GOOG Options History — December 2008

In December 2008, GOOG traded between $6.64 and $8.12. ATM implied volatility averaged 58.3%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 11.3% (HV 20d: 69.6%). Max pain ranged from $7.49 to $9.99. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.97.

Notable Days

2008-12-19: Highest Volume — 2,971,080 contracts
2008-12-02: Largest IV drop — 13.0% change
2008-12-01: Highest IV Rank — 39.4%
2008-12-01: Largest Expected Move — 23.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.48	$6.64	$8.12	$6.64	$7.68
Max Pain	$9.05	$7.49	$9.99	$7.99	$8.49
ATM IV	58.3%	46.3%	80.1%	80.1%	46.3%
Expected Move	16.7%	13.3%	23.0%	23.0%	13.3%
HV 20d	69.6%	44.7%	80.7%	79.4%	44.7%
HV 60d	76.9%	72.7%	79.1%	78.1%	72.7%
IV Rank	24.2%	15.9%	39.4%	39.4%	15.9%
IV Percentile	77.7%	58.3%	94.4%	94.4%	58.3%
Term Structure	2.2%	-3.0%	5.5%	-3.0%	5.4%
VWIV	59.4%	48.5%	80.5%	80.5%	48.5%
Skew 25d	12.0%	8.4%	17.3%	14.2%	8.4%
Skew 10d	23.7%	17.0%	34.2%	27.3%	17.2%
Call IV 25d	53.1%	43.2%	74.8%	74.8%	43.2%
Put IV 25d	65.0%	51.7%	89.0%	89.0%	51.7%
Bid-Ask Spread %	15.63	6.84	24.69	12.61	6.84
Gamma HHI	0.09	0.05	0.58	0.06	0.06
Net GEX	-4.6M	-53.9M	20.8M	-9.5M	-2.8M
Net DEX	1.27B	514.7M	2.15B	2.15B	855.6M
Net VEX	-11.2M	-12.8M	-10.0M	-10.6M	-10.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.39	1.71	1.18	1.03
Total Volume	1,561,528.182	363,880	2,971,080	1,168,340	1,158,960
Total OI	18,843,090.909	14,803,260	22,159,100	19,109,160	15,515,940

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
2008-12-01	$6.64	$7.99	80.1%	23.0%	79.4%	39.4%	80.5%	14.2%	-3.0%	-9.5M	2.15B	-10.6M	1.18	12.61	536,180	632,160	12,098,000	7,011,160
2008-12-02	$6.87	$7.99	69.7%	20.0%	80.7%	32.2%	71.7%	17.3%	0.3%	-8.4M	2.09B	-10.7M	1.26	21.99	726,560	913,280	12,210,160	6,998,520
2008-12-03	$6.98	$7.74	63.9%	18.3%	77.3%	28.1%	66.7%	15.3%	2.4%	-7.5M	1.90B	-10.7M	1.10	15.94	950,540	1,042,480	12,340,360	6,851,960
2008-12-04	$6.85	$7.49	64.4%	18.5%	74.5%	28.5%	63.7%	13.7%	2.5%	-7.5M	1.89B	-10.5M	1.19	17.89	510,180	604,760	12,579,000	7,015,400
2008-12-05	$7.09	$9.99	61.5%	18.1%	75.7%	26.5%	63.5%	13.6%	1.7%	-4.7M	1.65B	-10.8M	0.65	23.21	1,253,260	812,740	12,651,280	6,933,000
2008-12-08	$7.55	$9.74	67.7%	18.8%	79.6%	30.8%	66.2%	13.1%	-0.8%	4.4M	1.13B	-11.9M	0.79	20.07	1,370,040	1,088,320	12,807,040	7,021,260
2008-12-09	$7.64	$9.99	67.0%	18.7%	78.8%	30.2%	67.1%	13.3%	-0.7%	4.1M	1.09B	-12.5M	0.89	20.38	1,166,880	1,039,680	12,916,260	7,313,700
2008-12-10	$7.71	$9.74	60.5%	17.8%	78.5%	25.7%	64.2%	13.0%	1.0%	2.3M	1.06B	-12.8M	1.06	24.69	715,720	759,640	13,076,580	7,539,780
2008-12-11	$7.50	$9.74	62.7%	18.0%	75.2%	27.3%	63.3%	12.8%	1.1%	-3.1M	1.30B	-12.2M	1.20	17.22	694,940	836,760	13,178,680	7,571,160
2008-12-12	$7.89	$9.74	56.9%	16.3%	73.1%	23.2%	60.5%	12.4%	2.9%	7.1M	913.0M	-12.7M	1.71	14.50	615,500	1,053,700	13,225,660	7,674,500
2008-12-15	$7.76	$9.74	61.6%	17.7%	73.3%	26.5%	62.8%	12.4%	0.8%	1.6M	1.07B	-12.1M	1.12	15.59	962,520	1,078,600	13,292,120	7,832,460
2008-12-16	$8.12	$9.49	56.4%	16.2%	74.0%	22.9%	58.9%	11.5%	1.0%	20.8M	514.7M	-12.7M	0.81	17.42	999,800	805,600	13,484,480	8,020,580
2008-12-17	$7.87	$9.49	55.6%	16.0%	74.9%	22.4%	57.3%	12.1%	1.9%	2.4M	971.5M	-11.9M	0.77	20.30	1,428,620	1,095,100	13,528,160	8,155,540
2008-12-18	$7.75	$9.49	55.4%	15.9%	71.6%	22.2%	55.2%	12.8%	1.9%	-5.3M	1.14B	-11.5M	0.39	14.27	1,329,760	517,280	13,883,260	8,140,700
2008-12-19	$7.75	$9.24	50.6%	14.5%	64.9%	18.9%	49.8%	10.4%	3.8%	-53.9M	1.10B	-11.0M	0.90	12.81	1,565,720	1,405,360	14,020,360	8,138,740
2008-12-22	$7.42	$9.24	51.5%	14.8%	67.4%	19.5%	53.2%	9.4%	4.1%	-8.0M	1.39B	-10.3M	1.09	10.82	683,960	743,660	9,169,360	5,633,900
2008-12-23	$7.44	$8.99	50.8%	14.6%	66.8%	19.0%	51.9%	9.1%	4.2%	-7.3M	1.30B	-10.2M	1.05	13.94	562,800	592,120	9,401,040	5,709,620
2008-12-24	$7.57	$8.74	50.1%	14.4%	59.1%	18.5%	50.0%	9.7%	4.6%	-6.6M	1.14B	-10.6M	0.77	10.36	205,920	157,960	9,558,780	5,797,440
2008-12-26	$7.50	$8.74	50.0%	14.3%	58.1%	18.5%	50.9%	9.7%	5.5%	-6.7M	1.17B	-10.3M	0.92	11.08	193,240	178,380	9,602,240	5,802,440
2008-12-29	$7.43	$8.74	50.9%	14.6%	58.2%	19.1%	51.7%	10.0%	4.5%	-8.2M	1.19B	-10.0M	0.90	12.52	428,700	384,140	9,638,860	5,758,480
2008-12-30	$7.57	$8.49	49.7%	14.2%	45.7%	18.2%	49.2%	8.8%	4.1%	-5.1M	970.0M	-10.2M	0.59	9.44	347,460	204,640	9,753,260	5,696,780
2008-12-31	$7.68	$8.49	46.3%	13.3%	44.7%	15.9%	48.5%	8.4%	5.4%	-2.8M	855.6M	-10.2M	1.03	6.84	572,020	586,940	9,814,440	5,701,500