Sunday, April 18, 2010

Chart of the Week: Goldman Sachs

There is no reason to get fancy with this week’s chart of the week. The big story of the week was accusations of fraud at Goldman Sachs (GS), with the SEC claiming Goldman misrepresented the selection process for some collateralized debt obligations (CDOs) resulting in a fraud worth $1 billion.

The chart below captures six months of price action in GS and shows how Friday’s selloff erased most of the gains in the stock from the last three months. Of particular interest is the spike in both historical volatility (HV20) and implied volatility (IV30), with historical volatility now higher than its forward-looking implied volatility counterpart. With elevated volatility, options traders are loving GS for now, whether they have thoughts about the future direction of GS stock or are just looking to sell options to capture the extra premium.

Note that Goldman is scheduled to report earnings before the market opens on Tuesday.

For more on related subjects, readers are encouraged to check out:


[source: Livevol Pro]

Disclosure(s): Livevol is an advertiser on VIX and More

blog comments powered by Disqus
DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2023 Bill Luby. All rights reserved.
 
Web Analytics