GS Options History — November 2022

In November 2022, GS traded between $348.15 and $389.17. ATM implied volatility averaged 26.7%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.2% (HV 20d: 24.4%). Max pain ranged from $325.00 to $365.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2022-11-10: Highest Volume — 71,660 contracts
  • 2022-11-28: Largest IV spike — 10.3% change
  • 2022-11-02: Highest IV Rank — 33.7%
  • 2022-11-09: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$374.16$348.15$389.17$348.15$385.30
Max Pain$346.43$325.00$365.00$325.00$365.00
ATM IV26.7%23.0%29.2%28.8%23.4%
Expected Move7.8%6.6%8.6%8.4%7.1%
HV 20d24.4%20.8%29.4%29.4%22.6%
HV 60d30.7%29.5%31.7%30.3%30.7%
IV Rank22.5%6.6%33.7%32.1%8.0%
IV Percentile16.9%2.0%36.9%32.9%3.2%
Term Structure0.2%-0.5%1.2%-0.2%0.3%
VWIV28.3%23.7%31.0%30.4%25.6%
Skew 25d4.6%3.6%5.5%5.5%3.9%
Skew 10d9.0%7.1%11.2%11.2%8.0%
Call IV 25d24.8%21.4%27.4%27.0%21.4%
Put IV 25d29.4%25.3%32.5%32.5%25.3%
Bid-Ask Spread %12.542.7220.244.343.43
Gamma HHI0.090.060.380.060.07
Net GEX48.5M-79.0M103.7M50.7M66.5M
Net DEX-2.52B-3.87B-1.35B-1.35B-2.18B
Net VEX-16.2M-16.7M-15.6M-16.0M-16.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.192.841.552.11
Total Volume44,528.52411,37271,66032,08449,593
Total OI389,941.476350,122445,367350,122373,625

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$348.15$325.0028.8%8.4%29.4%32.1%30.4%5.5%-0.2%50.7M-1.35B-16.0M1.554.3412,59219,492162,644187,478
2022-11-02$350.23$325.0029.2%8.4%28.5%33.7%29.8%4.6%-0.3%54.7M-1.50B-16.4M1.255.1220,37225,521165,632193,789
2022-11-03$348.63$335.0028.8%8.4%27.5%32.2%31.0%4.9%-0.4%50.6M-1.35B-16.4M1.9417.1313,71826,594168,813199,963
2022-11-04$357.27$335.0028.1%8.3%27.2%29.2%29.5%4.4%-0.3%77.1M-2.03B-16.3M1.7317.1118,37531,801171,161206,939
2022-11-07$362.46$340.0028.4%8.3%27.1%30.1%30.0%4.6%0.5%62.9M-2.18B-16.1M1.6416.9715,33925,154166,373202,888
2022-11-08$365.07$340.0028.0%8.3%24.6%28.6%30.4%4.7%0.9%65.8M-2.36B-16.3M2.4120.2415,29436,918171,471210,752
2022-11-09$361.33$340.0029.0%8.6%25.7%32.8%30.7%5.2%1.0%44.8M-2.03B-16.5M2.2216.0814,30731,701174,720221,360
2022-11-10$378.86$340.0026.6%7.9%27.4%22.2%29.8%4.7%1.2%87.1M-3.38B-15.8M1.6416.4727,19444,466177,646226,409
2022-11-11$386.02$345.0026.1%7.7%24.3%19.9%29.1%4.5%1.2%103.7M-3.87B-15.6M1.9816.8023,50846,450182,138235,407
2022-11-14$384.28$350.0027.0%7.8%24.8%23.9%29.3%5.0%-0.0%54.6M-3.44B-15.8M2.847.7412,59635,721177,569230,400
2022-11-15$383.57$350.0027.3%7.9%24.8%25.3%30.0%5.3%0.2%32.3M-3.29B-16.3M2.2616.8116,62037,638179,893242,017
2022-11-16$382.87$350.0027.3%7.8%23.9%25.5%29.3%5.1%-0.1%16.5M-3.22B-16.5M2.1815.2211,05224,067184,111249,026
2022-11-17$379.08$355.0027.7%7.9%24.8%27.2%29.3%4.7%-0.1%-18.2M-2.85B-16.7M2.2215.4415,16033,595186,164254,334
2022-11-18$380.47$350.0026.6%7.6%20.8%22.4%26.9%4.4%0.2%-79.0M-3.11B-16.6M1.7819.8817,24130,717189,490255,877
2022-11-21$379.50$355.0026.1%7.4%21.0%19.9%27.4%4.4%-0.4%32.3M-2.10B-16.5M2.0814.0611,80324,492157,077205,792
2022-11-22$383.69$355.0024.6%7.2%21.0%13.6%26.1%4.3%-0.1%51.3M-2.46B-16.1M1.1514.4015,45917,839160,659210,385
2022-11-23$386.39$355.0023.7%6.7%21.0%9.6%24.5%3.9%0.0%75.0M-2.73B-15.8M1.805.8811,69021,067164,388213,217
2022-11-25$389.17$355.0023.0%6.6%21.0%6.6%23.9%3.6%-0.5%98.4M-2.95B-15.7M1.0614.475,5085,864166,162218,712
2022-11-28$382.00$355.0025.4%7.5%22.7%17.1%27.3%4.7%0.3%47.0M-2.23B-16.0M1.673.1011,11418,561161,054204,785
2022-11-29$383.08$355.0024.6%7.5%22.6%13.6%23.7%4.3%0.2%45.1M-2.33B-16.2M0.192.7249,5279,379165,057213,394
2022-11-30$385.30$365.0023.4%7.1%22.6%8.0%25.6%3.9%0.3%66.5M-2.18B-16.2M2.113.4315,92433,669156,379217,246