GOOG Options History — November 2007 In November 2007, GOOG traded between $15.63 and $18.53. ATM implied volatility averaged 35.9%, placing in the 66.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.5% (HV 20d: 38.5%). Max pain ranged from $15.98 to $16.48. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.62.
Notable Days 2007-11-08 : Highest Volume — 13,891,520 contracts2007-11-12 : Largest IV spike — 33.9% change2007-11-12 : Highest IV Rank — 100.0%2007-11-26 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $16.89 $15.63 $18.53 $17.56 $17.31 Max Pain $16.21 $15.98 $16.48 $16.23 $16.23 ATM IV 35.9% 27.5% 46.3% 30.9% 37.9% Expected Move 10.4% 7.9% 11.7% 8.9% 10.9% HV 20d 38.5% 24.0% 45.4% 25.1% 45.0% HV 60d 27.7% 20.7% 31.5% 21.4% 31.4% IV Rank 66.2% 39.1% 100.0% 50.7% 72.1% IV Percentile 86.8% 60.2% 100.0% 79.5% 90.4% Term Structure 1.0% -0.9% 3.1% -0.3% 1.5% VWIV 36.6% 28.4% 40.8% 31.3% 37.7% Skew 25d 2.9% -1.1% 6.2% 1.5% 5.0% Skew 10d 5.9% -2.0% 12.4% 3.2% 12.4% Call IV 25d 35.3% 27.2% 40.4% 30.5% 35.5% Put IV 25d 38.2% 29.2% 44.0% 32.0% 40.5% Bid-Ask Spread % 16.30 9.78 23.67 9.78 10.67 Gamma HHI 0.07 0.05 0.10 0.09 0.07 Net GEX 185.0M -10.6M 360.2M 298.9M 221.4M Net DEX -10.35B -20.72B -3.03B -15.41B -11.44B Net VEX -51.3M -54.7M -45.3M -47.1M -54.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.42 0.97 0.52 0.63 Total Volume 6,457,199.048 1,893,920 13,891,520 5,910,060 5,363,920 Total OI 30,042,520 25,139,200 35,664,400 27,642,000 29,230,120
Daily Data (21 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 2007-11-01 $17.56 $16.23 30.9% 8.9% 25.1% 50.7% 31.3% 1.5% -0.3% 298.9M -15.41B -47.1M 0.52 9.78 3,892,400 2,017,660 14,879,900 12,762,100 2007-11-02 $17.76 $16.23 27.5% 7.9% 24.4% 39.1% 28.4% 2.0% 1.8% 342.0M -16.66B -47.3M 0.61 10.31 2,911,860 1,774,500 15,414,920 13,100,080 2007-11-05 $18.12 $15.98 31.0% 8.8% 24.0% 51.0% 31.5% -0.7% 1.2% 343.7M -18.53B -46.1M 0.45 17.04 5,958,120 2,679,280 15,578,240 13,321,620 2007-11-06 $18.53 $15.98 30.8% 8.8% 24.4% 50.3% 31.3% -0.6% 1.0% 360.2M -20.72B -45.3M 0.50 15.49 5,087,400 2,532,000 16,146,820 13,738,760 2007-11-07 $18.31 $16.23 37.4% 10.1% 25.4% 73.1% 36.1% -0.5% -0.3% 310.6M -18.71B -50.1M 0.57 17.09 4,779,620 2,732,120 16,482,580 14,162,900 2007-11-08 $17.33 $16.23 38.9% 11.1% 33.6% 78.2% 39.5% -1.1% -0.8% 216.0M -12.67B -54.3M 0.64 23.67 8,489,960 5,401,560 17,205,620 14,634,780 2007-11-09 $16.58 $16.48 34.6% 10.7% 37.1% 63.4% 37.9% 1.2% -0.3% 98.7M -7.57B -54.4M 0.42 18.26 4,950,020 2,079,640 18,146,640 15,145,940 2007-11-12 $15.79 $16.23 46.3% 11.3% 40.0% 100.0% 39.4% 3.0% -0.9% 24.8M -3.03B -50.8M 0.75 15.06 5,078,960 3,791,420 18,788,640 15,144,160 2007-11-13 $16.50 $16.23 32.3% 10.8% 42.7% 53.3% 38.3% 2.5% 0.2% 130.2M -7.79B -52.7M 0.68 14.37 3,610,120 2,462,660 19,235,260 15,165,920 2007-11-14 $16.03 $16.23 33.7% 11.2% 43.2% 58.1% 39.1% 2.4% 0.3% 57.3M -4.83B -51.8M 0.56 16.25 4,885,400 2,743,660 19,591,020 15,145,980 2007-11-15 $15.73 $16.23 39.8% 11.4% 43.6% 78.2% 40.0% 2.9% 1.0% -10.6M -3.10B -51.3M 0.97 15.24 3,321,480 3,226,460 20,397,500 15,266,900 2007-11-16 $15.82 $16.23 39.3% 11.3% 43.5% 76.5% 39.4% 3.4% 1.1% 52.7M -4.27B -50.8M 0.96 17.22 6,112,860 5,846,080 20,667,880 14,944,080 2007-11-19 $15.63 $16.23 40.1% 11.5% 43.5% 79.4% 40.8% 3.1% 0.4% 112.4M -5.03B -50.0M 0.65 18.43 1,813,020 1,183,580 13,947,780 11,191,420 2007-11-20 $16.20 $15.98 36.4% 10.4% 43.3% 67.1% 37.0% 4.2% 2.4% 146.5M -7.12B -51.5M 0.57 22.62 3,691,680 2,105,980 14,283,860 11,420,960 2007-11-21 $16.50 $16.23 36.4% 10.4% 43.9% 67.2% 37.1% 5.3% 3.0% 164.0M -8.23B -52.7M 0.69 16.18 2,395,560 1,651,480 14,667,460 11,772,200 2007-11-23 $16.90 $16.23 36.2% 10.4% 44.6% 66.5% 36.9% 4.8% 3.1% 184.0M -9.74B -53.5M 0.45 20.30 1,308,300 585,620 14,929,440 12,135,840 2007-11-26 $16.63 $16.23 40.7% 11.7% 44.9% 81.4% 40.8% 5.5% 1.0% 170.4M -8.89B -53.7M 0.57 19.75 3,054,420 1,744,460 15,146,180 12,256,840 2007-11-27 $16.82 $16.23 37.8% 10.8% 45.0% 71.7% 38.2% 4.6% 1.9% 189.7M -9.68B -53.2M 0.69 18.18 3,131,520 2,171,680 15,459,560 12,440,180 2007-11-28 $17.29 $16.23 33.5% 9.6% 45.4% 57.6% 34.1% 6.2% 1.1% 231.1M -11.70B -52.5M 0.56 12.45 2,895,980 1,633,440 15,673,020 12,542,240 2007-11-29 $17.41 $16.23 33.3% 9.5% 45.0% 56.6% 34.1% 5.7% 2.6% 240.8M -12.27B -52.7M 0.59 13.98 2,827,900 1,677,400 15,918,300 12,809,280 2007-11-30 $17.31 $16.23 37.9% 10.9% 45.0% 72.1% 37.7% 5.0% 1.5% 221.4M -11.44B -54.7M 0.63 10.67 3,282,040 2,081,880 16,077,460 13,152,660
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