GOOG Options History — July 2008 In July 2008, GOOG traded between $11.71 and $13.85. ATM implied volatility averaged 41.1%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 3.7% (HV 20d: 37.4%). Max pain ranged from $12.24 to $13.74. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.85.
Notable Days 2008-07-18 : Highest Volume — 10,854,080 contracts2008-07-10 : Largest IV drop — 26.2% change2008-07-09 : Highest IV Rank — 95.2%2008-07-15 : Largest Expected Move — 13.5%Monthly Statistics Metric Avg Min Max Open Close Price $12.74 $11.71 $13.85 $13.35 $11.83 Max Pain $13.03 $12.24 $13.74 $13.74 $12.24 ATM IV 41.1% 31.6% 55.1% 44.7% 35.7% Expected Move 11.3% 9.1% 13.5% 12.8% 10.2% HV 20d 37.4% 25.7% 50.2% 29.4% 49.8% HV 60d 41.2% 30.3% 48.2% 48.2% 36.8% IV Rank 58.5% 33.7% 95.2% 67.9% 44.4% IV Percentile 72.1% 38.5% 99.6% 86.1% 58.3% Term Structure -2.7% -8.4% 1.1% -6.6% -0.3% VWIV 39.6% 32.0% 48.0% 44.2% 35.2% Skew 25d 4.0% 2.5% 5.1% 2.8% 3.6% Skew 10d 7.7% 4.9% 9.5% 5.5% 8.1% Call IV 25d 37.6% 29.6% 46.1% 42.9% 34.0% Put IV 25d 41.6% 34.2% 49.8% 45.8% 37.6% Bid-Ask Spread % 18.00 12.19 27.88 12.36 15.07 Gamma HHI 0.07 0.04 0.61 0.04 0.04 Net GEX 16.0M -223.0M 82.3M 46.6M -8.6M Net DEX -210.4M -2.55B 3.16B -1.29B 1.03B Net VEX -28.9M -33.1M -17.0M -33.0M -26.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.58 1.26 0.77 0.60 Total Volume 2,651,863.636 1,242,160 10,854,080 2,094,000 1,281,160 Total OI 16,917,934.545 12,043,700 21,858,200 16,098,200 17,143,840
Daily Data (22 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 2008-07-01 $13.35 $13.74 44.7% 12.8% 29.4% 67.9% 44.2% 2.8% -6.6% 46.6M -1.29B -33.0M 0.77 12.36 1,184,060 909,940 9,218,520 6,879,680 2008-07-02 $13.16 $13.74 45.3% 13.0% 29.4% 69.4% 45.3% 2.7% -6.2% 35.2M -842.3M -32.2M 0.84 27.88 1,144,220 963,120 9,244,200 7,003,400 2008-07-03 $13.41 $13.74 46.4% 13.3% 28.7% 72.4% 46.3% 5.1% -8.4% 49.2M -1.35B -33.0M 0.64 22.83 759,120 483,040 9,428,820 7,147,300 2008-07-07 $13.58 $13.24 49.6% 11.1% 27.2% 80.9% 39.1% 4.4% -2.2% 64.5M -1.85B -32.6M 0.74 15.79 1,263,580 928,840 9,568,840 7,222,620 2008-07-08 $13.85 $13.24 50.3% 10.9% 27.6% 82.6% 37.7% 4.3% -2.5% 82.3M -2.55B -33.1M 0.62 15.24 1,322,760 819,780 9,658,800 7,339,260 2008-07-09 $13.53 $13.24 55.1% 12.0% 28.8% 95.2% 42.4% 4.4% -3.9% 61.3M -1.74B -32.9M 1.23 18.65 1,104,380 1,360,600 9,844,280 7,403,480 2008-07-10 $13.50 $13.49 40.7% 11.7% 28.2% 57.4% 40.5% 4.6% -2.8% 54.3M -1.47B -32.9M 0.80 20.74 1,048,160 833,680 9,953,540 7,676,500 2008-07-11 $13.33 $13.49 42.1% 12.1% 28.0% 61.3% 41.7% 4.4% -4.6% 45.9M -1.12B -32.4M 0.85 20.70 1,252,260 1,070,220 10,149,660 7,746,460 2008-07-14 $13.03 $13.49 47.1% 13.5% 25.7% 74.2% 46.7% 4.7% -6.1% 7.9M 338.5M -17.0M 0.67 14.82 1,294,580 870,300 6,734,160 5,309,540 2008-07-15 $12.89 $13.49 47.2% 13.5% 25.7% 74.5% 47.4% 4.3% -6.1% 18.9M -5.4M -31.1M 0.77 22.28 1,606,480 1,236,840 10,506,660 7,955,500 2008-07-16 $13.38 $13.24 45.9% 13.1% 29.8% 71.0% 46.4% 4.0% -5.9% 60.2M -1.37B -32.1M 0.73 15.41 1,690,400 1,228,700 10,696,560 7,974,240 2008-07-17 $13.32 $13.24 46.9% 13.4% 29.6% 73.7% 48.0% 2.5% -5.2% 63.8M -1.37B -31.5M 0.58 22.57 5,034,900 2,908,700 11,063,220 8,231,700 2008-07-18 $12.02 $13.24 35.1% 10.1% 46.3% 42.8% 35.2% 3.4% -0.7% -223.0M 3.16B -25.3M 0.90 21.90 5,721,400 5,132,680 12,654,200 9,204,000 2008-07-21 $11.71 $12.74 36.2% 10.4% 46.3% 45.6% 36.3% 3.7% -1.4% -14.7M 1.36B -24.7M 1.18 16.45 1,132,380 1,331,860 8,488,520 6,487,040 2008-07-22 $11.92 $12.49 32.7% 9.4% 47.2% 36.6% 33.4% 3.7% 0.9% -13.9M 1.03B -25.7M 1.26 17.17 836,920 1,053,180 8,832,340 6,793,980 2008-07-23 $12.22 $12.49 31.6% 9.1% 48.5% 33.7% 32.0% 4.2% 0.9% 2.0M 440.2M -26.6M 0.67 22.65 1,253,220 835,920 8,955,660 6,844,640 2008-07-24 $11.88 $12.49 33.6% 9.6% 48.5% 39.0% 33.7% 3.7% 0.6% -7.5M 937.6M -25.9M 0.80 14.72 815,140 651,940 9,123,000 6,866,500 2008-07-25 $12.29 $12.49 31.8% 9.1% 48.9% 34.2% 32.2% 5.0% 1.1% 19.1M 117.1M -27.3M 0.96 12.19 712,960 681,400 9,387,740 6,911,300 2008-07-28 $11.92 $12.49 38.0% 10.9% 49.8% 50.4% 38.4% 4.9% 0.2% -3.1M 764.5M -26.8M 1.19 20.27 837,880 999,960 9,490,600 7,049,720 2008-07-29 $12.07 $12.24 34.9% 10.0% 50.2% 42.3% 35.3% 4.1% -0.6% 6.9M 576.1M -26.9M 1.11 13.44 600,680 668,700 9,696,600 7,262,540 2008-07-30 $12.06 $12.49 33.4% 9.6% 49.6% 38.3% 33.5% 3.7% 1.0% 4.8M 571.4M -26.9M 0.81 12.86 816,300 658,660 9,760,880 7,284,520 2008-07-31 $11.83 $12.24 35.7% 10.2% 49.8% 44.4% 35.2% 3.6% -0.3% -8.6M 1.03B -26.3M 0.60 15.07 798,320 482,840 9,817,320 7,326,520
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