GOOG Options History — February 2007

In February 2007, GOOG traded between $11.21 and $12.03. ATM implied volatility averaged 24.2%. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 4.0% (HV 20d: 28.2%). Max pain ranged from $11.49 to $12.24. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2007-02-01: Highest Volume — 11,913,580 contracts
  • 2007-02-27: Largest IV spike — 17.0% change
  • 2007-02-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.67$11.21$12.03$12.03$11.23
Max Pain$11.82$11.49$12.24$12.24$11.49
ATM IV24.2%21.6%28.6%28.6%25.5%
Expected Move7.1%6.2%8.2%8.2%7.3%
HV 20d28.2%23.4%30.5%30.5%26.0%
Term Structure3.5%-0.6%5.0%-0.6%3.0%
VWIV24.9%22.2%29.1%29.1%26.0%
Skew 25d1.1%0.4%2.0%0.4%1.7%
Skew 10d2.5%0.4%4.6%0.4%4.6%
Call IV 25d24.5%21.7%28.9%28.9%25.3%
Put IV 25d25.7%22.7%29.5%29.3%27.0%
Bid-Ask Spread %7.825.7010.785.706.04
Gamma HHI0.150.070.850.090.08
Net GEX82.8M-128.3M1.53B104.0M-24.4M
Net DEX-986.8M-2.64B599.0M-1.89B89.8M
Net VEX-24.8M-27.1M-23.3M-26.7M-25.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.461.220.670.89
Total Volume4,418,134.7371,905,84011,913,58011,913,5803,839,320
Total OI22,763,842.10515,639,86026,945,52022,918,66020,594,000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-02-01$12.03$12.2428.6%8.2%30.5%0.0%29.1%0.4%-0.6%104.0M-1.89B-26.7M0.675.707,142,7004,770,88013,935,6808,982,980
2007-02-02$12.03$11.9924.2%7.6%28.2%0.0%26.2%2.0%2.5%96.7M-1.96B-27.1M0.837.802,572,6202,145,30014,521,7009,419,000
2007-02-05$11.67$11.9925.0%7.6%29.9%0.0%26.4%1.6%2.6%-48.7M97.3M-24.9M0.886.983,159,7602,776,54014,576,6809,662,980
2007-02-06$11.78$11.9923.3%7.5%30.1%0.0%25.8%1.5%2.8%-12.2M-609.3M-25.4M0.955.891,872,0001,775,50014,930,6409,807,200
2007-02-07$11.74$11.9922.2%7.2%30.0%0.0%24.4%1.1%3.2%-20.3M-526.1M-25.1M0.996.501,784,2201,765,36015,182,9609,889,960
2007-02-08$11.76$11.9924.5%7.0%29.8%0.0%24.5%1.1%3.9%-277.9K-824.4M-25.6M0.937.341,530,6401,428,38015,601,70010,072,900
2007-02-09$11.54$11.7424.3%7.0%29.2%0.0%24.5%0.4%4.0%-123.1M476.6M-24.5M1.227.562,054,3402,511,66015,757,18010,129,080
2007-02-12$11.45$11.7425.7%7.4%28.7%0.0%25.9%1.2%2.9%-128.3M599.0M-23.9M1.037.752,479,2402,563,00016,049,6409,898,240
2007-02-13$11.47$11.7424.4%7.0%28.8%0.0%24.6%0.9%4.0%-85.7M-4.8M-23.7M1.088.311,556,2001,679,28016,874,0609,698,720
2007-02-14$11.64$11.7423.8%6.8%29.4%0.0%24.1%0.9%4.0%26.0M-1.40B-24.0M0.699.072,873,5201,972,98016,790,7009,691,840
2007-02-15$11.53$11.7424.1%6.9%28.9%0.0%24.4%0.6%4.0%-50.8M-611.4M-23.5M0.758.321,758,5201,323,04017,015,8009,897,640
2007-02-16$11.74$11.7422.7%6.5%29.7%0.0%23.1%0.8%5.0%1.53B-2.64B-23.9M0.518.655,533,7602,823,18017,156,7409,788,780
2007-02-20$11.79$11.7423.2%6.6%29.2%0.0%23.8%1.3%4.7%50.7M-1.86B-23.3M0.767.981,288,040972,8609,386,1406,253,720
2007-02-21$11.88$11.7421.6%6.2%29.3%0.0%22.2%1.1%4.2%74.7M-2.23B-23.7M0.638.962,104,5001,322,5609,812,0006,660,300
2007-02-22$11.88$11.7422.9%6.6%25.0%0.0%23.3%1.2%4.7%86.7M-2.32B-25.0M0.467.242,215,7801,015,02010,490,2007,082,760
2007-02-23$11.75$11.7422.1%6.3%24.1%0.0%22.4%1.1%4.9%74.3M-1.94B-25.9M0.817.621,053,580852,26011,176,2407,311,660
2007-02-26$11.61$11.7423.8%6.8%23.4%0.0%24.1%0.7%4.0%40.7M-1.33B-25.3M0.5610.101,399,160781,06011,371,9207,562,240
2007-02-27$11.21$11.7427.9%8.0%26.0%0.0%28.0%1.9%2.4%-20.1M129.3M-24.9M0.9710.782,663,9002,583,90011,715,9407,763,080
2007-02-28$11.23$11.4925.5%7.3%26.0%0.0%26.0%1.7%3.0%-24.4M89.8M-25.5M0.896.042,035,3601,803,96012,357,8608,236,140