GOOG Options History — March 2008

In March 2008, GOOG traded between $10.33 and $11.50. ATM implied volatility averaged 43.5%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 0.2% (HV 20d: 43.7%). Max pain ranged from $10.99 to $12.24. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2008-03-20: Highest Volume — 8,140,640 contracts
  • 2008-03-13: Largest IV spike — 36.5% change
  • 2008-03-17: Highest IV Rank — 83.9%
  • 2008-03-17: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.00$10.33$11.50$11.41$11.00
Max Pain$11.45$10.99$12.24$12.24$11.24
ATM IV43.5%33.3%50.4%35.1%49.2%
Expected Move12.9%10.1%14.4%10.1%14.1%
HV 20d43.7%34.7%52.5%37.3%49.5%
HV 60d42.4%38.6%45.8%39.2%45.8%
IV Rank67.1%41.9%83.9%46.4%80.9%
IV Percentile91.5%71.0%98.0%80.2%97.2%
Term Structure-3.0%-6.8%5.0%4.0%-6.3%
VWIV44.9%35.2%49.5%35.2%48.4%
Skew 25d4.6%0.5%8.5%2.3%8.3%
Skew 10d8.0%0.4%15.1%4.1%15.1%
Call IV 25d42.8%34.4%48.9%34.4%44.6%
Put IV 25d47.5%36.8%52.9%36.8%52.9%
Bid-Ask Spread %14.034.7627.326.639.30
Gamma HHI0.060.050.090.060.05
Net GEX-57.9K-34.6M35.1M-8.7M16.3M
Net DEX1.43B-96.3M3.00B1.68B603.5M
Net VEX-27.6M-29.1M-25.2M-28.5M-27.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.502.410.690.50
Total Volume4,221,5551,593,7608,140,6404,818,3201,593,760
Total OI21,085,96213,983,24025,424,88020,939,48016,493,960

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$11.41$12.2435.1%10.1%37.3%46.4%35.2%2.3%4.0%-8.7M1.68B-28.5M0.696.632,848,2001,970,12013,820,1207,119,360
2008-03-04$11.10$11.9938.7%11.1%36.0%55.1%39.2%0.5%4.5%-11.8M2.07B-28.3M1.124.763,126,7203,513,96014,496,1607,304,500
2008-03-05$11.18$11.9936.6%10.5%34.7%50.0%36.9%2.0%5.0%5.3K1.70B-28.5M0.906.411,882,3601,696,94014,836,3807,305,460
2008-03-06$10.81$11.7441.8%12.0%36.1%62.8%41.5%2.9%3.3%-15.3M2.33B-27.5M1.087.971,571,4001,693,22014,979,6007,417,700
2008-03-07$10.82$11.7439.0%12.8%35.9%55.9%44.6%2.5%-3.8%-17.0M2.29B-27.7M0.9318.042,580,6202,412,62015,233,1407,558,400
2008-03-10$10.33$11.4946.3%14.0%36.5%73.8%48.9%2.1%-5.3%-34.6M3.00B-25.2M1.0315.352,420,3002,498,02015,452,3607,619,740
2008-03-11$10.99$11.4937.0%12.9%44.3%51.2%45.6%3.1%-4.0%4.0M1.54B-28.3M1.2712.932,791,9803,534,78015,912,5007,768,920
2008-03-12$10.99$11.4933.3%12.6%44.4%41.9%44.3%3.2%-4.6%-1.7M1.53B-27.8M1.0813.571,873,2802,015,50016,070,8607,967,160
2008-03-13$11.06$11.4945.4%13.0%42.3%71.7%45.8%4.0%-5.4%2.3M1.34B-28.2M2.4115.701,206,4402,908,98016,127,8407,998,000
2008-03-14$10.94$11.4946.3%13.3%42.3%73.9%46.8%5.1%-4.4%-5.4M1.63B-28.1M0.8622.542,348,7002,027,18016,376,2008,097,680
2008-03-17$10.49$11.2450.4%14.4%43.7%83.9%49.5%3.9%-6.8%-33.6M2.73B-25.9M1.1220.453,035,0803,390,42016,566,8808,025,620
2008-03-18$10.97$11.2444.8%12.8%46.7%70.1%45.2%5.1%-4.7%35.1M1.17B-27.1M0.7920.083,029,6202,394,00016,900,6407,772,760
2008-03-19$10.79$11.2447.1%13.5%46.7%75.8%46.8%4.5%-5.7%-14.3M1.81B-26.4M1.4219.431,211,7401,717,24016,985,5208,046,680
2008-03-20$10.83$11.2445.7%13.1%46.9%72.5%45.5%6.6%-4.4%-13.1M1.80B-26.2M0.9027.324,290,4403,850,20017,417,5208,007,360
2008-03-24$11.50$10.9947.1%13.5%52.5%75.9%47.3%8.5%-4.3%21.2M-50.1M-28.1M0.6314.882,222,5001,403,4808,351,3405,631,900
2008-03-25$11.26$10.9947.5%13.6%50.9%76.8%47.3%6.9%-5.2%19.0M250.5M-28.1M0.909.711,390,5001,248,8408,909,0605,966,960
2008-03-26$11.44$11.2446.4%13.3%48.8%74.1%46.6%7.8%-3.4%29.8M-96.3M-29.1M0.7312.381,188,500866,1009,229,6606,143,380
2008-03-27$11.09$11.2447.1%13.5%49.4%75.8%46.6%6.3%-4.4%16.5M545.8M-27.6M0.8311.511,319,6401,091,7809,479,2606,237,680
2008-03-28$10.94$11.2446.2%13.2%49.4%73.5%45.4%6.8%-4.0%10.1M801.0M-27.3M0.7411.571,305,740960,2009,736,2406,354,740
2008-03-31$11.00$11.2449.2%14.1%49.5%80.9%48.4%8.3%-6.3%16.3M603.5M-27.4M0.509.301,059,140534,62010,045,7206,448,240