GOOG Options History — October 2007 In October 2007, GOOG traded between $14.46 and $17.66. ATM implied volatility averaged 33.3%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 12.1% (HV 20d: 21.2%). Max pain ranged from $13.24 to $15.98. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.59.
Notable Days 2007-10-19 : Highest Volume — 16,743,840 contracts2007-10-19 : Largest IV drop — 17.3% change2007-10-15 : Highest IV Rank — 94.1%2007-10-15 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $15.87 $14.46 $17.66 $14.55 $17.66 Max Pain $14.91 $13.24 $15.98 $13.24 $15.98 ATM IV 33.3% 24.2% 43.5% 31.1% 27.5% Expected Move 9.2% 6.9% 12.5% 8.9% 7.9% HV 20d 21.2% 16.3% 26.1% 16.9% 25.4% HV 60d 21.2% 20.0% 22.4% 20.7% 21.5% IV Rank 59.0% 27.6% 94.1% 51.5% 38.9% IV Percentile 80.2% 40.1% 98.5% 86.6% 60.3% Term Structure -2.0% -5.1% 2.1% -3.5% -0.0% VWIV 32.5% 24.8% 43.8% 31.2% 28.6% Skew 25d 0.7% -1.5% 3.6% 2.1% 1.4% Skew 10d 1.1% -2.6% 5.6% 3.6% 3.4% Call IV 25d 32.2% 24.4% 44.1% 30.1% 27.8% Put IV 25d 32.9% 25.1% 44.0% 32.2% 29.1% Bid-Ask Spread % 11.01 5.35 19.23 7.61 12.04 Gamma HHI 0.08 0.06 0.17 0.08 0.10 Net GEX 265.4M 165.1M 482.4M 182.9M 322.1M Net DEX -11.16B -15.97B -6.66B -7.06B -15.97B Net VEX -39.6M -43.9M -31.9M -31.9M -43.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.44 0.81 0.55 0.52 Total Volume 5,737,039.13 1,694,740 16,743,840 3,623,700 5,297,300 Total OI 24,785,781.739 18,981,700 34,359,880 18,981,700 26,655,500
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-10-01 $14.55 $13.24 31.1% 8.9% 16.9% 51.5% 31.2% 2.1% -3.5% 182.9M -7.06B -31.9M 0.55 7.61 2,344,860 1,278,840 10,280,680 8,701,020 2007-10-02 $14.60 $13.49 32.0% 9.2% 16.3% 54.6% 32.2% -0.0% -2.9% 184.9M -7.26B -32.8M 0.59 5.35 3,404,920 2,019,740 10,597,580 9,053,840 2007-10-03 $14.59 $13.74 32.5% 9.3% 16.4% 56.2% 33.0% -0.8% -4.1% 171.2M -7.03B -33.3M 0.60 7.22 1,681,000 1,016,940 10,820,240 9,556,220 2007-10-04 $14.46 $13.74 32.9% 9.4% 16.4% 57.6% 33.3% -1.5% -3.8% 165.1M -6.66B -34.2M 0.77 8.06 958,960 735,780 11,246,320 9,814,400 2007-10-05 $14.84 $14.24 32.8% 8.1% 17.2% 57.3% 28.4% 1.9% -1.7% 220.4M -8.33B -33.7M 0.59 11.66 2,227,220 1,305,420 11,419,040 10,033,060 2007-10-08 $15.23 $14.49 37.8% 9.0% 17.4% 74.4% 31.7% 1.3% -1.8% 245.3M -9.83B -33.9M 0.52 11.59 3,177,580 1,665,420 11,639,060 10,223,060 2007-10-09 $15.36 $14.49 40.4% 9.3% 17.3% 83.6% 33.6% -1.1% -1.7% 237.6M -10.33B -36.0M 0.55 9.02 5,219,380 2,860,380 12,042,280 10,639,380 2007-10-10 $15.62 $14.74 43.0% 9.3% 17.4% 92.3% 33.0% -1.0% -2.3% 267.8M -11.54B -37.0M 0.47 10.97 3,960,080 1,854,580 13,045,360 11,379,960 2007-10-11 $15.53 $14.74 37.5% 10.8% 18.1% 73.5% 38.9% -1.1% -3.0% 229.9M -10.82B -40.6M 0.44 13.57 6,913,300 3,014,500 13,484,160 11,812,040 2007-10-12 $15.92 $14.99 37.6% 10.8% 18.9% 73.8% 38.2% 0.8% -3.6% 271.6M -12.59B -41.8M 0.44 15.66 4,208,240 1,849,000 14,482,980 12,691,640 2007-10-15 $15.49 $14.99 43.5% 12.5% 22.4% 94.1% 43.8% -0.1% -4.9% 209.0M -10.36B -43.8M 0.64 9.18 3,050,800 1,966,560 14,947,540 13,059,800 2007-10-16 $15.38 $14.99 40.8% 11.7% 22.6% 84.7% 41.3% 0.4% -4.0% 210.4M -9.83B -43.7M 0.58 10.10 2,885,360 1,684,360 15,373,560 13,463,320 2007-10-17 $15.82 $14.99 38.3% 11.0% 23.3% 76.3% 38.8% 0.8% -4.2% 284.5M -12.32B -43.0M 0.63 11.61 3,466,300 2,181,180 15,883,380 13,894,400 2007-10-18 $15.97 $14.99 38.0% 10.9% 23.3% 75.0% 38.0% 3.6% -5.1% 310.7M -13.08B -42.4M 0.76 19.23 7,712,420 5,882,280 16,215,080 14,220,720 2007-10-19 $16.10 $15.23 31.4% 9.0% 23.2% 52.5% 31.7% 2.5% -1.3% 482.4M -14.30B -41.7M 0.65 11.03 10,159,300 6,584,540 18,239,180 16,120,700 2007-10-22 $16.25 $15.48 27.8% 8.0% 23.0% 39.9% 28.5% 2.1% -0.1% 271.6M -10.44B -40.7M 0.81 11.01 2,009,400 1,630,060 12,673,820 9,623,620 2007-10-23 $16.88 $15.48 28.4% 8.1% 25.4% 42.1% 29.1% 1.3% -0.6% 293.3M -13.01B -40.9M 0.57 11.18 3,645,800 2,091,400 12,839,300 10,195,540 2007-10-24 $16.88 $15.73 28.5% 8.2% 25.3% 42.4% 28.8% 0.4% 0.4% 284.5M -12.77B -43.5M 0.58 12.93 2,944,580 1,710,580 13,175,560 10,696,000 2007-10-25 $16.70 $15.73 27.6% 7.9% 26.1% 39.5% 28.0% 0.0% 0.7% 277.0M -11.96B -43.7M 0.59 12.02 1,958,240 1,163,680 13,411,160 10,982,540 2007-10-26 $16.85 $15.73 24.6% 7.0% 25.9% 28.9% 25.1% 0.5% 2.1% 309.7M -12.75B -43.9M 0.48 8.22 1,651,560 786,180 13,719,500 11,212,000 2007-10-29 $16.96 $15.73 24.2% 6.9% 25.0% 27.6% 24.8% 0.7% 1.5% 333.1M -13.38B -41.7M 0.60 12.14 1,470,420 888,440 13,727,680 11,214,000 2007-10-30 $17.35 $15.98 28.0% 8.0% 25.5% 40.5% 28.7% 1.2% -1.7% 339.1M -15.12B -42.0M 0.66 11.88 4,490,720 2,944,300 14,004,720 11,562,040 2007-10-31 $17.66 $15.98 27.5% 7.9% 25.4% 38.9% 28.6% 1.4% -0.0% 322.1M -15.97B -43.9M 0.52 12.04 3,481,440 1,815,860 14,374,280 12,281,220
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