GOOG Options History — March 2007

In March 2007, GOOG traded between $10.96 and $11.61. ATM implied volatility averaged 25.9%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.5% (HV 20d: 24.4%). Max pain ranged from $11.24 to $11.74. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2007-03-14: Highest Volume — 6,135,680 contracts
  • 2007-03-15: Largest IV spike — 40.9% change
  • 2007-03-05: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.31$10.96$11.61$11.19$11.44
Max Pain$11.50$11.24$11.74$11.49$11.49
ATM IV25.9%19.8%29.2%25.5%29.0%
Expected Move8.0%7.2%8.8%7.3%8.3%
HV 20d24.4%21.3%26.7%25.0%21.3%
HV 60d26.2%25.1%27.0%26.9%25.1%
Term Structure-1.3%-3.1%5.2%3.6%-3.1%
VWIV28.0%25.6%30.0%26.0%29.2%
Skew 25d2.0%1.3%2.9%2.1%2.0%
Skew 10d3.9%2.4%5.3%4.5%3.9%
Call IV 25d27.2%25.3%29.3%25.3%28.3%
Put IV 25d29.2%26.8%31.7%27.3%30.3%
Bid-Ask Spread %8.984.8212.346.657.32
Gamma HHI0.090.050.190.080.07
Net GEX17.8M-72.0M78.9M-25.5M64.6M
Net DEX-903.3M-2.22B852.6M55.5M-1.64B
Net VEX-26.1M-28.0M-24.2M-25.8M-27.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.411.450.720.57
Total Volume3,120,120.9091,295,6006,135,6803,740,3001,295,600
Total OI19,762,968.18213,088,36025,146,96021,129,62017,436,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$11.19$11.4925.5%7.3%25.0%0.0%26.0%2.1%3.6%-25.5M55.5M-25.8M0.726.652,180,5001,559,80012,778,2008,351,420
2007-03-02$10.96$11.4925.1%7.2%22.3%0.0%25.6%1.3%5.2%-48.5M852.6M-24.8M0.774.822,238,8801,717,60012,957,3008,418,740
2007-03-05$11.01$11.7427.2%8.8%22.5%0.0%30.0%2.4%-1.5%-37.8M610.4M-24.8M0.8212.321,992,3601,639,04013,354,6608,581,700
2007-03-06$11.43$11.7421.3%7.7%24.8%0.0%27.1%2.3%-1.2%60.1M-1.56B-25.7M0.6812.342,843,2001,932,34013,666,1008,709,340
2007-03-07$11.38$11.7422.4%8.0%24.5%0.0%28.0%2.1%-1.5%50.6M-1.35B-26.9M0.609.602,146,3001,291,50014,173,4808,910,300
2007-03-08$11.36$11.4922.2%8.1%24.5%0.0%28.0%2.1%-1.9%50.6M-1.27B-27.0M0.7711.301,985,5801,529,64014,505,9409,064,620
2007-03-09$11.31$11.4919.9%7.9%24.5%0.0%27.3%2.0%-1.4%12.2M-793.0M-25.6M1.108.321,666,2201,825,82014,261,4809,077,260
2007-03-12$11.36$11.4922.3%8.0%23.7%0.0%27.5%2.1%-1.7%45.0M-1.10B-25.1M0.807.751,241,080996,00014,611,5209,219,940
2007-03-13$11.06$11.4925.3%8.5%25.2%0.0%29.4%2.1%-2.4%-71.7M513.6M-24.2M1.458.272,480,7603,600,88014,775,4009,302,780
2007-03-14$11.19$11.4919.8%8.0%25.6%0.0%28.0%2.6%-1.4%-43.3M-271.3M-24.9M1.0910.402,930,9203,204,76014,972,8409,429,860
2007-03-15$11.14$11.4927.9%8.0%24.9%0.0%28.0%2.3%-1.4%-38.0M-144.1M-25.0M0.898.101,962,8001,755,28015,189,9009,776,880
2007-03-16$11.01$11.4928.4%8.1%25.0%0.0%28.5%1.7%-1.4%-72.0M754.0M-24.9M1.0312.032,686,0802,772,48015,418,3609,728,600
2007-03-19$11.17$11.4927.9%8.0%24.6%0.0%28.1%1.9%-1.2%6.5M-660.5M-24.8M0.679.001,539,8601,031,6407,057,7406,030,620
2007-03-20$11.12$11.4927.4%7.9%24.5%0.0%27.4%1.4%-1.2%5.5M-543.7M-25.3M1.097.17640,920695,6607,544,2206,402,640
2007-03-21$11.40$11.2426.6%7.6%26.2%0.0%27.0%2.9%-1.6%26.6M-1.30B-26.2M0.517.801,748,980893,2207,739,3406,611,880
2007-03-22$11.54$11.2427.0%7.8%26.7%0.0%27.2%2.3%-1.6%53.0M-1.91B-27.1M0.727.771,327,240959,0408,231,0206,847,440
2007-03-23$11.53$11.4927.9%8.0%26.4%0.0%27.9%1.7%-2.0%58.3M-1.89B-27.7M0.418.441,267,780518,9208,543,9807,012,840
2007-03-26$11.61$11.4929.1%8.3%26.2%0.0%29.1%1.8%-2.7%77.1M-2.22B-27.7M0.587.531,253,340732,5808,938,1207,054,200
2007-03-27$11.58$11.4928.8%8.3%22.7%0.0%28.8%1.8%-2.5%78.9M-2.14B-27.9M0.589.60900,180519,8809,199,1007,200,600
2007-03-28$11.54$11.4929.2%8.4%22.8%0.0%29.4%1.4%-2.6%71.4M-1.99B-28.0M0.8011.90776,780620,9809,359,0207,339,300
2007-03-29$11.51$11.4929.1%8.3%22.8%0.0%29.2%2.0%-2.9%67.8M-1.88B-27.8M0.609.131,090,400649,8409,506,7007,493,520
2007-03-30$11.44$11.4929.0%8.3%21.3%0.0%29.2%2.0%-3.1%64.6M-1.64B-27.8M0.577.32826,900468,7009,839,7807,596,620