GS Options History — January 2022

In January 2022, GS traded between $340.36 and $408.75. ATM implied volatility averaged 30.7%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 3.3% (HV 20d: 34.0%). Max pain ranged from $355.00 to $385.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2022-01-18: Highest Volume — 184,573 contracts
  • 2022-01-24: Largest IV spike — 14.4% change
  • 2022-01-25: Highest IV Rank — 91.2%
  • 2022-01-25: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$371.02$340.36$408.75$395.79$353.30
Max Pain$375.75$355.00$385.00$380.00$355.00
ATM IV30.7%26.7%36.6%26.9%30.6%
Expected Move8.9%7.7%10.7%7.7%8.9%
HV 20d34.0%29.8%39.3%29.8%37.9%
HV 60d28.5%25.8%30.5%26.2%30.5%
IV Rank55.8%30.2%91.2%31.3%59.9%
IV Percentile77.8%50.4%99.2%51.6%83.7%
Term Structure-0.5%-1.8%0.8%-1.8%-0.7%
VWIV32.3%27.7%42.7%27.7%42.7%
Skew 25d4.0%1.2%8.8%2.3%6.3%
Skew 10d8.7%3.5%19.5%4.7%13.6%
Call IV 25d29.5%25.8%33.1%25.8%29.1%
Put IV 25d33.5%28.1%41.8%28.1%35.5%
Bid-Ask Spread %39.9915.3152.2715.3128.60
Gamma HHI0.080.050.180.050.05
Net GEX11.4M-58.6M101.7M57.5M4.2M
Net DEX-115.6M-2.43B1.76B-1.42B316.5M
Net VEX-12.6M-13.3M-10.6M-13.0M-13.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.181.450.211.42
Total Volume89,143.4532,981184,573123,40551,471
Total OI344,311269,511414,900329,821291,326

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$395.79$380.0026.9%7.7%29.8%31.3%27.7%2.3%-1.8%57.5M-1.42B-13.0M0.2115.31102,27521,130141,598188,223
2022-01-04$408.75$380.0026.7%7.9%30.8%30.2%28.3%1.9%-0.0%96.4M-2.43B-12.6M0.2035.60116,03522,749147,658192,987
2022-01-05$399.17$380.0028.8%8.5%31.1%43.1%30.6%2.8%-1.3%70.7M-1.64B-13.0M0.2235.6888,44819,266154,545196,213
2022-01-06$397.05$385.0029.3%8.3%31.2%46.4%29.6%2.8%-0.1%63.6M-1.43B-13.3M0.2439.4377,20618,419160,759198,425
2022-01-07$398.80$385.0027.9%8.0%31.2%37.8%29.2%3.0%0.3%101.7M-1.61B-12.9M0.2044.7276,10614,982163,974201,021
2022-01-10$397.71$385.0030.4%8.5%30.5%53.1%30.3%2.7%-0.9%56.1M-1.46B-12.9M0.1842.1768,58012,331152,280191,591
2022-01-11$402.32$385.0028.5%8.0%30.2%41.1%29.1%2.1%-0.3%86.3M-1.83B-12.8M0.1839.8455,7289,863157,004193,514
2022-01-12$390.02$385.0028.8%8.1%32.0%43.3%29.0%1.2%-0.8%26.4M-863.8M-12.6M0.4040.2971,99028,910158,262195,074
2022-01-13$390.82$385.0030.2%8.5%32.0%51.8%29.7%1.9%-0.6%16.3M-875.4M-13.1M0.2249.7876,94617,042164,890206,504
2022-01-14$379.70$385.0031.1%8.8%32.7%57.2%31.1%1.8%-0.5%-53.5M123.2M-12.7M0.4652.2784,93039,397170,389210,031
2022-01-18$353.64$385.0029.1%8.3%39.3%45.2%30.4%2.6%-0.9%-55.2M1.51B-10.6M0.5335.71120,60263,971158,089204,031
2022-01-19$347.53$380.0028.4%8.1%37.8%40.6%29.1%2.3%-0.7%-58.6M1.69B-11.3M0.4019.7481,12432,078178,967219,927
2022-01-20$349.92$380.0029.5%8.5%36.4%47.3%30.3%2.8%-0.6%-56.8M1.38B-12.1M0.3640.1576,22227,442188,770224,684
2022-01-21$343.30$380.0031.8%9.1%36.6%61.7%33.2%4.4%0.1%-50.2M1.76B-11.8M0.5043.2670,33935,296190,444224,456
2022-01-24$340.36$365.0036.4%10.7%36.1%89.9%42.4%8.7%-0.1%-17.7M1.02B-12.2M1.4537.4423,67234,319132,327137,184
2022-01-25$342.46$360.0036.6%10.7%36.2%91.2%37.3%8.8%-1.4%-14.8M889.1M-12.8M0.6744.3519,93013,354138,110148,998
2022-01-26$342.46$360.0035.6%10.4%36.1%85.5%35.8%7.5%-0.9%-12.5M860.0M-12.8M0.6851.2624,28816,430142,349152,233
2022-01-27$342.49$360.0035.3%10.6%36.1%89.1%37.0%7.8%-0.6%-18.0M905.6M-13.1M0.8452.2417,88415,097145,814156,375
2022-01-28$344.72$355.0032.4%9.7%36.4%70.0%33.8%6.3%0.8%-13.2M776.0M-13.0M1.1451.8817,32819,689148,027159,167
2022-01-31$353.30$355.0030.6%8.9%37.9%59.9%42.7%6.3%-0.7%4.2M316.5M-13.3M1.4228.6021,23930,232138,105153,221