GS Options History — December 2022

In December 2022, GS traded between $340.85 and $383.35. ATM implied volatility averaged 27.5%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.1% (HV 20d: 21.4%). Max pain ranged from $347.50 to $370.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2022-12-06: Highest Volume — 44,641 contracts
  • 2022-12-05: Largest IV spike — 10.2% change
  • 2022-12-28: Highest IV Rank — 42.7%
  • 2022-12-28: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$355.17$340.85$383.35$383.35$342.85
Max Pain$351.67$347.50$370.00$367.50$347.50
ATM IV27.5%22.6%31.2%24.2%30.5%
Expected Move8.4%7.1%9.2%7.7%9.1%
HV 20d21.4%16.4%25.0%22.9%20.6%
HV 60d29.1%25.2%31.3%30.6%25.2%
IV Rank26.2%4.6%42.7%11.6%39.5%
IV Percentile25.5%0.8%54.4%4.0%49.2%
Term Structure1.0%-0.4%3.4%0.1%0.1%
VWIV29.4%25.2%31.5%28.1%31.5%
Skew 25d4.8%3.8%5.5%4.3%5.4%
Skew 10d9.8%7.6%11.2%8.8%10.8%
Call IV 25d25.2%20.6%28.5%22.4%28.0%
Put IV 25d30.0%24.4%33.9%26.7%33.4%
Bid-Ask Spread %3.742.645.443.404.64
Gamma HHI0.060.040.110.060.05
Net GEX-4.9M-45.5M63.7M63.7M-11.6M
Net DEX-277.0M-2.04B534.7M-2.04B133.2M
Net VEX-15.6M-16.5M-14.3M-16.5M-14.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.772.341.481.16
Total Volume24,256.04810,04144,64131,83612,437
Total OI367,906.762332,314395,068383,439351,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$383.35$367.5024.2%7.7%22.9%11.6%28.1%4.3%0.1%63.7M-2.04B-16.5M1.483.4012,85618,980160,831222,608
2022-12-02$379.51$370.0022.6%7.1%23.3%4.6%25.2%3.8%0.3%5.6M-1.65B-16.3M1.883.2110,04818,887161,551226,972
2022-12-05$370.46$350.0024.9%8.1%24.0%14.8%29.3%4.3%0.7%6.5M-982.6M-16.4M2.004.9114,37828,757155,252218,419
2022-12-06$362.40$350.0026.6%8.6%25.0%22.4%30.3%4.6%0.8%-24.4M-352.1M-16.5M2.165.4014,12330,518159,296222,482
2022-12-07$360.15$350.0026.7%8.6%24.9%22.8%30.0%4.6%0.9%-31.4M-204.3M-16.5M1.315.089,85612,871161,787224,542
2022-12-08$356.86$350.0026.1%8.5%24.9%19.9%29.4%4.3%1.2%-41.2M18.9M-16.3M1.053.7013,30313,951163,750224,551
2022-12-09$359.28$350.0025.6%8.4%17.6%18.0%29.2%4.2%1.2%-18.8M-241.5M-16.5M1.053.7710,05510,577169,049226,019
2022-12-12$363.04$350.0027.0%8.6%16.4%24.0%30.5%4.9%2.8%7.0M-623.9M-16.3M0.983.379,2109,015158,180219,487
2022-12-13$369.20$350.0025.5%8.2%17.9%17.6%29.3%4.6%3.0%36.6M-1.14B-16.1M1.164.6112,35414,338161,487219,909
2022-12-14$360.80$350.0025.2%8.1%19.4%16.2%28.5%4.1%3.2%1.9M-423.7M-15.8M0.993.7613,51613,406165,059222,593
2022-12-15$350.09$350.0027.5%8.6%21.6%26.1%30.3%4.8%3.2%-45.5M288.9M-15.6M0.993.0715,50315,373168,730221,748
2022-12-16$345.64$350.0027.6%8.6%21.7%26.9%29.8%4.6%3.4%-31.8M534.7M-15.3M1.173.6213,03615,316170,563221,505
2022-12-19$344.62$350.0029.1%8.6%21.5%33.3%30.0%5.5%-0.1%-8.8M204.0M-15.0M1.032.879,6129,907148,662183,652
2022-12-20$344.97$350.0029.0%8.4%21.6%33.0%31.4%5.3%-0.3%-3.1M100.6M-15.0M1.492.967,43211,091153,247184,649
2022-12-21$349.22$350.0027.7%8.0%21.7%27.3%26.0%5.1%0.0%15.5M-191.8M-15.0M1.402.6411,44616,017155,942185,583
2022-12-22$344.59$350.0030.1%8.6%21.5%37.7%30.8%5.3%-0.4%-2.5M103.7M-15.1M1.505.449,27113,945159,921188,446
2022-12-23$344.95$350.0029.2%8.4%21.1%34.0%29.3%5.2%-0.1%-3.6M86.3M-15.0M1.242.657,1228,798161,456190,811
2022-12-27$342.31$350.0030.9%8.9%20.6%41.5%30.9%5.2%0.0%-7.3M210.4M-14.6M0.773.046,5205,010155,495186,300
2022-12-28$340.85$350.0031.2%9.2%20.4%42.7%27.6%5.4%-0.1%-10.8M266.2M-14.5M2.342.676,13114,370158,129187,522
2022-12-29$343.49$350.0029.6%8.8%20.5%35.5%29.8%5.2%0.2%278.8K87.4M-14.4M1.223.824,5255,516160,107188,577
2022-12-30$342.85$347.5030.5%9.1%20.6%39.5%31.5%5.4%0.1%-11.6M133.2M-14.3M1.164.645,7656,672161,320189,853