GOOG Options History — April 2007

In April 2007, GOOG traded between $11.45 and $12.05. ATM implied volatility averaged 27.9%. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 10.2% (HV 20d: 17.7%). Max pain ranged from $11.49 to $11.74. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2007-04-20: Highest Volume — 15,162,920 contracts
  • 2007-04-20: Largest IV drop — 26.0% change
  • 2007-04-04: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.80$11.45$12.05$11.45$11.77
Max Pain$11.58$11.49$11.74$11.49$11.74
ATM IV27.9%19.4%37.1%30.7%20.7%
Expected Move7.7%5.5%9.0%8.8%5.9%
HV 20d17.7%14.9%21.3%21.3%17.6%
HV 60d23.6%20.7%24.9%24.1%20.7%
Term Structure-1.3%-4.5%1.9%-4.5%1.7%
VWIV26.9%19.8%31.7%31.0%21.0%
Skew 25d1.9%0.4%3.4%1.5%1.1%
Skew 10d4.0%1.0%6.8%2.7%2.6%
Call IV 25d26.1%19.5%30.9%30.4%20.6%
Put IV 25d28.0%20.4%33.0%31.8%21.6%
Bid-Ask Spread %9.086.3812.8412.849.76
Gamma HHI0.090.070.320.070.09
Net GEX135.3M67.6M273.3M67.6M104.6M
Net DEX-2.86B-5.26B-1.67B-1.67B-1.92B
Net VEX-27.5M-28.8M-25.9M-27.5M-26.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.501.090.550.81
Total Volume3,460,2341,386,06015,162,9201,819,7402,475,900
Total OI19,482,51615,940,44024,885,26017,593,90018,834,420

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$11.45$11.4930.7%8.8%21.3%0.0%31.0%1.5%-4.5%67.6M-1.67B-27.5M0.5512.841,176,500643,2409,934,9207,658,980
2007-04-03$11.80$11.4931.0%8.9%19.9%0.0%31.3%1.8%-4.5%127.9M-3.16B-28.2M0.628.022,274,4001,403,72010,204,3607,774,800
2007-04-04$11.76$11.4931.5%9.0%19.9%0.0%31.7%1.7%-4.3%118.0M-2.90B-28.6M0.727.491,097,300790,74010,456,5608,049,960
2007-04-05$11.78$11.4931.1%8.9%19.8%0.0%31.3%2.1%-4.1%127.3M-3.00B-28.8M0.698.26822,540563,52010,798,7008,201,040
2007-04-09$11.69$11.4934.1%7.8%20.0%0.0%26.9%2.6%-1.0%118.6M-2.69B-27.8M0.669.47940,500621,38011,008,4808,245,000
2007-04-10$11.65$11.4934.8%8.0%20.0%0.0%28.1%2.8%-1.2%114.2M-2.52B-27.8M0.8310.43793,800660,58011,210,1608,316,900
2007-04-11$11.60$11.4937.1%8.4%17.4%0.0%29.0%2.3%-1.3%101.7M-2.29B-28.0M0.5511.361,251,040687,24011,416,4408,524,040
2007-04-12$11.67$11.4928.9%8.3%17.2%0.0%28.7%2.7%-1.4%124.4M-2.67B-28.2M0.659.74921,600602,92011,701,5608,620,500
2007-04-13$11.65$11.4929.0%8.3%17.1%0.0%29.3%2.7%-1.5%114.2M-2.48B-27.7M0.7510.281,056,980794,28011,779,1208,742,660
2007-04-16$11.84$11.4930.8%8.8%17.0%0.0%29.9%3.4%-2.4%164.2M-3.46B-27.3M0.636.832,424,4201,518,00011,904,8208,841,560
2007-04-17$11.81$11.4931.0%8.9%16.7%0.0%30.9%3.2%-2.5%157.8M-3.30B-27.5M0.719.771,561,3201,105,06012,312,9809,112,780
2007-04-18$11.89$11.4930.6%8.8%16.5%0.0%30.6%3.3%-2.8%172.7M-3.63B-27.4M0.579.483,250,0401,852,34012,435,2609,378,000
2007-04-19$11.78$11.4931.4%9.0%14.9%0.0%31.6%2.6%-2.5%162.3M-3.16B-27.6M0.7911.615,592,9004,440,92013,201,7009,702,460
2007-04-20$12.05$11.7423.2%6.7%16.3%0.0%23.7%0.5%0.1%273.3M-5.26B-25.9M0.649.329,263,3805,899,54014,109,42010,775,840
2007-04-23$11.97$11.7422.1%6.3%16.6%0.0%22.6%0.4%0.6%114.5M-2.48B-26.2M0.728.041,936,4201,386,2209,154,3806,786,060
2007-04-24$11.93$11.7420.7%5.9%16.6%0.0%20.5%0.5%1.2%116.8M-2.35B-26.5M1.096.981,443,3601,578,4209,658,1607,144,180
2007-04-25$11.94$11.7420.4%5.8%16.5%0.0%20.7%0.8%1.3%122.9M-2.52B-26.9M0.547.341,390,460756,64010,060,5807,301,900
2007-04-26$12.02$11.7419.9%5.7%16.5%0.0%20.2%1.1%1.2%147.3M-2.87B-27.2M0.506.381,652,620829,66010,359,7007,463,260
2007-04-27$11.96$11.7419.4%5.5%16.6%0.0%19.8%0.9%1.9%155.8M-2.79B-27.6M0.598.251,099,700645,08010,838,4607,630,220
2007-04-30$11.77$11.7420.7%5.9%17.6%0.0%21.0%1.1%1.7%104.6M-1.92B-26.9M0.819.761,367,7601,108,14011,031,5007,802,920