GOOG Options History — January 2009

In January 2009, GOOG traded between $7.06 and $8.71. ATM implied volatility averaged 47.9%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 2.0% (HV 20d: 45.8%). Max pain ranged from $7.49 to $8.49. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2009-01-23: Highest Volume — 3,859,700 contracts
  • 2009-01-23: Largest IV drop — 28.1% change
  • 2009-01-20: Highest IV Rank — 27.8%
  • 2009-01-20: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.96$7.06$8.71$8.02$8.45
Max Pain$7.80$7.49$8.49$8.49$7.99
ATM IV47.9%36.7%63.4%43.6%39.1%
Expected Move14.5%10.5%18.2%12.5%11.2%
HV 20d45.8%36.6%53.8%46.6%53.8%
HV 60d65.3%61.3%72.1%71.9%61.9%
IV Rank17.0%9.2%27.8%14.0%10.9%
IV Percentile58.1%34.1%82.9%49.6%38.5%
Term Structure-0.6%-4.9%6.4%6.4%3.4%
VWIV50.9%38.1%63.4%46.1%39.4%
Skew 25d10.0%7.8%11.6%7.8%8.8%
Skew 10d19.3%15.7%23.5%16.7%16.6%
Call IV 25d45.4%33.5%58.1%40.0%35.3%
Put IV 25d55.4%41.9%66.8%47.8%44.1%
Bid-Ask Spread %18.627.6229.617.6212.70
Gamma HHI0.110.050.640.070.09
Net GEX5.6M-61.7M50.8M3.6M38.3M
Net DEX327.6M-914.8M1.13B574.7M-523.9M
Net VEX-10.6M-12.6M-8.6M-10.4M-12.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.611.370.950.96
Total Volume1,898,8441,085,7803,859,7001,151,6201,339,620
Total OI13,959,6977,855,52017,708,84015,623,16012,142,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$8.02$8.4943.6%12.5%46.6%14.0%46.1%7.8%6.4%3.6M574.7M-10.4M0.957.62589,260562,3609,856,4405,766,720
2009-01-05$8.19$7.7449.4%14.9%45.8%18.0%53.0%11.4%-2.5%6.3M361.6M-10.8M0.7720.00890,940682,8809,962,8405,869,220
2009-01-06$8.34$7.7445.5%14.3%45.0%15.4%49.8%11.5%-2.1%11.6M169.6M-10.8M0.8522.031,247,7601,061,38010,124,0005,998,400
2009-01-07$8.04$7.7447.6%15.2%42.9%16.8%53.6%11.6%-2.6%2.2M601.2M-10.6M1.2321.38674,040828,06010,345,8606,212,160
2009-01-08$8.12$7.7443.6%14.9%42.8%14.0%56.8%11.5%-2.3%6.0M503.6M-10.6M0.9622.59553,960531,82010,429,1006,339,260
2009-01-09$7.87$7.7441.4%15.1%44.5%12.5%53.3%11.2%-2.3%-7.8M829.0M-10.3M0.8927.61838,680749,62010,552,8206,455,400
2009-01-12$7.81$7.9949.3%16.0%43.3%18.0%55.9%10.8%-2.5%-10.2M880.2M-10.1M1.1522.41531,340611,94010,684,8806,515,540
2009-01-13$7.85$7.9949.3%16.0%39.3%18.0%54.1%10.5%-2.4%-5.1M778.7M-10.2M1.0326.63564,400578,78010,749,1406,520,400
2009-01-14$7.52$7.9953.7%17.2%41.9%21.0%58.5%10.4%-2.7%-20.9M1.13B-9.9M0.9625.621,275,0401,220,94010,869,1006,502,980
2009-01-15$7.47$7.7459.1%16.9%38.0%24.7%60.1%10.8%-2.3%-20.5M1.09B-9.8M1.0426.731,023,6601,067,66011,094,6406,505,100
2009-01-16$7.48$7.7455.9%16.0%36.6%22.6%55.1%9.4%-1.2%-61.7M1.04B-9.7M0.6124.272,075,2801,260,38011,193,8206,515,020
2009-01-20$7.06$7.7463.4%18.2%41.4%27.8%63.4%8.6%-3.3%-2.8M596.5M-8.6M1.378.85836,6001,142,2604,346,4203,509,100
2009-01-21$7.57$7.4956.3%16.1%49.1%22.8%56.1%10.2%-3.1%-132.8K405.1M-9.5M0.8910.03882,240787,3804,545,8603,905,580
2009-01-22$7.65$7.4959.4%17.0%46.7%25.0%59.9%10.2%-4.9%3.4M296.7M-9.9M0.7129.612,036,4401,441,0804,848,5604,107,180
2009-01-23$8.11$7.4942.7%12.2%50.7%13.4%43.2%9.7%2.6%20.7M-125.3M-11.0M0.7415.332,213,9401,645,7605,709,3404,742,260
2009-01-26$8.09$7.7443.5%12.5%50.6%14.0%43.0%9.7%1.6%21.8M-115.2M-11.3M0.9211.66602,160552,7606,221,7404,943,380
2009-01-27$8.28$7.7438.9%11.2%50.9%10.8%39.6%9.2%3.0%32.5M-338.6M-11.8M0.8416.69769,320643,3606,396,4405,033,380
2009-01-28$8.71$7.7436.7%10.5%53.0%9.2%38.1%8.4%2.2%50.8M-914.8M-12.4M0.698.191,467,3001,015,1006,556,6405,077,080
2009-01-29$8.57$7.9939.0%11.2%53.5%10.8%38.8%8.4%3.0%43.6M-680.3M-12.6M0.9812.54596,200585,1806,719,2805,326,520
2009-01-30$8.45$7.9939.1%11.2%53.8%10.9%39.4%8.8%3.4%38.3M-523.9M-12.6M0.9612.70684,600655,0206,763,4405,378,900