GOOG Options History — November 2008

In November 2008, GOOG traded between $6.43 and $9.16. ATM implied volatility averaged 71.7%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded below realized volatility by 5.4% (HV 20d: 77.1%). Max pain ranged from $7.99 to $9.99. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.88.

Notable Days

  • 2008-11-21: Highest Volume — 5,032,460 contracts
  • 2008-11-05: Largest IV spike — 20.2% change
  • 2008-11-20: Highest IV Rank — 46.8%
  • 2008-11-20: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.61$6.43$9.16$8.65$7.32
Max Pain$9.07$7.99$9.99$8.99$7.99
ATM IV71.7%54.8%90.8%64.1%68.2%
Expected Move20.3%15.7%26.0%18.4%19.5%
HV 20d77.1%70.6%89.0%86.5%73.4%
HV 60d70.3%64.8%76.1%64.8%75.9%
IV Rank33.5%21.8%46.8%28.3%31.1%
IV Percentile93.2%86.9%96.8%92.9%88.5%
Term Structure-2.4%-6.4%0.8%-3.9%0.4%
VWIV70.5%55.9%89.5%63.5%68.4%
Skew 25d15.5%13.1%18.8%16.6%14.6%
Skew 10d30.0%25.0%37.6%30.1%25.9%
Call IV 25d63.3%47.9%81.9%56.4%61.0%
Put IV 25d78.8%64.4%100.3%73.0%75.6%
Bid-Ask Spread %15.7011.0222.1322.1320.25
Gamma HHI0.070.050.280.050.05
Net GEX-18.2M-29.1M-1.2M-15.9M-5.3M
Net DEX2.35B1.28B3.08B1.98B1.82B
Net VEX-13.1M-16.6M-10.1M-15.6M-12.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.611.150.610.87
Total Volume2,397,888.421471,5605,032,4601,676,080471,560
Total OI21,095,264.21117,707,82023,309,98019,937,10019,062,560

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$8.65$8.9964.1%18.4%86.5%28.3%63.5%16.6%-3.9%-15.9M1.98B-15.6M0.6122.131,042,840633,24011,639,5808,297,520
2008-11-04$9.16$8.9954.8%15.7%85.3%21.8%55.9%16.5%-1.2%-1.2M1.28B-16.6M0.6413.081,271,760808,00011,922,4008,237,180
2008-11-05$8.55$8.9965.8%18.9%88.7%29.4%63.5%13.9%-4.5%-15.5M1.96B-15.1M0.9516.54910,300863,90012,098,0408,266,420
2008-11-06$8.27$8.9972.9%20.9%89.0%34.4%72.7%14.2%-6.4%-19.8M2.23B-14.8M1.0913.32853,300927,32012,261,6008,439,440
2008-11-07$8.27$9.9969.0%18.5%88.9%31.6%63.6%14.7%-2.7%-21.5M2.24B-14.7M0.8914.69682,320603,96012,341,2808,593,100
2008-11-10$7.96$9.9970.1%19.0%73.3%32.5%64.6%14.4%-2.5%-29.1M2.59B-13.7M0.7915.261,309,0601,029,98012,426,8608,686,640
2008-11-11$7.78$9.9969.0%18.7%71.9%31.7%64.5%13.8%-1.5%-28.2M2.69B-13.2M0.8013.161,330,6401,057,86012,799,6608,681,680
2008-11-12$7.27$9.4976.7%20.7%72.0%37.0%70.4%13.1%-2.6%-28.5M2.89B-12.2M0.8011.021,438,6801,155,48013,100,0008,710,140
2008-11-13$7.79$9.2464.3%18.4%75.4%28.4%64.3%13.5%-2.5%-18.4M2.38B-13.5M0.9116.992,063,6601,886,88013,427,5808,691,120
2008-11-14$7.74$9.2465.8%18.9%72.0%29.4%65.8%15.2%-1.7%-17.5M2.38B-13.9M0.7719.151,802,6001,381,30013,743,2008,887,360
2008-11-17$7.50$9.2470.8%20.3%71.7%32.9%70.8%16.8%-2.5%-23.0M2.66B-12.9M1.1513.31966,6001,107,42013,856,5609,017,880
2008-11-18$7.43$9.2471.2%20.4%70.6%33.2%72.3%16.4%-0.9%-23.6M2.68B-12.5M0.8613.911,303,1801,117,44013,996,1408,884,080
2008-11-19$7.00$8.9980.1%23.0%72.7%39.4%78.9%14.9%-2.4%-25.1M2.86B-12.0M0.9012.381,289,9601,154,96014,259,8808,849,960
2008-11-20$6.48$8.9990.8%26.0%76.2%46.8%89.5%18.4%-5.7%-26.4M3.08B-10.9M0.9516.101,844,0801,757,28014,467,9408,842,040
2008-11-21$6.55$8.9978.6%22.5%76.3%38.3%78.5%17.1%-2.1%-26.0M2.92B-10.5M0.9917.662,526,7602,505,70014,686,2008,533,080
2008-11-24$6.43$8.7481.7%23.4%76.1%40.5%81.4%17.4%-3.5%-10.7M2.30B-10.1M0.8315.211,479,1201,227,82011,030,6606,677,160
2008-11-25$7.04$8.2479.0%22.7%71.7%38.6%80.1%18.8%-0.8%-5.5M1.87B-12.1M0.9918.121,206,1201,197,92011,765,0806,693,400
2008-11-26$7.29$7.9969.2%19.8%73.4%31.8%70.8%13.5%0.8%-4.7M1.79B-12.6M0.9516.11691,820659,06011,991,0206,945,580
2008-11-28$7.32$7.9968.2%19.5%73.4%31.1%68.4%14.6%0.4%-5.3M1.82B-12.2M0.8720.25251,780219,78012,061,0407,001,520