GOOG Options History — February 2009

In February 2009, GOOG traded between $8.24 and $9.46. ATM implied volatility averaged 43.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 7.0% (HV 20d: 50.7%). Max pain ranged from $7.99 to $8.74. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-02-06: Highest Volume — 4,328,000 contracts
  • 2009-02-23: Largest IV spike — 14.5% change
  • 2009-02-23: Highest IV Rank — 18.3%
  • 2009-02-23: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.73$8.24$9.46$8.51$8.44
Max Pain$8.57$7.99$8.74$7.99$8.74
ATM IV43.7%39.9%49.8%40.9%45.6%
Expected Move12.6%11.5%14.3%11.7%13.1%
HV 20d50.7%45.9%55.7%51.9%45.9%
HV 60d56.1%48.0%60.8%60.8%48.0%
IV Rank14.1%11.4%18.3%12.1%15.4%
IV Percentile49.9%39.7%67.1%42.9%54.0%
Term Structure3.0%1.1%5.6%2.3%5.6%
VWIV44.5%41.2%49.9%41.7%45.7%
Skew 25d8.6%7.1%9.4%9.4%7.1%
Skew 10d17.4%13.9%19.9%19.7%13.9%
Call IV 25d40.2%35.4%45.6%36.8%42.7%
Put IV 25d48.8%44.7%54.8%46.3%49.7%
Bid-Ask Spread %20.3710.4727.8913.4220.73
Gamma HHI0.090.050.270.100.05
Net GEX37.3M3.3M66.9M40.8M6.3M
Net DEX-660.2M-2.16B232.7M-537.9M111.8M
Net VEX-13.6M-14.8M-12.4M-12.8M-13.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.681.650.730.91
Total Volume2,283,605.2631,217,3804,328,0001,217,3801,494,300
Total OI13,556,652.63210,637,10016,087,80012,364,40012,200,860

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$8.51$7.9940.9%11.7%51.9%12.1%41.7%9.4%2.3%40.8M-537.9M-12.8M0.7313.42702,060515,3206,847,6005,516,800
2009-02-03$8.50$7.9940.6%11.6%51.4%11.9%41.6%9.1%2.8%42.4M-531.6M-12.7M0.8210.99712,640586,2606,956,0605,583,700
2009-02-04$8.57$7.9941.7%12.0%51.1%12.7%41.3%8.9%2.7%45.8M-644.4M-12.9M0.8611.771,080,080931,1407,014,6005,644,160
2009-02-05$8.83$7.9940.2%11.5%50.1%11.7%41.2%9.3%3.4%55.3M-1.04B-13.4M0.8510.471,055,380892,1807,073,3805,791,980
2009-02-06$9.27$8.4940.2%12.2%52.4%11.7%42.9%9.4%1.7%66.1M-1.84B-14.1M0.7418.752,482,2801,845,7207,181,3805,957,920
2009-02-09$9.46$8.7442.7%12.6%50.6%13.4%45.7%9.0%1.1%66.9M-2.16B-14.8M0.6821.451,775,7801,201,8407,486,5206,415,920
2009-02-10$8.95$8.7444.8%13.0%55.3%14.8%46.9%9.1%1.9%49.1M-1.17B-14.5M1.0819.511,769,8801,910,5807,656,4806,630,620
2009-02-11$8.94$8.7439.9%12.4%55.3%11.4%44.7%8.7%2.3%48.6M-1.06B-14.3M0.8721.181,141,180995,0807,884,3606,925,560
2009-02-12$9.07$8.7443.3%12.4%52.1%13.8%42.8%8.0%2.4%56.4M-1.34B-14.7M0.6923.261,096,580752,2408,142,5807,023,060
2009-02-13$8.93$8.7442.3%12.1%52.5%13.1%42.0%7.7%3.0%53.8M-1.08B-14.4M0.7922.10939,340745,3008,248,8407,042,760
2009-02-17$8.56$8.7446.4%13.3%55.7%16.0%46.0%8.7%1.2%26.8M-207.2M-13.4M0.8824.441,474,8801,303,3408,338,9007,116,180
2009-02-18$8.82$8.7444.3%12.7%50.6%14.5%44.4%8.7%1.7%54.5M-802.2M-13.6M1.3523.721,018,7801,379,9008,504,0607,169,240
2009-02-19$8.56$8.7444.8%12.9%47.6%14.9%44.1%8.5%1.8%19.3M-129.3M-13.0M0.8526.801,688,9201,429,6608,547,4207,316,980
2009-02-20$8.65$8.7443.5%12.5%47.6%13.9%45.2%8.9%2.4%45.5M-326.0M-13.1M1.6527.891,373,3002,266,7008,705,5007,382,300
2009-02-23$8.24$8.7449.8%14.3%47.3%18.3%49.9%9.2%5.0%3.3M232.7M-12.4M0.9722.58912,520884,2805,952,0604,685,040
2009-02-24$8.63$8.7445.5%13.0%49.9%15.3%47.1%8.4%5.6%13.3M-120.0M-13.6M1.0425.92928,840963,7206,274,5004,956,160
2009-02-25$8.53$8.7446.7%13.4%49.5%16.2%46.6%8.2%5.3%8.5M7.5M-13.6M0.8721.31798,480694,4206,362,3205,245,320
2009-02-26$8.42$8.7446.4%13.3%46.2%16.0%46.1%7.7%4.7%6.9M97.3M-13.4M0.9220.70858,060787,5406,479,0805,316,200
2009-02-27$8.44$8.7445.6%13.1%45.9%15.4%45.7%7.1%5.6%6.3M111.8M-13.7M0.9120.73783,380710,9206,665,5405,535,320