GOOG Options History — May 2007

In May 2007, GOOG traded between $11.44 and $12.45. ATM implied volatility averaged 19.9%. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.5% (HV 20d: 17.3%). Max pain ranged from $11.49 to $11.74. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2007-05-31: Highest Volume — 7,298,620 contracts
  • 2007-05-10: Largest IV spike — 20.1% change
  • 2007-05-10: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.81$11.44$12.45$11.71$12.44
Max Pain$11.73$11.49$11.74$11.74$11.74
ATM IV19.9%18.3%22.1%21.1%20.8%
Expected Move5.8%5.4%6.4%6.0%6.0%
HV 20d17.3%14.2%19.9%17.8%19.4%
HV 60d19.8%17.9%20.8%20.8%17.9%
Term Structure4.2%1.0%5.8%1.0%5.1%
VWIV20.6%19.3%22.3%21.6%21.4%
Skew 25d0.9%0.5%1.4%1.3%0.6%
Skew 10d2.1%1.4%3.9%3.5%2.3%
Call IV 25d20.2%18.6%22.1%20.9%21.2%
Put IV 25d21.1%19.7%22.8%22.3%21.8%
Bid-Ask Spread %7.484.029.437.257.41
Gamma HHI0.130.080.370.080.13
Net GEX111.0M-81.0M274.8M75.9M249.2M
Net DEX-2.28B-5.26B-268.4M-1.56B-5.09B
Net VEX-26.4M-29.1M-24.8M-26.8M-29.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.490.920.730.54
Total Volume3,143,525.4551,496,2807,298,6202,655,3007,298,620
Total OI19,941,649.09115,390,28023,723,90019,174,98020,006,340

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$11.71$11.7421.1%6.0%17.8%0.0%21.6%1.3%1.0%75.9M-1.56B-26.8M0.737.251,537,4601,117,84011,159,7408,015,240
2007-05-02$11.63$11.7420.3%5.8%14.2%0.0%20.8%0.9%1.7%61.1M-1.37B-26.5M0.654.19908,740587,54011,278,7808,168,640
2007-05-03$11.82$11.7419.1%5.5%15.3%0.0%19.6%0.7%1.9%112.9M-2.18B-26.7M0.678.001,281,960860,42011,411,6808,263,140
2007-05-04$11.77$11.7418.3%6.0%15.4%0.0%20.9%1.2%3.9%99.9M-1.91B-27.1M0.648.401,229,060787,22011,632,3408,511,500
2007-05-07$11.67$11.7419.4%6.1%15.5%0.0%21.5%0.9%3.7%57.3M-1.44B-26.4M0.708.66936,860651,66011,733,5608,624,260
2007-05-08$11.66$11.7418.9%5.9%15.5%0.0%20.8%0.7%4.4%37.4M-1.30B-26.1M0.559.281,046,120580,14011,883,8008,730,320
2007-05-09$11.72$11.7418.4%6.0%15.5%0.0%21.0%0.8%3.7%59.9M-1.66B-26.2M0.569.431,740,940982,18012,020,3608,798,140
2007-05-10$11.53$11.7422.1%6.4%16.5%0.0%22.3%0.7%3.3%-8.3M-782.0M-26.3M0.868.071,325,0401,138,82012,423,0608,849,240
2007-05-11$11.66$11.7419.5%5.6%17.0%0.0%19.9%1.0%4.7%34.7M-1.43B-25.9M0.538.671,631,880866,42012,552,3809,000,480
2007-05-14$11.53$11.7420.6%5.9%16.2%0.0%20.7%0.9%4.2%-19.7M-764.1M-25.0M0.898.771,381,6601,223,94012,815,4409,019,180
2007-05-15$11.44$11.7420.4%5.8%16.3%0.0%20.7%0.8%3.8%-81.0M-268.4M-24.8M0.908.651,523,2801,376,38012,999,1409,207,280
2007-05-16$11.80$11.4920.1%5.8%19.9%0.0%20.5%0.9%4.4%250.7M-3.03B-25.5M0.567.813,127,5601,765,84013,247,0809,222,780
2007-05-17$11.76$11.7420.5%5.9%19.7%0.0%20.7%1.0%4.4%272.4M-2.88B-25.7M0.656.822,648,3601,728,04013,698,9209,383,780
2007-05-18$11.75$11.7419.2%5.5%17.8%0.0%19.4%0.9%5.3%274.8M-2.67B-25.4M0.928.212,034,4401,870,86014,140,2809,583,620
2007-05-21$11.75$11.7420.2%5.8%17.7%0.0%20.5%0.7%4.8%65.5M-2.00B-25.1M0.756.292,424,0201,824,2608,694,6406,695,640
2007-05-22$11.88$11.7419.7%5.6%18.1%0.0%20.2%0.6%4.8%95.0M-2.55B-26.3M0.496.191,686,520822,4609,251,0007,233,780
2007-05-23$11.84$11.7420.0%5.7%18.2%0.0%20.3%0.5%4.7%95.9M-2.37B-26.3M0.626.721,794,9201,120,0009,636,0607,356,100
2007-05-24$11.85$11.7419.1%5.5%18.0%0.0%19.3%0.7%4.9%91.6M-2.26B-26.3M0.688.411,425,820969,3209,877,3407,530,360
2007-05-25$12.08$11.7418.9%5.4%19.2%0.0%19.4%1.3%5.8%171.6M-3.46B-27.0M0.748.012,031,7001,499,78010,196,0207,712,580
2007-05-29$12.17$11.7419.8%5.7%18.4%0.0%20.6%1.4%5.7%187.2M-3.82B-27.9M0.685.382,087,0401,410,48010,709,2608,127,640
2007-05-30$12.45$11.7420.6%5.9%19.7%0.0%21.3%1.3%5.3%258.6M-5.26B-28.2M0.634.022,996,2001,875,76010,958,3808,356,980
2007-05-31$12.44$11.7420.8%6.0%19.4%0.0%21.4%0.6%5.1%249.2M-5.09B-29.1M0.547.414,725,9202,572,70011,290,7608,715,580