GOOG Options History — January 2007

In January 2007, GOOG traded between $11.68 and $12.61. ATM implied volatility averaged 35.5%. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 7.3% (HV 20d: 28.2%). Max pain ranged from $10.24 to $11.99. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2007-01-31: Highest Volume — 8,573,160 contracts
  • 2007-01-11: Largest IV spike — 59.0% change
  • 2007-01-30: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.25$11.68$12.61$11.68$12.52
Max Pain$11.73$10.24$11.99$10.24$11.99
ATM IV35.5%22.4%45.2%27.3%43.9%
Expected Move10.8%7.6%13.0%7.8%12.6%
HV 20d28.2%27.0%29.4%29.4%27.0%
Term Structure-4.1%-9.5%7.8%6.7%-9.3%
VWIV37.6%26.8%44.8%27.9%43.6%
Skew 25d2.7%0.8%4.6%0.8%3.9%
Skew 10d5.1%1.5%8.2%1.5%7.4%
Call IV 25d36.2%25.8%43.3%27.5%41.9%
Put IV 25d39.0%27.9%46.4%28.3%45.7%
Bid-Ask Spread %7.334.0310.075.575.74
Gamma HHI0.130.060.460.090.07
Net GEX171.0M-182.6M387.3M121.5M185.0M
Net DEX-5.76B-9.94B-2.13B-4.81B-4.48B
Net VEX-25.5M-28.3M-23.9M-23.9M-28.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.380.950.480.63
Total Volume4,346,5742,113,7208,573,1604,496,2808,573,160
Total OI23,169,30413,840,12030,690,98024,626,68019,806,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$11.68$10.2427.3%7.8%0.0%0.0%27.9%0.8%6.7%121.5M-4.81B-23.9M0.485.573,031,2601,465,02013,501,28011,125,400
2007-01-04$12.07$10.2426.5%7.6%0.0%0.0%26.8%2.1%7.8%221.3M-6.83B-25.2M0.424.032,776,7001,168,36014,129,72011,254,520
2007-01-05$12.17$11.7424.9%9.9%0.0%0.0%34.8%3.1%-2.3%239.0M-7.28B-25.3M0.518.732,656,3001,354,40014,249,12011,340,240
2007-01-08$12.08$11.7426.8%10.5%0.0%0.0%36.4%3.1%-3.2%208.6M-6.65B-25.0M0.609.261,518,120907,26014,426,46011,649,040
2007-01-09$12.13$11.7422.9%10.1%0.0%0.0%35.5%3.0%-2.9%223.7M-6.81B-24.9M0.607.641,787,7401,081,48014,661,80011,782,780
2007-01-10$12.22$11.7422.4%10.2%0.0%0.0%35.7%3.4%-3.2%247.7M-7.25B-25.0M0.826.662,179,7401,797,44014,760,66012,001,500
2007-01-11$12.48$11.7435.7%10.2%0.0%0.0%35.8%2.9%-3.8%325.1M-8.92B-25.4M0.468.384,136,4601,905,46015,048,04012,361,860
2007-01-12$12.61$11.7436.0%10.3%0.0%0.0%35.8%3.1%-3.7%387.3M-9.94B-25.3M0.497.443,396,8801,650,44015,476,62012,583,380
2007-01-16$12.59$11.7438.2%10.9%0.0%0.0%37.8%3.3%-4.7%379.4M-9.64B-24.7M0.916.872,912,6602,642,00015,804,82012,906,260
2007-01-17$12.42$11.9938.9%11.2%0.0%0.0%38.7%3.7%-5.0%236.2M-7.95B-24.8M0.6610.074,099,8602,685,80016,206,80013,341,720
2007-01-18$12.18$11.9938.7%11.1%0.0%0.0%38.8%2.6%-4.7%37.9M-5.97B-24.4M0.958.583,332,5603,181,74016,490,32013,697,000
2007-01-19$12.23$11.9937.9%10.9%0.0%0.0%37.8%2.5%-4.8%-182.6M-6.33B-24.5M0.767.573,668,4202,778,94016,740,04013,950,940
2007-01-22$12.01$11.9939.9%11.4%0.0%0.0%39.8%1.3%-4.8%68.5M-2.21B-24.1M0.646.361,464,860938,2608,138,8205,701,300
2007-01-23$11.96$11.9938.8%11.1%0.0%0.0%38.7%1.7%-4.7%69.3M-2.13B-24.5M0.588.141,334,780778,9408,589,5406,081,120
2007-01-24$12.46$11.9937.8%10.8%0.0%0.0%37.9%2.4%-5.9%113.6M-3.64B-25.3M0.468.002,552,0601,178,0208,926,3206,330,640
2007-01-25$12.19$11.9940.9%11.7%29.4%0.0%40.8%1.3%-6.8%106.3M-3.07B-26.5M0.527.462,221,1401,144,3009,694,1606,568,960
2007-01-26$12.38$11.9941.2%11.8%28.9%0.0%41.2%2.9%-7.3%138.8M-3.86B-27.5M0.386.332,119,800801,64010,306,9406,832,900
2007-01-29$12.30$11.9945.1%12.9%28.3%0.0%44.8%2.7%-9.4%141.9M-3.68B-27.8M0.527.031,796,720931,90010,972,0007,100,660
2007-01-30$12.35$11.9945.2%13.0%27.4%0.0%44.2%4.6%-9.5%151.2M-3.77B-27.9M0.516.761,974,2201,006,64011,418,8007,426,780
2007-01-31$12.52$11.9943.9%12.6%27.0%0.0%43.6%3.9%-9.3%185.0M-4.48B-28.3M0.635.745,244,4403,328,72012,038,1807,768,640