GS Options History — September 2024

In September 2024, GS traded between $464.40 and $504.47. ATM implied volatility averaged 26.3%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 3.9% (HV 20d: 30.2%). Max pain ranged from $465.00 to $495.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2024-09-10: Highest Volume — 51,391 contracts
  • 2024-09-16: Largest IV spike — 6.9% change
  • 2024-09-17: Highest IV Rank — 57.6%
  • 2024-09-10: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$487.57$464.40$504.47$485.84$494.16
Max Pain$472.25$465.00$495.00$495.00$475.00
ATM IV26.3%25.1%27.8%25.4%27.2%
Expected Move7.9%7.5%8.5%7.6%8.4%
HV 20d30.2%23.4%34.3%25.8%33.3%
HV 60d28.7%26.8%30.0%26.9%29.2%
IV Rank49.5%43.1%57.6%44.4%54.2%
IV Percentile88.7%81.0%94.4%86.5%92.9%
Term Structure0.5%-0.9%3.2%-0.8%2.3%
VWIV27.8%25.7%29.8%27.5%29.8%
Skew 25d3.9%3.2%4.9%3.9%4.3%
Skew 10d8.0%5.4%10.1%8.8%5.4%
Call IV 25d24.5%22.8%26.2%23.3%25.4%
Put IV 25d28.3%26.0%30.3%27.3%29.6%
Bid-Ask Spread %40.7830.5151.3948.7543.87
Gamma HHI0.060.030.110.040.05
Net GEX33.7M-49.9M113.5M10.5M52.3M
Net DEX-1.59B-2.71B-431.2M-1.32B-1.82B
Net VEX-13.1M-13.7M-12.5M-13.1M-13.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.451.351.350.74
Total Volume22,879.19,74451,39128,08213,641
Total OI252,024.1225,650275,908239,693233,073

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$485.84$495.0025.4%7.6%25.8%44.4%27.5%3.9%-0.8%10.5M-1.32B-13.1M1.3548.7511,97416,108103,557136,136
2024-09-04$489.81$495.0025.3%7.6%24.1%44.3%27.1%3.6%-0.2%18.9M-1.48B-13.6M0.6351.3912,6468,002107,826141,023
2024-09-05$487.45$470.0026.1%8.1%24.2%48.3%27.9%3.8%-0.6%14.5M-1.39B-13.3M1.1034.498,5679,437111,370142,871
2024-09-06$479.35$470.0027.1%8.4%23.4%53.9%29.1%4.1%-0.4%-49.9M-993.8M-13.5M1.0930.5113,08614,232113,573144,917
2024-09-09$489.50$470.0026.6%8.3%24.5%51.1%28.5%4.2%2.3%29.6M-1.60B-13.2M0.9331.9510,3069,603104,791136,145
2024-09-10$464.40$470.0027.5%8.5%30.7%55.8%28.7%4.9%2.0%-22.2M-431.2M-13.2M0.8937.1827,15924,232107,980140,238
2024-09-11$470.27$470.0025.7%8.1%30.4%46.2%28.3%3.8%2.7%-6.3M-713.4M-13.7M0.6037.8321,39512,826115,239148,356
2024-09-12$473.29$465.0025.1%7.9%30.1%43.1%28.4%3.9%3.0%19.1M-986.2M-13.6M0.9339.5313,65612,671120,198151,939
2024-09-13$479.44$465.0025.3%7.8%30.6%43.8%27.2%3.2%3.2%64.8M-1.44B-13.4M0.7438.3017,02412,555121,906154,002
2024-09-16$484.39$465.0027.0%7.9%30.7%53.1%26.9%4.1%-0.6%37.8M-1.55B-13.6M0.8637.879,3168,040112,945145,296
2024-09-17$483.99$465.0027.8%8.1%30.7%57.6%28.6%4.1%-0.5%39.8M-1.57B-13.0M0.8141.925,3934,351114,686146,507
2024-09-18$483.92$465.0027.7%7.9%30.4%56.6%27.1%4.1%-0.6%36.5M-1.54B-12.8M0.4541.9610,3834,709114,979147,568
2024-09-19$504.47$470.0026.4%7.6%34.0%49.9%27.2%3.4%-0.7%113.5M-2.71B-13.0M0.8440.3119,65016,563118,604148,539
2024-09-20$499.15$470.0025.9%7.5%34.3%47.0%25.7%3.7%-0.5%42.0M-2.33B-12.8M0.7942.5714,68011,560120,704151,564
2024-09-23$497.63$470.0025.8%7.6%33.3%46.5%26.7%3.7%-0.4%62.6M-2.04B-12.5M0.7540.867,5155,632105,818119,832
2024-09-24$497.89$470.0025.3%7.5%33.3%43.9%26.1%3.7%1.2%61.9M-2.03B-12.8M0.7944.076,3254,983109,696122,523
2024-09-25$492.10$475.0026.3%7.8%33.6%49.6%27.9%3.7%-0.2%42.8M-1.78B-12.7M0.7542.848,4486,368112,882124,401
2024-09-26$496.06$475.0026.4%8.0%33.6%49.8%28.1%3.5%-0.9%63.2M-1.98B-13.1M0.5146.1211,2905,803115,185126,740
2024-09-27$498.35$475.0026.5%8.0%33.2%50.4%28.1%3.6%-0.7%42.4M-2.11B-13.0M0.6443.2816,76810,685118,545128,328
2024-09-30$494.16$475.0027.2%8.4%33.3%54.2%29.8%4.3%2.3%52.3M-1.82B-13.0M0.7443.877,8295,812111,554121,519