GS Options History — November 2023

In November 2023, GS traded between $307.00 and $341.10. ATM implied volatility averaged 19.8%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 8.1% (HV 20d: 27.9%). Max pain ranged from $305.00 to $340.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2023-11-28: Highest Volume — 79,879 contracts
  • 2023-11-02: Largest IV drop — 8.1% change
  • 2023-11-01: Highest IV Rank — 21.9%
  • 2023-11-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$331.38$307.00$341.10$307.00$341.10
Max Pain$322.50$305.00$340.00$305.00$337.50
ATM IV19.8%17.2%23.8%23.8%18.0%
Expected Move5.7%4.9%6.5%6.5%5.5%
HV 20d27.9%23.0%30.7%23.0%24.7%
HV 60d23.7%21.0%24.6%21.0%24.1%
IV Rank6.6%0.0%21.9%21.9%3.5%
IV Percentile8.5%0.0%37.7%37.7%1.6%
Term Structure0.0%-0.3%0.4%-0.3%0.0%
VWIV20.3%15.7%23.4%23.1%19.4%
Skew 25d3.0%2.1%4.9%4.9%2.2%
Skew 10d5.6%3.9%8.9%8.9%5.2%
Call IV 25d18.7%16.6%21.5%21.5%17.1%
Put IV 25d21.6%18.7%26.3%26.3%19.4%
Bid-Ask Spread %4.643.296.993.924.90
Gamma HHI0.090.040.240.050.09
Net GEX46.6M2.7M95.3M11.1M80.1M
Net DEX-527.4M-1.24B571.6M571.6M-756.4M
Net VEX-11.7M-12.1M-11.2M-11.2M-12.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.111.170.820.78
Total Volume26,579.1439,06179,87921,15730,364
Total OI309,923.857287,932337,876311,984302,197

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$307.00$305.0023.8%6.5%23.0%21.9%23.1%4.9%-0.3%11.1M571.6M-11.2M0.823.9211,6279,530143,419168,565
2023-11-02$313.38$320.0021.9%6.3%24.1%13.7%23.4%4.4%-0.1%36.6M143.5M-11.3M0.844.9417,48414,702144,057169,079
2023-11-03$327.32$320.0022.1%6.3%28.5%15.0%22.6%3.9%-0.3%26.2M-705.8M-11.7M0.586.9931,85118,430143,592172,251
2023-11-06$323.92$320.0021.4%6.2%28.8%11.9%21.9%3.9%0.2%25.9M-211.7M-11.5M0.973.9311,15110,799137,420165,966
2023-11-07$324.97$320.0021.2%6.1%28.7%10.9%22.6%3.6%0.3%20.6M-243.3M-11.6M0.813.888,5306,933138,373169,267
2023-11-08$324.64$320.0020.7%6.0%28.6%8.8%22.2%3.5%0.4%22.4M-223.2M-11.5M0.593.4710,0085,877140,187171,503
2023-11-09$320.02$320.0021.5%6.2%28.9%12.3%22.5%3.7%0.3%2.7M87.7M-11.4M0.743.4310,9978,111143,966173,471
2023-11-10$325.58$320.0020.2%5.9%29.4%6.7%21.1%3.4%0.4%31.9M-323.5M-11.4M0.925.0912,35311,311146,404174,206
2023-11-13$327.37$320.0020.9%6.0%29.0%9.8%21.1%3.2%-0.2%33.7M-344.0M-11.5M0.403.2915,1176,046143,236170,164
2023-11-14$340.23$320.0020.1%5.8%30.7%6.1%21.1%2.6%-0.1%83.9M-1.24B-11.6M0.414.4438,53015,603145,994172,078
2023-11-15$337.88$320.0019.9%5.7%29.3%5.4%20.9%2.6%-0.1%83.3M-1.11B-12.0M0.723.5212,5649,051156,030175,097
2023-11-16$336.49$320.0019.8%5.7%29.0%4.8%19.7%2.5%0.0%70.8M-969.6M-12.1M0.504.189,2774,679158,183178,024
2023-11-17$339.10$320.0018.9%5.4%29.0%1.0%19.6%2.4%-0.1%95.3M-1.17B-11.9M0.794.5814,22811,281159,082178,794
2023-11-20$340.70$325.0018.5%5.3%28.8%0.0%18.7%2.6%-0.1%46.8M-802.6M-11.9M0.595.079,3125,456129,065158,867
2023-11-21$334.70$325.0018.5%5.3%30.0%0.0%19.1%2.6%0.0%25.5M-419.3M-11.8M0.756.107,7365,838131,833161,511
2023-11-22$338.79$325.0017.5%5.0%29.5%0.0%17.9%2.1%-0.0%59.9M-722.6M-11.8M0.524.488,7154,500135,144164,072
2023-11-24$339.29$325.0017.2%4.9%29.5%0.0%17.4%2.1%0.0%77.6M-741.5M-11.7M0.735.045,2343,827136,697165,625
2023-11-27$338.01$325.0017.5%5.2%27.4%1.4%18.4%2.1%0.1%37.2M-610.2M-11.6M0.954.116,0885,769131,843158,756
2023-11-28$337.90$325.0017.7%5.2%24.7%2.2%15.7%2.2%-0.0%39.9M-598.5M-11.6M0.116.1272,1617,718134,437162,101
2023-11-29$340.49$340.0018.2%5.5%24.7%4.2%19.0%2.3%0.0%68.2M-699.0M-12.0M1.175.8722,70226,672130,682167,163
2023-11-30$341.10$337.5018.0%5.5%24.7%3.5%19.4%2.2%0.0%80.1M-756.4M-12.1M0.784.9017,10513,259134,388167,809