GOOG Options History — September 2008 In September 2008, GOOG traded between $9.52 and $11.62. ATM implied volatility averaged 50.4%, placing in the 74.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 11.4% (HV 20d: 39.0%). Max pain ranged from $10.99 to $11.99. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.84.
Notable Days 2008-09-08 : Highest Volume — 5,654,520 contracts2008-09-29 : Largest IV spike — 43.6% change2008-09-17 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 23.4%Monthly Statistics Metric Avg Min Max Open Close Price $10.79 $9.52 $11.62 $11.62 $10.00 Max Pain $11.42 $10.99 $11.99 $11.99 $10.99 ATM IV 50.4% 35.9% 81.6% 35.9% 68.7% Expected Move 14.8% 10.3% 23.4% 10.3% 19.7% HV 20d 39.0% 23.5% 67.7% 27.0% 67.7% HV 60d 40.0% 35.4% 50.0% 35.5% 50.0% IV Rank 74.6% 44.4% 100.0% 44.4% 77.8% IV Percentile 86.7% 57.9% 100.0% 57.9% 99.6% Term Structure -5.7% -14.8% 6.2% 6.2% -8.6% VWIV 51.3% 35.9% 79.4% 35.9% 70.9% Skew 25d 7.4% 3.2% 27.4% 3.5% 27.4% Skew 10d 13.4% 6.0% 33.8% 6.5% 33.8% Call IV 25d 48.0% 34.9% 75.3% 34.9% 56.0% Put IV 25d 55.5% 38.3% 87.9% 38.3% 83.4% Bid-Ask Spread % 25.53 15.52 52.98 20.45 52.98 Gamma HHI 0.07 0.04 0.23 0.05 0.04 Net GEX 23.8M -40.1M 155.3M 9.3M 10.6M Net DEX 1.05B -780.1M 2.83B 633.6M 751.9M Net VEX -23.5M -26.0M -21.0M -26.0M -22.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.53 1.33 0.57 0.96 Total Volume 2,854,391.429 1,327,860 5,654,520 2,362,840 2,056,680 Total OI 19,542,565.714 14,961,120 23,452,620 18,508,040 17,381,420
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 2008-09-02 $11.62 $11.99 35.9% 10.3% 27.0% 44.4% 35.9% 3.5% 6.2% 9.3M 633.6M -26.0M 0.57 20.45 1,503,780 859,060 11,071,500 7,436,540 2008-09-03 $11.60 $11.99 36.7% 10.5% 23.5% 46.4% 36.7% 3.2% 6.1% 10.0M 626.4M -25.8M 1.07 15.63 1,023,820 1,092,340 11,262,620 7,470,700 2008-09-04 $11.25 $11.99 40.1% 11.5% 25.0% 55.5% 39.5% 3.4% 5.0% -9.8M 1.46B -25.1M 0.69 18.11 1,556,000 1,081,240 11,593,460 7,694,320 2008-09-05 $11.10 $11.99 39.1% 12.9% 24.9% 51.9% 44.4% 4.1% -5.0% -14.9M 1.75B -24.3M 0.86 15.52 1,595,840 1,365,440 12,000,700 7,754,700 2008-09-08 $10.49 $11.99 41.5% 13.5% 27.5% 58.5% 46.5% 3.9% -5.1% -40.1M 2.83B -21.2M 0.59 29.23 3,562,680 2,091,840 12,235,660 7,771,600 2008-09-09 $10.46 $11.74 44.4% 14.0% 26.6% 66.2% 48.2% 5.1% -6.3% -9.1M 2.41B -22.2M 1.10 26.41 2,050,280 2,247,160 13,244,200 7,734,320 2008-09-10 $10.34 $11.49 40.3% 13.7% 26.2% 55.1% 47.3% 4.0% -6.5% -19.3M 2.56B -21.0M 0.87 27.49 1,848,760 1,601,600 13,527,600 7,721,560 2008-09-11 $10.83 $11.49 45.0% 12.9% 32.8% 67.9% 44.6% 4.3% -5.0% 28.9M 1.34B -23.1M 0.96 26.80 1,892,420 1,819,100 13,857,880 7,753,580 2008-09-12 $10.93 $11.24 44.3% 12.7% 32.7% 65.9% 44.7% 4.9% -4.9% 60.1M 825.9M -23.5M 0.96 21.99 1,349,220 1,295,740 14,313,180 7,887,040 2008-09-15 $10.84 $11.24 48.4% 13.9% 32.1% 77.0% 48.2% 5.4% -7.3% 41.1M 1.14B -23.0M 0.85 23.79 1,091,820 929,760 14,480,180 7,995,820 2008-09-16 $11.06 $11.24 45.9% 13.2% 33.1% 67.1% 46.0% 6.3% -5.8% 85.6M 462.5M -23.6M 1.33 27.16 1,148,700 1,523,840 14,726,040 8,014,480 2008-09-17 $10.35 $11.24 58.1% 16.7% 39.4% 100.0% 56.3% 7.8% -12.0% -19.3M 2.18B -21.9M 0.84 22.61 2,197,200 1,839,840 14,879,980 7,975,520 2008-09-18 $10.97 $11.24 51.9% 14.9% 45.8% 82.2% 52.7% 9.3% -8.3% 115.4M 328.1M -24.1M 0.89 24.00 2,071,300 1,851,560 15,188,420 7,956,100 2008-09-19 $11.22 $11.24 49.6% 14.2% 46.8% 75.5% 49.1% 8.5% -8.2% 155.3M -780.1M -24.5M 0.63 24.88 3,119,920 1,950,020 15,421,440 8,031,180 2008-09-22 $10.74 $11.24 58.9% 16.9% 48.5% 100.0% 57.9% 9.0% -8.5% 13.3M 608.3M -23.2M 0.72 23.96 793,360 573,140 9,221,380 5,739,740 2008-09-23 $10.72 $11.24 59.2% 17.0% 48.4% 100.0% 59.0% 9.0% -8.5% 16.0M 532.4M -24.0M 0.69 24.13 789,620 545,780 9,653,960 5,969,720 2008-09-24 $10.87 $10.99 57.6% 16.5% 48.7% 95.6% 57.9% 8.3% -7.6% 21.6M 286.7M -24.8M 0.53 24.18 899,380 476,480 9,839,300 6,071,860 2008-09-25 $10.98 $10.99 54.6% 15.6% 48.8% 87.0% 54.2% 8.8% -7.4% 26.4M 169.1M -24.8M 0.59 25.24 834,640 493,220 10,093,360 6,157,480 2008-09-26 $10.77 $11.24 56.9% 16.3% 48.9% 93.4% 57.7% 7.2% -8.0% 19.2M 534.8M -23.9M 1.02 28.77 836,240 853,300 10,172,480 6,226,940 2008-09-29 $9.52 $10.99 81.6% 23.4% 64.4% 100.0% 79.4% 12.6% -14.8% -405.4K 1.47B -21.4M 0.94 32.87 1,665,060 1,565,040 10,337,560 6,528,360 2008-09-30 $10.00 $10.99 68.7% 19.7% 67.7% 77.8% 70.9% 27.4% -8.6% 10.6M 751.9M -22.0M 0.96 52.98 1,050,600 1,006,080 10,583,820 6,797,600
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