GOOG Options History — September 2007

In September 2007, GOOG traded between $12.85 and $14.21. ATM implied volatility averaged 26.2%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 9.0% (HV 20d: 17.2%). Max pain ranged from $12.49 to $13.24. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.67.

Notable Days

  • 2007-09-21: Highest Volume — 7,667,300 contracts
  • 2007-09-13: Largest IV spike — 50.2% change
  • 2007-09-20: Highest IV Rank — 49.5%
  • 2007-09-10: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.50$12.85$14.21$13.12$14.17
Max Pain$12.80$12.49$13.24$12.49$13.24
ATM IV26.2%19.8%30.6%20.0%27.9%
Expected Move8.1%5.7%9.0%5.7%8.0%
HV 20d17.2%15.0%20.9%20.9%15.1%
HV 60d20.0%19.6%20.4%20.0%20.0%
IV Rank34.6%12.4%49.5%13.2%40.3%
IV Percentile57.9%10.9%82.8%13.7%69.4%
Term Structure-1.3%-4.4%6.4%5.9%-1.0%
VWIV28.6%20.9%31.7%20.9%28.2%
Skew 25d4.0%1.5%5.8%3.5%1.8%
Skew 10d7.8%3.2%11.8%7.1%3.2%
Call IV 25d26.3%19.2%29.4%19.2%27.3%
Put IV 25d30.3%22.7%33.6%22.7%29.1%
Bid-Ask Spread %10.076.5917.306.598.08
Gamma HHI0.150.070.840.100.08
Net GEX282.4M97.1M1.85B181.4M144.2M
Net DEX-5.32B-9.65B-2.94B-4.42B-5.78B
Net VEX-30.9M-32.3M-29.2M-30.7M-32.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.430.910.670.64
Total Volume2,878,869.4741,440,3207,667,3003,141,4201,581,100
Total OI21,671,835.78916,944,12025,696,26020,984,20018,807,240

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$13.12$12.4920.0%5.7%20.9%13.2%20.9%3.5%5.9%181.4M-4.42B-30.7M0.676.591,876,8801,264,54011,689,4009,294,800
2007-09-05$13.18$12.4920.8%6.0%20.6%15.8%21.2%3.7%6.4%188.9M-4.62B-31.3M0.798.611,397,4401,101,86011,869,3009,489,720
2007-09-06$13.07$12.4922.6%6.5%19.7%22.2%22.1%3.6%6.1%158.7M-4.04B-31.8M0.676.931,464,500978,06012,067,8609,742,700
2007-09-07$12.97$12.7422.0%8.6%18.3%19.9%30.7%5.8%-2.8%135.2M-3.51B-32.2M0.9110.321,101,9801,000,04012,277,9409,797,420
2007-09-10$12.85$12.7422.8%9.0%18.7%22.9%31.7%5.8%-2.9%97.1M-2.94B-31.3M0.658.721,356,360879,84012,410,9209,915,540
2007-09-11$13.02$12.7420.9%8.7%19.3%16.3%30.4%5.7%-2.5%143.7M-3.72B-31.4M0.7710.70961,720736,74012,602,02010,026,900
2007-09-12$13.05$12.7419.8%8.5%18.5%12.4%29.8%5.6%-3.1%150.5M-3.86B-31.0M0.6610.751,210,600800,84012,630,02010,150,060
2007-09-13$13.11$12.7429.7%8.5%16.4%46.6%30.1%5.5%-3.0%162.1M-4.09B-30.7M0.769.10818,260622,06012,835,14010,266,860
2007-09-14$13.21$12.7429.4%8.4%15.5%45.4%30.0%5.7%-2.5%193.4M-4.62B-30.8M0.6810.091,279,920867,98012,922,38010,326,560
2007-09-17$13.12$12.7429.7%8.5%15.0%46.5%30.8%5.8%-3.2%150.6M-4.06B-29.8M0.718.721,131,980799,96012,984,02010,454,040
2007-09-18$13.37$12.7428.4%8.1%15.8%41.9%29.2%5.4%-2.6%293.4M-5.76B-29.3M0.7414.451,802,4801,336,86013,230,38010,396,620
2007-09-19$13.66$12.7427.7%8.0%16.4%39.8%29.4%4.5%-2.5%453.0M-7.62B-29.2M0.5617.304,035,1202,268,70013,299,20010,482,760
2007-09-20$13.81$12.7430.6%8.8%16.3%49.5%30.5%3.2%-4.4%469.9M-8.70B-29.9M0.4311.933,603,0801,542,62013,651,84011,138,880
2007-09-21$13.99$12.7429.0%8.3%16.5%44.1%29.3%2.8%-3.6%1.85B-9.65B-30.0M0.5913.534,828,9802,838,32013,978,80011,717,460
2007-09-24$14.19$12.9929.1%8.3%16.8%44.4%29.5%2.3%-2.5%147.7M-5.89B-30.4M0.5910.062,481,6801,453,7809,233,6607,710,460
2007-09-25$14.21$12.9929.0%8.3%16.6%44.1%29.6%1.8%-1.8%154.6M-6.04B-31.6M0.728.17996,000720,7609,715,3808,064,060
2007-09-26$14.19$13.2429.7%8.5%15.3%46.5%30.1%1.5%-2.5%147.0M-5.88B-31.9M0.648.951,252,820802,8009,823,3008,290,240
2007-09-27$14.17$13.2429.5%8.5%15.3%46.0%29.7%1.6%-2.6%144.6M-5.80B-32.1M0.568.26965,160536,7009,994,1008,476,900
2007-09-28$14.17$13.2427.9%8.0%15.1%40.3%28.2%1.8%-1.0%144.2M-5.78B-32.3M0.648.08961,320619,78010,142,9808,664,260