GOOG Options History — August 2007

In August 2007, GOOG traded between $12.28 and $13.13. ATM implied volatility averaged 22.8%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.3% (HV 20d: 22.5%). Max pain ranged from $12.49 to $12.74. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-08-16: Highest Volume — 7,056,120 contracts
  • 2007-08-09: Largest IV spike — 33.7% change
  • 2007-08-16: Highest IV Rank — 39.3%
  • 2007-08-16: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.73$12.28$13.13$12.81$12.87
Max Pain$12.54$12.49$12.74$12.74$12.49
ATM IV22.8%18.8%27.6%26.5%19.1%
Expected Move6.7%5.5%7.9%7.6%5.5%
HV 20d22.5%19.5%25.9%22.7%20.4%
HV 60d19.9%19.3%20.5%19.5%19.6%
IV Rank22.6%8.8%39.3%35.6%9.9%
IV Percentile32.6%3.3%68.6%58.6%6.0%
Term Structure3.8%-1.0%7.3%-1.0%7.3%
VWIV23.4%19.3%27.6%26.2%20.0%
Skew 25d4.0%2.3%5.6%4.1%3.8%
Skew 10d7.9%4.3%10.5%7.9%8.7%
Call IV 25d21.3%17.7%24.8%24.2%18.1%
Put IV 25d25.3%21.2%30.4%28.3%21.9%
Bid-Ask Spread %10.175.7415.7310.798.98
Gamma HHI0.100.060.380.060.08
Net GEX46.5M-154.0M156.0M65.5M112.9M
Net DEX-2.44B-4.30B276.6M-2.73B-3.13B
Net VEX-31.6M-33.3M-30.6M-33.3M-31.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.581.310.780.59
Total Volume2,602,621.7391,173,5007,056,1202,593,3601,492,220
Total OI21,835,126.95717,610,32025,622,12021,822,32020,689,080

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$12.81$12.7426.5%7.6%22.7%35.6%26.2%4.1%-1.0%65.5M-2.73B-33.3M0.7810.791,460,0601,133,30012,433,6609,388,660
2007-08-02$12.76$12.7425.4%7.3%21.9%31.7%25.6%2.8%-0.3%47.9M-2.36B-32.7M0.838.52832,840687,56012,560,1809,492,520
2007-08-03$12.56$12.7424.9%7.1%22.4%30.0%24.5%2.3%-0.3%14.3M-1.61B-32.5M0.807.991,009,320808,32012,723,8409,597,500
2007-08-06$12.74$12.4923.5%7.0%23.0%25.1%25.1%3.3%2.8%32.9M-2.24B-31.6M0.9010.521,422,4601,282,28012,784,4209,676,180
2007-08-07$12.89$12.4921.5%6.4%23.6%18.3%22.5%3.6%4.1%75.3M-3.04B-31.3M1.1010.001,301,7401,432,08012,955,9009,858,960
2007-08-08$13.13$12.4918.8%6.1%24.7%8.8%21.8%3.7%4.1%156.0M-4.30B-30.6M1.0115.731,512,6801,528,12013,138,8009,946,740
2007-08-09$12.86$12.4925.1%7.6%25.6%30.6%25.8%4.4%1.1%69.5M-3.00B-32.5M0.7413.662,089,1601,546,42013,376,96010,040,720
2007-08-10$12.88$12.4920.1%7.0%25.0%13.4%25.4%5.0%3.5%78.4M-2.89B-33.2M1.1112.071,635,1201,808,92013,905,90010,139,360
2007-08-13$12.87$12.7421.6%6.6%25.0%18.6%23.4%4.7%3.7%96.4M-2.96B-31.7M0.6010.791,412,660849,32014,289,56010,361,360
2007-08-14$12.70$12.7423.2%6.6%25.1%24.2%23.2%4.0%4.7%-4.2M-1.99B-31.2M0.9311.801,031,320959,04014,536,84010,381,900
2007-08-15$12.43$12.4925.9%7.5%25.8%33.5%26.2%4.3%3.2%-135.8M-422.8M-31.5M1.0110.461,960,6801,972,50014,696,36010,517,220
2007-08-16$12.28$12.4927.6%7.9%25.9%39.3%27.6%5.6%3.2%-123.3M276.6M-31.2M1.0813.223,384,2203,671,90014,915,54010,548,180
2007-08-17$12.49$12.4924.6%7.0%20.1%28.8%24.9%5.1%3.8%-154.0M-1.44B-31.0M0.6713.243,927,0402,645,84015,219,08010,403,040
2007-08-20$12.44$12.4923.4%6.7%19.5%24.8%23.8%3.7%5.5%34.7M-1.62B-30.7M0.9512.871,162,7201,105,9809,680,4007,929,920
2007-08-21$12.65$12.4922.3%6.4%20.6%21.1%22.6%4.0%5.4%63.3M-2.43B-31.5M0.8411.70929,120781,34010,102,4608,243,560
2007-08-22$12.81$12.4921.9%6.3%20.9%19.7%21.8%3.5%4.8%83.8M-2.99B-31.4M0.896.021,207,6801,070,54010,318,4608,385,620
2007-08-23$12.79$12.4921.1%6.0%20.8%16.8%21.4%3.3%5.7%84.0M-2.92B-31.6M0.829.13826,260678,36010,527,2808,492,800
2007-08-24$12.86$12.4919.8%5.7%20.7%12.3%19.3%3.6%5.6%99.0M-3.17B-31.1M0.617.29945,580580,22010,642,2008,658,160
2007-08-27$12.82$12.4920.7%5.9%20.6%15.5%20.4%4.0%5.2%102.4M-3.06B-31.1M0.718.07915,200646,64010,964,2808,814,200
2007-08-28$12.65$12.4923.2%6.7%20.7%24.2%23.8%4.8%4.2%76.0M-2.40B-31.5M1.315.74729,480954,80011,171,6408,854,880
2007-08-29$12.81$12.4921.1%6.0%21.1%16.7%20.8%4.1%5.5%100.9M-2.90B-31.3M0.618.68840,200515,56011,280,5009,049,160
2007-08-30$12.77$12.4922.2%6.4%21.1%20.8%21.8%4.3%5.6%94.5M-2.82B-31.4M0.586.67742,580430,92011,405,2809,108,660
2007-08-31$12.87$12.4919.1%5.5%20.4%9.9%20.0%3.8%7.3%112.9M-3.13B-31.1M0.598.98935,580556,64011,529,6809,159,400