GOOG Options History — June 2007

In June 2007, GOOG traded between $12.50 and $13.24. ATM implied volatility averaged 23.6%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.9% (HV 20d: 17.7%). Max pain ranged from $11.99 to $12.74. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-06-05: Highest Volume — 8,934,260 contracts
  • 2007-06-14: Largest IV spike — 57.9% change
  • 2007-06-07: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.86$12.50$13.24$12.50$13.05
Max Pain$12.36$11.99$12.74$11.99$12.74
ATM IV23.6%16.2%27.1%20.1%26.2%
Expected Move7.5%5.7%8.4%5.7%7.5%
HV 20d17.7%15.9%20.1%18.9%16.2%
HV 60d17.5%16.7%18.5%17.9%16.7%
Term Structure-0.6%-2.6%6.8%6.8%-0.3%
VWIV26.6%20.6%29.5%20.6%26.5%
Skew 25d0.5%-0.0%1.4%0.6%0.2%
Skew 10d1.1%-0.0%2.6%1.5%0.3%
Call IV 25d26.4%20.4%29.5%20.4%26.3%
Put IV 25d26.9%21.0%29.8%21.0%26.6%
Bid-Ask Spread %8.994.4211.824.429.71
Gamma HHI0.110.050.210.140.07
Net GEX163.9M83.8M320.9M258.9M118.4M
Net DEX-5.11B-7.64B-3.22B-5.27B-4.18B
Net VEX-30.3M-32.5M-28.3M-29.2M-32.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.520.800.670.70
Total Volume4,292,146.6671,630,7808,934,2603,411,3001,802,120
Total OI20,652,090.47615,218,06025,249,34020,677,34019,613,760

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$12.50$11.9920.1%5.7%18.9%0.0%20.6%0.6%6.8%258.9M-5.27B-29.2M0.674.422,037,6001,373,70011,597,3009,080,040
2007-06-04$12.66$11.9921.4%7.9%19.0%0.0%27.6%1.3%-1.8%306.8M-6.17B-29.2M0.578.133,245,4401,860,86011,831,3409,203,680
2007-06-05$12.96$11.9923.2%8.1%19.6%0.0%28.5%1.0%-1.5%320.9M-7.64B-29.3M0.586.735,640,2803,293,98011,930,1209,535,240
2007-06-06$12.94$11.9922.9%8.3%19.6%0.0%29.3%0.5%-1.9%286.3M-7.58B-30.2M0.626.753,900,6202,432,02012,315,78010,259,360
2007-06-07$12.86$11.9922.6%8.4%20.1%0.0%29.5%0.3%-2.6%252.0M-6.85B-31.1M0.657.135,015,1403,262,46012,736,44010,661,900
2007-06-08$12.87$12.2418.4%7.7%18.5%0.0%27.3%0.3%-1.1%272.5M-6.78B-30.0M0.626.733,529,3602,191,54012,903,06010,789,620
2007-06-11$12.77$12.2418.6%7.6%18.9%0.0%26.9%0.2%-0.8%223.4M-6.04B-29.5M0.6410.392,711,8601,747,90013,176,08010,979,280
2007-06-12$12.61$12.2418.8%7.4%19.2%0.0%26.1%0.3%-0.5%90.1M-4.68B-28.9M0.6211.483,634,3602,261,78013,333,32011,142,180
2007-06-13$12.62$12.2416.2%7.4%18.7%0.0%26.3%0.3%-0.8%116.0M-4.90B-28.9M0.6511.173,701,3002,390,22013,468,14011,139,440
2007-06-14$12.56$12.2425.6%7.3%16.1%0.0%25.7%0.4%-0.4%93.9M-4.66B-28.5M0.7811.822,208,3601,723,96013,744,46011,194,980
2007-06-15$12.63$12.2425.5%7.3%15.9%0.0%25.9%0.2%-0.6%83.8M-5.17B-28.3M0.8011.273,083,0402,452,94013,996,54011,252,800
2007-06-18$12.87$12.4927.1%7.8%16.6%0.0%27.5%0.6%-1.5%86.3M-3.55B-29.5M0.5310.241,871,740988,5408,378,6606,839,400
2007-06-19$12.84$12.4926.6%7.6%16.7%0.0%26.8%0.8%-0.8%97.9M-3.61B-30.2M0.678.241,308,060878,8408,930,7207,148,740
2007-06-20$12.74$12.4926.2%7.5%17.1%0.0%26.4%0.6%-0.6%89.5M-3.22B-30.9M0.608.681,201,640717,8809,231,3007,512,140
2007-06-21$12.84$12.4926.2%7.5%17.0%0.0%26.3%0.7%-0.6%102.2M-3.64B-31.3M0.647.331,036,320659,4609,490,9207,654,200
2007-06-22$13.11$12.4925.9%7.4%17.9%0.0%26.0%1.4%-0.4%124.6M-4.57B-31.4M0.589.702,176,7001,269,9009,623,7407,813,880
2007-06-25$13.17$12.7426.8%7.7%17.1%0.0%27.1%0.8%-1.4%129.8M-4.81B-31.4M0.619.213,056,6201,872,6409,866,5808,076,020
2007-06-26$13.24$12.7426.4%7.6%17.1%0.0%26.8%0.8%-1.1%135.7M-5.00B-32.1M0.5210.781,896,580989,82010,220,5408,475,060
2007-06-27$13.14$12.7425.9%7.4%16.0%0.0%26.2%0.1%-0.8%127.7M-4.58B-31.9M0.6410.021,881,7201,197,00010,394,0608,636,620
2007-06-28$13.11$12.7425.5%7.3%16.1%0.0%25.7%-0.0%-0.6%125.3M-4.46B-32.1M0.628.871,009,480621,30010,643,9608,872,500
2007-06-29$13.05$12.7426.2%7.5%16.2%0.0%26.5%0.2%-0.3%118.4M-4.18B-32.5M0.709.711,059,220742,90010,694,3208,919,440