GS Options History — September 2022

In September 2022, GS traded between $290.73 and $342.27. ATM implied volatility averaged 33.8%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 9.2% (HV 20d: 24.6%). Max pain ranged from $325.00 to $335.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2022-09-23: Highest Volume — 42,163 contracts
  • 2022-09-13: Largest IV spike — 14.2% change
  • 2022-09-27: Highest IV Rank — 100.0%
  • 2022-09-27: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$320.11$290.73$342.27$331.87$294.13
Max Pain$329.05$325.00$335.00$335.00$325.00
ATM IV33.8%26.3%42.9%30.4%39.9%
Expected Move9.9%8.2%12.6%8.4%11.8%
HV 20d24.6%18.1%32.3%20.9%32.3%
HV 60d28.7%26.6%31.8%31.8%29.8%
IV Rank59.2%23.3%100.0%43.2%86.1%
IV Percentile69.3%19.0%100.0%57.1%96.8%
Term Structure0.1%-1.7%1.8%0.0%-0.7%
VWIV35.4%29.0%42.7%31.1%41.0%
Skew 25d7.8%6.3%10.0%7.6%8.8%
Skew 10d16.1%13.3%20.7%16.5%16.8%
Call IV 25d30.3%23.4%38.1%26.6%36.5%
Put IV 25d38.1%29.7%48.1%34.3%45.4%
Bid-Ask Spread %38.9332.3047.0047.0034.12
Gamma HHI0.050.040.080.050.06
Net GEX-1.4M-42.6M63.7M367.3K-42.6M
Net DEX363.8M-777.5M1.49B-8.4M1.38B
Net VEX-14.2M-15.4M-12.5M-15.4M-13.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.852.101.052.10
Total Volume27,168.23814,27642,16316,77734,078
Total OI322,093.619280,046346,695331,253337,139

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$331.87$335.0030.4%8.4%20.9%43.2%31.1%7.6%0.0%367.3K-8.4M-15.4M1.0547.008,1698,608160,750170,503
2022-09-02$330.61$335.0030.0%8.4%20.7%41.5%29.5%7.3%-0.1%-8.6M45.6M-15.1M1.1337.1411,63313,131162,500171,752
2022-09-06$326.40$330.0031.6%9.4%21.1%49.3%33.4%7.8%-0.0%-5.6M254.3M-14.7M1.4233.2613,38019,049154,974166,192
2022-09-07$331.30$330.0029.4%8.9%21.8%38.3%33.6%7.1%0.2%7.2M-32.6M-14.7M1.4437.8612,91518,583157,868169,984
2022-09-08$334.62$330.0028.2%8.6%18.1%32.4%31.4%6.8%0.2%29.6M-262.9M-14.9M0.8539.7710,8079,206160,862174,705
2022-09-09$340.80$330.0026.3%8.2%18.8%23.3%29.0%6.3%0.4%63.7M-748.4M-14.9M0.8745.219,0887,871163,336176,347
2022-09-12$342.27$330.0027.4%8.4%18.8%28.6%30.1%6.3%1.7%54.4M-777.5M-14.9M1.0643.1210,34910,976158,655169,408
2022-09-13$327.22$330.0031.3%9.5%24.0%47.6%32.3%7.0%1.8%-3.5M178.2M-14.5M1.2039.1117,27920,709161,947173,992
2022-09-14$329.28$330.0030.0%9.2%24.3%41.2%33.4%6.9%1.7%-13.0M171.9M-14.3M1.3336.278,82711,757163,249177,656
2022-09-15$331.85$330.0030.6%9.2%24.6%44.2%32.6%6.7%1.7%7.7M-117.5M-14.7M1.4740.548,38512,316165,678177,885
2022-09-16$325.79$330.0032.2%9.6%25.1%52.1%33.9%7.4%1.7%9.0M237.6M-14.3M1.5443.3316,03024,681168,084178,611
2022-09-19$328.33$330.0032.4%9.4%25.1%53.1%33.5%7.5%-0.7%10.9M-11.7M-14.2M0.9536.518,8038,361130,342149,704
2022-09-20$324.16$330.0033.6%9.7%24.3%58.7%34.9%7.7%-0.2%4.0M180.9M-14.4M0.8736.667,6356,641134,584153,973
2022-09-21$321.78$330.0034.3%9.8%24.4%62.5%35.0%8.2%-0.2%-1.0M292.6M-14.2M0.9740.277,8457,584136,708156,271
2022-09-22$315.15$330.0036.2%10.4%24.8%71.8%38.7%8.0%-1.7%-16.1M619.4M-13.8M1.1337.9711,77313,255139,422159,324
2022-09-23$301.14$325.0040.0%11.5%28.2%90.1%42.0%8.5%-0.7%-30.1M1.19B-13.1M1.6240.2716,10526,058142,667163,850
2022-09-26$295.83$325.0042.0%12.2%27.5%99.8%42.5%9.5%-0.8%-24.7M1.31B-12.8M1.5732.9513,12020,581140,412163,825
2022-09-27$290.73$325.0042.9%12.6%27.8%100.0%42.7%10.0%-0.5%-28.5M1.49B-12.5M1.5640.5014,46922,506144,141168,810
2022-09-28$302.18$325.0039.9%11.5%32.2%85.9%40.2%9.1%-0.4%-16.3M1.01B-13.8M1.6443.3015,06724,725148,655174,865
2022-09-29$296.88$325.0041.3%12.1%32.3%92.4%41.7%9.4%-0.5%-26.9M1.23B-13.5M1.5532.3011,06117,117153,965180,371
2022-09-30$294.13$325.0039.9%11.8%32.3%86.1%41.0%8.8%-0.7%-42.6M1.38B-13.2M2.1034.1210,99623,082155,655181,484