GS Options History — January 2023

In January 2023, GS traded between $343.19 and $373.48. ATM implied volatility averaged 26.2%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 1.6% (HV 20d: 24.7%). Max pain ranged from $345.00 to $360.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2023-01-20: Highest Volume — 194,414 contracts
  • 2023-01-13: Largest IV drop — 12.1% change
  • 2023-01-03: Highest IV Rank — 45.8%
  • 2023-01-03: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$353.46$343.19$373.48$345.80$364.50
Max Pain$350.25$345.00$360.00$345.00$350.00
ATM IV26.2%22.0%31.9%31.9%23.7%
Expected Move7.6%6.4%9.8%9.8%6.9%
HV 20d24.7%18.7%29.1%21.1%29.1%
HV 60d24.6%22.8%26.2%24.9%25.1%
IV Rank20.8%2.0%45.8%45.8%9.4%
IV Percentile19.7%0.4%58.3%58.3%5.6%
Term Structure-0.1%-0.7%1.1%-0.6%-0.6%
VWIV27.0%22.8%33.9%33.9%25.0%
Skew 25d4.5%3.1%5.5%5.5%4.4%
Skew 10d9.0%6.7%11.5%11.5%8.9%
Call IV 25d24.2%19.9%29.3%29.1%22.1%
Put IV 25d28.7%23.9%34.7%34.7%26.5%
Bid-Ask Spread %3.172.314.712.772.40
Gamma HHI0.070.040.250.040.06
Net GEX33.9M-74.5M127.3M10.5M58.3M
Net DEX-519.5M-2.17B511.2M-86.5M-1.09B
Net VEX-13.5M-14.2M-12.4M-14.0M-14.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.751.420.980.81
Total Volume50,301.816,613194,41416,61319,672
Total OI344,538279,813415,106340,580301,604

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$345.80$345.0031.9%9.8%21.1%45.8%33.9%5.5%-0.6%10.5M-86.5M-14.0M0.982.778,3728,241154,531186,049
2023-01-04$346.31$345.0031.4%9.6%19.9%43.3%31.7%5.4%-0.6%15.0M-125.8M-14.1M1.072.948,4809,037157,292189,621
2023-01-05$343.19$360.0031.5%8.8%18.7%44.1%31.2%5.4%-0.7%-480.7K104.7M-13.9M0.754.719,5717,221159,155191,178
2023-01-06$347.13$360.0029.9%8.4%19.3%37.1%32.2%4.6%-0.7%24.5M-175.4M-13.7M1.053.129,2319,676161,408193,127
2023-01-09$352.63$350.0029.5%8.3%20.1%35.2%29.4%4.9%-0.2%27.2M-550.9M-13.6M0.953.3410,72810,234155,588190,653
2023-01-10$356.35$350.0029.3%8.3%20.3%34.4%29.1%4.5%-0.1%39.5M-803.2M-13.7M1.084.469,0439,742158,102193,889
2023-01-11$363.63$350.0028.8%8.1%21.3%32.0%28.5%4.6%-0.4%63.8M-1.35B-13.8M1.033.3912,50912,835161,196197,355
2023-01-12$368.01$355.0027.1%7.7%20.8%24.4%27.5%4.5%-0.3%79.0M-1.65B-13.6M1.373.0711,44315,653163,300202,541
2023-01-13$373.48$355.0023.8%6.8%19.6%9.8%24.0%3.1%0.0%103.0M-2.17B-12.9M0.983.2123,60823,090164,207208,310
2023-01-17$350.99$355.0025.3%7.3%28.0%16.6%25.4%3.9%-0.5%1.4M-115.3M-12.4M1.004.5991,50991,550159,969200,971
2023-01-18$349.59$355.0023.9%6.9%27.6%10.5%24.1%4.2%-0.4%16.6M-129.7M-13.1M1.202.7837,67345,130184,875222,750
2023-01-19$350.96$355.0024.6%7.1%27.6%13.3%25.2%4.3%-0.3%30.4M-374.5M-13.2M1.162.3123,50027,354184,520225,109
2023-01-20$343.50$350.0024.9%7.2%28.8%14.8%25.7%4.8%-0.6%-74.5M511.2M-12.9M1.423.1680,501113,913187,294227,812
2023-01-23$348.48$345.0023.7%7.1%28.9%9.6%24.6%4.5%1.1%2.2M-32.3M-13.1M0.883.9938,91434,230121,923157,890
2023-01-24$348.47$345.0023.6%7.1%28.5%9.0%25.2%4.5%0.7%12.8M-95.7M-13.3M0.792.4819,27215,244129,882164,899
2023-01-25$349.57$345.0023.4%7.0%28.5%8.3%24.8%4.5%0.6%27.4M-227.0M-13.5M0.762.5921,46116,226135,803168,458
2023-01-26$354.14$345.0022.4%6.6%28.6%3.8%23.7%4.1%0.8%74.6M-651.3M-13.8M1.212.4016,83020,341141,249172,682
2023-01-27$354.38$345.0022.0%6.4%28.5%2.0%22.8%4.0%0.9%127.3M-682.6M-13.7M0.802.9825,65120,410143,431179,547
2023-01-30$358.16$345.0024.3%7.2%28.6%12.0%25.5%4.7%-0.6%39.3M-695.9M-14.0M0.752.6521,62316,318128,432164,158
2023-01-31$364.50$350.0023.7%6.9%29.1%9.4%25.0%4.4%-0.6%58.3M-1.09B-14.2M0.812.4010,8628,810132,509169,095