GS Options History — July 2022

In July 2022, GS traded between $281.58 and $333.67. ATM implied volatility averaged 32.3%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 2.7% (HV 20d: 34.9%). Max pain ranged from $295.00 to $315.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2022-07-19: Highest Volume — 86,653 contracts
  • 2022-07-15: Largest IV drop — 10.6% change
  • 2022-07-05: Highest IV Rank — 80.5%
  • 2022-07-14: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$307.73$281.58$333.67$299.38$333.67
Max Pain$302.75$295.00$315.00$305.00$315.00
ATM IV32.3%24.6%38.1%35.6%24.6%
Expected Move9.1%6.9%10.6%9.5%6.9%
HV 20d34.9%28.6%38.4%38.4%33.1%
HV 60d34.7%33.5%36.8%34.0%35.5%
IV Rank51.8%14.0%80.5%68.2%14.0%
IV Percentile64.7%13.1%93.7%85.7%13.1%
Term Structure-0.0%-0.9%1.3%-0.5%1.3%
VWIV32.7%26.1%39.1%33.3%26.1%
Skew 25d6.9%5.5%7.7%7.6%5.5%
Skew 10d14.3%11.8%16.1%15.4%11.8%
Call IV 25d29.3%22.0%34.6%32.7%22.0%
Put IV 25d36.2%27.5%42.0%40.3%27.5%
Bid-Ask Spread %21.508.2835.1511.0810.80
Gamma HHI0.060.040.120.050.06
Net GEX9.9M-55.2M57.9M-3.4M57.9M
Net DEX249.1M-900.4M1.36B652.1M-900.4M
Net VEX-12.3M-14.5M-10.2M-11.6M-14.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.431.380.761.38
Total Volume41,380.9522,96486,65325,62947,410
Total OI279,750.5239,983306,767277,257306,767

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$299.38$305.0035.6%9.5%38.4%68.2%33.3%7.6%-0.5%-3.4M652.1M-11.6M0.7611.0814,58911,040134,294142,963
2022-07-05$296.55$300.0038.1%10.6%38.3%80.5%39.1%7.5%-0.3%-14.5M776.5M-11.2M0.7026.0214,40810,126124,730136,743
2022-07-06$295.00$300.0037.1%10.3%38.1%75.6%37.9%7.4%-0.4%-15.4M839.4M-11.1M0.5734.9516,2269,205127,858139,836
2022-07-07$298.45$300.0034.8%9.7%38.4%64.6%37.1%6.9%-0.4%-4.3M672.1M-11.2M0.4328.8225,30110,956130,810141,924
2022-07-08$297.17$300.0034.9%9.7%37.8%64.8%35.2%6.6%-0.6%-6.4M736.8M-11.1M0.6630.5919,69113,074135,393144,658
2022-07-11$292.72$300.0035.7%10.0%36.7%68.8%35.6%7.5%-0.8%-20.6M922.2M-10.7M0.6833.6813,6609,304128,869140,159
2022-07-12$292.54$300.0036.8%10.3%29.2%74.1%35.1%7.7%-0.8%-19.9M917.2M-10.8M0.6635.1517,45511,515131,143142,732
2022-07-13$289.79$300.0037.0%10.4%28.6%75.3%36.5%7.5%-0.8%-26.7M1.05B-10.7M0.4831.7424,15511,652134,751145,779
2022-07-14$281.58$300.0037.8%10.6%30.6%79.4%36.3%7.4%-0.9%-55.2M1.36B-10.2M0.8820.7124,05721,072139,433147,155
2022-07-15$293.64$295.0033.8%9.6%32.3%59.6%34.2%7.2%-0.6%4.7M780.6M-11.0M1.0828.1129,45031,702143,182147,479
2022-07-18$298.93$295.0031.5%9.0%31.5%47.9%32.0%6.0%-0.1%4.1M543.6M-11.5M1.0110.0638,45138,831109,561130,422
2022-07-19$318.46$295.0030.6%8.8%37.7%43.5%32.2%6.6%-0.6%40.1M-357.9M-12.6M1.0610.2941,97344,680118,919139,498
2022-07-20$321.29$300.0029.4%8.4%37.6%37.7%30.9%6.4%0.3%39.2M-483.6M-13.1M1.0311.1824,52825,293127,681152,723
2022-07-21$325.42$300.0027.6%7.9%37.5%29.0%28.2%6.0%0.7%56.1M-755.7M-13.3M0.7415.8931,32423,238134,042158,429
2022-07-22$324.02$305.0027.5%7.8%37.7%28.2%28.2%6.4%0.8%43.0M-655.4M-13.7M1.0222.7823,13523,626141,589163,492
2022-07-25$323.82$310.0028.9%8.2%32.9%35.0%29.7%6.9%0.9%22.2M-256.3M-14.1M1.0521.1014,95915,672127,813147,688
2022-07-26$318.33$310.0029.4%8.5%33.6%37.7%30.0%7.3%0.9%7.8M38.1M-13.9M1.1719.4515,62118,252133,159151,962
2022-07-27$325.49$310.0027.7%7.8%34.2%29.2%29.4%6.6%0.8%36.2M-363.1M-14.3M1.0819.2914,28515,489137,289155,283
2022-07-28$328.27$315.0026.3%7.4%34.1%22.2%27.3%6.0%0.9%53.3M-531.4M-14.4M1.078.2815,58516,629139,617159,185
2022-07-29$333.67$315.0024.6%6.9%33.1%14.0%26.1%5.5%1.3%57.9M-900.4M-14.5M1.3810.8019,93327,477142,183164,584