	4.0%	0.5%	48.9M	-1.50B	-14.4M	0.17	42.55	110,803	18,540	153,792	202,717
2021-12-08	$397.93	$375.00	25.8%	7.9%	27.2%	24.6%	29.1%	3.7%	0.9%	50.0M	-1.41B	-14.2M	0.17	32.23	104,183	17,393	155,306	202,626
2021-12-09	$397.97	$375.00	27.6%	8.3%	26.6%	35.9%	31.6%	3.4%	0.4%	58.6M	-1.42B	-14.4M	0.11	18.94	122,899	13,182	158,459	205,415
2021-12-10	$390.88	$380.00	26.5%	8.1%	26.9%	28.7%	28.4%	3.1%	0.6%	4.3M	-852.0M	-13.9M	0.16	38.88	116,537	18,907	167,961	208,813
2021-12-13	$385.32	$380.00	27.8%	8.3%	27.3%	36.7%	30.7%	2.9%	1.2%	-3.1M	-432.7M	-13.8M	0.16	37.43	109,710	17,215	157,678	201,371
2021-12-14	$390.72	$380.00	28.8%	8.6%	27.9%	43.4%	34.9%	2.6%	1.2%	26.4M	-823.4M	-14.4M	0.14	42.71	114,671	16,264	161,850	205,378
2021-12-15	$389.50	$380.00	28.1%	8.3%	27.8%	38.6%	32.3%	2.9%	0.9%	16.2M	-790.3M	-14.1M	0.13	44.40	113,545	14,539	165,461	211,088
2021-12-16	$397.60	$380.00	28.8%	8.4%	27.2%	43.4%	30.4%	3.9%	0.7%	85.8M	-1.57B	-14.0M	0.20	50.43	118,397	23,437	168,307	213,431
2021-12-17	$383.90	$380.00	29.4%	8.6%	30.0%	47.2%	30.5%	3.7%	0.6%	-21.2M	-353.1M	-13.5M	0.22	29.61	122,901	26,547	170,767	211,249
2021-12-20	$370.31	$380.00	32.3%	9.3%	32.3%	64.7%	33.4%	5.1%	-0.4%	-10.3M	138.7M	-13.2M	0.18	30.04	104,000	19,053	147,296	182,114
2021-12-21	$380.30	$380.00	29.1%	8.4%	31.7%	45.1%	33.8%	5.4%	-0.2%	23.2M	-457.6M	-13.7M	0.19	8.98	99,213	18,443	154,478	188,185
2021-12-22	$381.80	$380.00	27.3%	7.8%	31.1%	33.9%	27.4%	4.2%	0.4%	25.0M	-564.7M	-13.4M	0.14	27.02	92,914	13,349	157,272	193,065
2021-12-23	$385.84	$380.00	26.2%	7.5%	31.0%	27.1%	31.7%	3.4%	0.5%	35.9M	-891.0M	-13.5M	0.19	6.59	95,539	18,248	157,821	194,830
2021-12-27	$387.15	$380.00	27.2%	7.7%	30.2%	33.6%	29.2%	2.6%	0.3%	40.1M	-941.8M	-13.4M	0.14	35.79	89,576	12,370	150,470	186,956
2021-12-28	$389.16	$380.00	26.4%	7.5%	29.9%	28.2%	26.8%	3.1%	0.5%	50.4M	-1.10B	-13.0M	0.16	13.04	84,613	13,445	153,063	189,400
2021-12-29	$386.85	$380.00	26.0%	7.3%	29.6%	25.8%	25.7%	2.5%	0.1%	39.1M	-936.9M	-12.8M	0.13	11.58	84,538	11,128	154,863	191,072
2021-12-30	$385.68	$380.00	25.6%	7.2%	29.6%	23.3%	26.6%	2.9%	0.2%	23.2M	-802.5M	-12.6M	0.20	16.31	83,430	16,717	153,143	192,806
2021-12-31	$383.09	$380.00	25.5%	7.3%	28.6%	22.6%	26.6%	2.6%	-0.3%	3.8M	-486.5M	-12.9M	0.20	52.31	91,931	18,163	153,370	197,305