GS Options History — September 2023

In September 2023, GS traded between $321.30 and $344.67. ATM implied volatility averaged 23.0%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.1% (HV 20d: 17.9%). Max pain ranged from $330.00 to $335.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2023-09-06: Highest Volume — 42,870 contracts
  • 2023-09-15: Largest IV spike — 9.6% change
  • 2023-09-27: Highest IV Rank — 41.5%
  • 2023-09-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$330.11$321.30$344.67$327.61$323.20
Max Pain$334.75$330.00$335.00$330.00$335.00
ATM IV23.0%18.6%29.3%19.1%27.4%
Expected Move7.0%5.2%8.6%5.2%8.4%
HV 20d17.9%15.1%20.1%16.9%18.8%
HV 60d19.8%18.9%20.4%19.6%18.9%
IV Rank16.3%0.0%41.5%0.1%34.2%
IV Percentile30.3%0.0%76.2%0.4%68.3%
Term Structure0.5%-0.9%3.5%0.4%-0.5%
VWIV24.4%17.9%29.3%17.9%28.9%
Skew 25d3.9%2.8%5.5%3.2%5.1%
Skew 10d7.6%5.5%10.6%6.6%9.6%
Call IV 25d21.2%16.9%26.5%18.1%25.5%
Put IV 25d25.1%19.6%32.0%21.3%30.6%
Bid-Ask Spread %5.442.918.622.987.20
Gamma HHI0.060.050.090.050.05
Net GEX15.3M-34.2M92.7M-16.0M1.2M
Net DEX21.5M-1.25B616.7M308.0M440.4M
Net VEX-12.5M-12.9M-11.8M-12.3M-12.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.631.800.790.92
Total Volume23,589.159,60842,87019,81418,405
Total OI314,543.05280,835353,716328,827305,864

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$327.61$330.0019.1%5.2%16.9%0.1%17.9%3.2%0.4%-16.0M308.0M-12.3M0.792.9811,0928,722144,409184,418
2023-09-05$324.31$335.0020.2%6.6%16.5%4.6%21.9%3.5%-0.0%-17.9M488.6M-11.9M1.175.9811,00712,842139,458177,715
2023-09-06$321.64$335.0021.0%6.7%15.6%7.7%23.1%3.4%0.2%-34.2M616.7M-11.8M1.156.0819,96022,910143,123179,918
2023-09-07$322.43$335.0021.1%6.8%15.1%8.1%24.3%3.4%0.1%-13.7M439.2M-12.4M1.016.8612,03012,100155,296180,650
2023-09-08$324.96$335.0020.3%6.6%15.4%5.0%23.1%3.2%0.3%36.5M229.0M-12.3M1.017.1717,08517,257156,823182,390
2023-09-11$324.52$335.0020.0%6.5%15.3%3.5%22.4%3.4%2.5%4.3M303.4M-12.0M1.366.587,54410,286151,934180,278
2023-09-12$330.97$335.0019.7%6.4%16.9%2.6%22.0%3.1%2.7%42.8M-160.9M-12.4M0.635.4319,91212,521153,888182,128
2023-09-13$335.42$335.0019.3%6.4%16.6%0.9%23.1%3.1%3.1%69.2M-553.6M-12.4M1.217.2714,40517,369156,979184,195
2023-09-14$344.67$335.0018.6%6.1%18.8%0.0%22.2%2.8%3.4%92.7M-1.25B-12.6M0.903.9620,66118,654157,974186,732
2023-09-15$341.95$335.0020.4%6.5%18.7%7.0%22.6%3.0%3.5%50.9M-973.0M-12.9M0.934.2316,80015,563160,700193,016
2023-09-18$343.52$335.0021.9%6.5%18.5%12.7%23.5%3.7%-0.6%52.4M-712.2M-12.8M1.184.796,3117,430129,686151,149
2023-09-19$341.70$335.0022.4%6.5%18.5%14.9%23.4%3.8%0.1%49.5M-592.7M-12.8M1.132.917,1628,057131,901153,634
2023-09-20$337.01$335.0023.8%6.8%18.7%20.1%23.3%3.8%-0.0%30.4M-274.2M-12.8M1.335.667,1389,478134,930155,367
2023-09-21$330.74$335.0025.9%7.5%20.0%28.3%25.7%4.5%-0.9%-150.5K189.1M-12.7M1.383.539,88713,617136,907157,526
2023-09-22$328.26$335.0026.0%7.5%20.1%28.7%25.9%4.5%-0.9%-5.7M319.6M-12.6M1.174.158,85810,379140,289160,372
2023-09-25$328.47$335.0026.6%7.9%20.1%31.2%28.1%5.0%-0.4%-2.2M235.3M-12.6M1.597.503,7155,893135,019155,572
2023-09-26$324.37$335.0028.3%8.4%20.0%37.9%28.8%5.3%-0.8%-11.1M458.1M-12.5M1.804.196,47911,654136,517156,678
2023-09-27$321.30$335.0029.3%8.6%18.7%41.5%29.3%5.5%-0.4%-19.7M583.6M-12.3M1.483.718,12012,007138,284158,729
2023-09-28$325.15$335.0028.1%8.4%18.8%37.0%29.0%5.1%-0.6%-2.9M330.8M-12.5M1.058.629,0129,461141,082159,331
2023-09-29$323.20$335.0027.4%8.4%18.8%34.2%28.9%5.1%-0.5%1.2M440.4M-12.4M0.927.209,5698,836144,124161,740