GOOG Options History — February 2008 In February 2008, GOOG traded between $11.59 and $13.35. ATM implied volatility averaged 35.4%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 14.5% (HV 20d: 49.8%). Max pain ranged from $12.24 to $14.49. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.11.
Notable Days 2008-02-26 : Highest Volume — 10,468,240 contracts2008-02-19 : Largest IV spike — 17.5% change2008-02-04 : Highest IV Rank — 68.5%2008-02-06 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.58 $11.59 $13.35 $12.88 $11.77 Max Pain $13.51 $12.24 $14.49 $14.24 $12.24 ATM IV 35.4% 28.8% 44.1% 40.1% 35.1% Expected Move 10.2% 8.3% 11.6% 11.5% 10.1% HV 20d 49.8% 44.0% 52.3% 50.8% 47.1% HV 60d 39.2% 37.7% 42.3% 41.6% 39.0% IV Rank 47.0% 31.0% 68.5% 58.7% 46.3% IV Percentile 79.5% 56.0% 95.2% 92.5% 80.2% Term Structure 3.4% -0.3% 5.9% -0.3% 5.4% VWIV 35.5% 28.9% 40.8% 40.6% 35.0% Skew 25d 3.8% 1.6% 4.9% 1.6% 2.2% Skew 10d 7.0% 3.0% 10.0% 3.3% 3.7% Call IV 25d 33.9% 27.0% 39.9% 39.9% 34.1% Put IV 25d 37.7% 31.4% 43.1% 41.5% 36.3% Bid-Ask Spread % 12.06 5.24 19.43 8.66 6.09 Gamma HHI 0.06 0.04 0.20 0.05 0.05 Net GEX 34.0M -24.2M 132.9M -7.0M 13.4M Net DEX 1.11B -695.0M 3.05B 2.58B 935.0M Net VEX -30.0M -32.1M -25.4M -31.3M -30.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.55 2.23 0.67 0.70 Total Volume 5,038,152 2,070,240 10,468,240 9,400,540 4,497,180 Total OI 21,258,061 16,365,180 25,060,400 21,722,460 20,356,700
Daily Data (20 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 2008-02-01 $12.88 $14.24 40.1% 11.5% 50.8% 58.7% 40.6% 1.6% -0.3% -7.0M 2.58B -31.3M 0.67 8.66 5,628,140 3,772,400 13,958,940 7,763,520 2008-02-04 $12.37 $14.49 44.1% 11.5% 50.6% 68.5% 40.3% 2.5% 0.8% -14.2M 3.05B -29.3M 1.00 12.18 3,409,080 3,410,840 14,697,880 7,750,020 2008-02-05 $12.66 $13.99 40.5% 11.4% 52.3% 59.5% 40.4% 4.0% 1.3% 20.8M 1.96B -31.5M 1.26 15.86 2,831,860 3,563,960 15,286,680 7,741,300 2008-02-06 $12.53 $13.99 41.6% 11.6% 52.0% 62.2% 40.8% 4.5% 1.5% 12.2M 2.06B -31.2M 1.18 16.65 1,504,180 1,778,780 15,651,480 7,837,220 2008-02-07 $12.61 $13.99 39.2% 11.4% 49.7% 56.4% 39.2% 4.5% 1.7% 15.1M 1.87B -31.3M 0.88 14.41 2,149,740 1,902,220 15,797,180 7,916,740 2008-02-08 $12.90 $13.74 34.5% 10.8% 51.3% 44.9% 37.8% 4.7% 2.2% 72.1M 871.7M -32.1M 0.96 16.74 2,191,860 2,110,900 16,227,580 7,908,540 2008-02-11 $13.02 $13.74 36.0% 10.6% 51.8% 48.6% 36.8% 4.9% 1.9% 82.5M 550.3M -32.0M 0.95 18.04 1,632,280 1,544,420 16,314,220 7,975,600 2008-02-12 $12.94 $13.74 34.8% 10.2% 50.2% 45.5% 35.1% 4.1% 2.3% 78.2M 730.2M -31.3M 2.23 19.43 2,099,220 4,679,440 16,458,240 7,978,100 2008-02-13 $13.35 $13.74 30.5% 9.4% 52.2% 35.1% 33.5% 4.6% 3.4% 132.9M -695.0M -32.0M 1.07 14.47 2,623,180 2,814,140 16,455,000 7,875,380 2008-02-14 $13.29 $13.74 30.1% 8.6% 51.3% 34.0% 29.8% 4.7% 4.9% 101.6M -403.3M -31.2M 0.66 18.46 3,003,040 1,977,180 16,579,080 8,209,760 2008-02-15 $13.23 $13.74 28.8% 8.3% 50.9% 31.0% 28.9% 4.4% 5.6% 98.6M 73.7M -30.6M 0.96 16.62 2,358,400 2,255,860 16,771,800 8,288,600 2008-02-19 $12.71 $13.74 33.9% 9.7% 52.2% 43.4% 33.1% 4.6% 3.8% 14.6M 1.04B -28.1M 2.18 9.07 1,958,880 4,264,500 10,438,460 5,926,720 2008-02-20 $12.71 $13.49 34.0% 9.8% 51.8% 43.7% 34.2% 4.9% 4.7% 23.3M 730.9M -29.2M 1.16 7.01 1,486,400 1,729,280 10,877,340 5,970,960 2008-02-21 $12.56 $13.49 33.6% 9.6% 47.5% 42.6% 33.2% 4.4% 5.2% 14.5M 987.9M -29.0M 2.01 12.08 1,214,620 2,445,920 11,049,320 6,206,240 2008-02-22 $12.68 $13.24 31.3% 9.0% 44.0% 37.0% 31.6% 4.7% 5.9% 24.0M 521.1M -29.3M 0.65 11.37 1,255,460 814,780 11,268,220 6,124,840 2008-02-25 $12.15 $12.99 35.4% 10.1% 45.8% 47.0% 35.0% 3.0% 3.8% -5.5M 1.35B -27.3M 0.85 6.47 1,930,920 1,635,680 11,459,120 6,153,140 2008-02-26 $11.59 $12.99 35.6% 10.2% 47.8% 47.6% 35.8% 1.7% 4.8% -24.2M 2.12B -25.4M 1.28 6.38 4,592,420 5,875,820 11,856,880 6,242,000 2008-02-27 $11.81 $12.49 34.1% 9.8% 48.7% 43.9% 34.4% 2.5% 4.9% 10.7M 989.8M -28.9M 1.04 5.95 2,343,620 2,435,400 13,082,700 6,666,860 2008-02-28 $11.87 $12.49 34.0% 9.8% 48.9% 43.7% 34.2% 2.9% 5.3% 16.5M 785.8M -29.5M 0.55 5.24 1,958,240 1,082,800 13,266,700 6,772,160 2008-02-29 $11.77 $12.24 35.1% 10.1% 47.1% 46.3% 35.0% 2.2% 5.4% 13.4M 935.0M -30.0M 0.70 6.09 2,652,940 1,844,240 13,450,400 6,906,300
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