GOOG Options History — December 2007

In December 2007, GOOG traded between $16.71 and $17.94. ATM implied volatility averaged 30.0%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.3% (HV 20d: 31.4%). Max pain ranged from $13.74 to $16.48. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2007-12-18: Highest Volume — 7,083,500 contracts
  • 2007-12-05: Largest IV drop — 15.4% change
  • 2007-12-03: Highest IV Rank — 73.8%
  • 2007-12-03: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.37$16.71$17.94$17.02$17.27
Max Pain$14.61$13.74$16.48$16.23$14.99
ATM IV30.0%26.7%38.4%38.4%28.6%
Expected Move8.8%7.7%11.0%11.0%8.2%
HV 20d31.4%23.2%45.1%45.1%23.8%
HV 60d32.5%31.5%33.1%31.6%33.1%
IV Rank46.0%34.9%73.8%73.8%41.1%
IV Percentile66.3%48.2%91.8%91.8%60.8%
Term Structure4.1%1.2%7.7%1.2%7.7%
VWIV30.8%27.1%37.5%37.5%28.9%
Skew 25d3.6%0.8%6.5%6.5%0.8%
Skew 10d6.6%1.9%13.0%13.0%1.9%
Call IV 25d29.0%25.3%34.8%34.8%28.5%
Put IV 25d32.6%28.3%41.3%41.3%29.3%
Bid-Ask Spread %12.736.6221.0712.0913.24
Gamma HHI0.110.080.400.080.09
Net GEX266.4M109.2M644.5M217.4M202.6M
Net DEX-11.27B-15.20B-7.58B-10.33B-8.85B
Net VEX-44.9M-53.2M-40.4M-53.2M-40.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.380.940.610.55
Total Volume3,425,2001,003,5007,083,5002,651,4401,993,880
Total OI29,497,39921,150,04034,088,56030,059,78022,614,640

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$17.02$16.2338.4%11.0%45.1%73.8%37.5%6.5%1.2%217.4M-10.33B-53.2M0.6112.091,650,0801,001,36016,498,16013,561,620
2007-12-04$17.09$16.2336.2%10.4%44.4%66.4%35.6%6.1%2.2%233.7M-10.69B-52.2M0.6410.691,750,5801,118,84016,760,46013,626,980
2007-12-05$17.45$16.2330.6%8.8%44.3%47.9%31.5%5.1%4.2%281.1M-12.58B-50.8M0.676.621,718,6801,159,44016,923,02013,736,840
2007-12-06$17.86$16.4827.3%7.8%45.1%36.9%28.7%5.1%3.5%341.3M-14.95B-49.0M0.589.632,575,6201,485,32017,002,98013,762,860
2007-12-07$17.85$13.7428.1%9.0%40.4%39.4%31.0%4.9%3.8%339.3M-14.72B-49.2M0.7713.061,593,7601,221,58017,181,96013,960,660
2007-12-10$17.94$13.7427.9%8.7%36.7%38.8%30.6%4.6%4.1%343.2M-15.20B-47.3M0.5313.621,986,5401,053,10017,257,96014,143,000
2007-12-11$17.46$13.7426.7%9.0%33.1%35.0%31.1%4.2%3.1%263.0M-12.22B-46.5M0.8515.831,815,5401,538,70017,329,40014,203,180
2007-12-12$17.47$13.7428.6%9.0%29.8%41.2%31.4%3.5%3.2%257.6M-12.21B-46.3M0.7321.072,483,4001,824,98017,546,60014,374,560
2007-12-13$17.33$13.7431.2%9.0%27.6%49.9%31.2%3.4%3.8%252.3M-11.51B-45.7M0.9410.161,916,3201,801,60017,870,14014,563,260
2007-12-14$17.23$13.9931.0%8.9%26.5%49.1%30.8%3.2%3.4%234.0M-10.94B-44.6M0.6512.472,134,5801,395,84018,040,62014,659,520
2007-12-17$16.71$13.9932.8%9.4%29.3%55.2%32.6%3.5%2.6%109.2M-7.58B-42.8M0.5913.633,572,7202,093,50018,167,18014,696,880
2007-12-18$16.82$13.9932.5%9.3%28.8%54.1%32.4%2.6%3.4%123.2M-8.41B-42.4M0.799.993,951,1003,132,40018,620,32014,572,360
2007-12-19$16.92$14.2430.2%8.6%26.2%46.3%30.4%2.6%4.0%184.0M-9.53B-41.9M0.7811.761,707,6601,334,98018,945,52014,742,120
2007-12-20$17.23$14.2428.1%8.1%26.2%39.5%28.4%2.3%4.6%435.2M-12.43B-41.3M0.7112.363,077,0402,188,42019,063,28014,703,200
2007-12-21$17.40$14.2426.7%7.7%25.1%34.9%27.1%2.4%5.5%644.5M-13.51B-41.5M0.3810.863,957,8001,513,24019,144,64014,943,920
2007-12-24$17.50$14.4927.1%7.8%24.2%36.2%27.5%2.4%6.3%216.4M-9.67B-40.5M0.5416.09652,220351,28011,881,4609,268,580
2007-12-26$17.75$14.4929.6%8.5%24.4%44.3%29.8%3.3%4.3%221.9M-10.48B-40.6M0.5112.931,262,940638,00011,982,5009,434,140
2007-12-27$17.50$14.7430.3%8.7%23.3%46.9%30.2%2.7%5.2%206.5M-9.77B-40.9M0.4712.641,482,800694,34012,200,3409,637,500
2007-12-28$17.55$14.9928.9%8.3%23.2%42.3%29.0%2.0%5.4%221.7M-9.87B-41.2M0.7415.77963,400710,42012,509,2209,816,400
2007-12-31$17.27$14.9928.6%8.2%23.8%41.1%28.9%0.8%7.7%202.6M-8.85B-40.4M0.5513.241,282,400711,48012,670,9009,943,740