GOOG Options History — April 2009

In April 2009, GOOG traded between $8.84 and $9.89. ATM implied volatility averaged 46.1%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 11.8% (HV 20d: 34.3%). Max pain ranged from $8.49 to $9.49. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-04-16: Highest Volume — 8,804,800 contracts
  • 2009-04-17: Largest IV drop — 29.2% change
  • 2009-04-08: Highest IV Rank — 27.4%
  • 2009-04-02: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.43$8.84$9.89$8.84$9.89
Max Pain$9.04$8.49$9.49$8.49$9.49
ATM IV46.1%31.6%62.9%55.2%31.6%
Expected Move12.6%9.1%16.0%15.8%9.1%
HV 20d34.3%28.7%47.3%47.3%28.8%
HV 60d45.3%41.7%48.3%48.2%41.9%
IV Rank15.8%5.7%27.4%22.1%5.7%
IV Percentile48.3%10.3%82.5%72.6%10.3%
Term Structure-2.6%-9.0%1.1%-7.2%0.5%
VWIV44.1%32.6%56.5%55.0%32.6%
Skew 25d6.2%4.1%10.0%8.7%4.4%
Skew 10d11.8%7.7%18.5%15.9%8.2%
Call IV 25d41.1%30.6%51.0%50.3%30.6%
Put IV 25d47.3%34.9%61.0%59.1%34.9%
Bid-Ask Spread %17.779.9427.5716.8112.29
Gamma HHI0.080.060.220.060.09
Net GEX35.0M14.7M81.2M18.9M49.9M
Net DEX-1.23B-2.50B-670.0M-670.0M-1.47B
Net VEX-14.7M-15.6M-14.1M-14.8M-14.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.651.320.810.90
Total Volume2,233,824.762640,6408,804,800995,0201,708,700
Total OI13,188,924.76210,995,86017,978,60011,732,36012,890,400

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$8.84$8.4955.2%15.8%47.3%22.1%55.0%8.7%-7.2%18.9M-670.0M-14.8M0.8116.81549,380445,6405,997,2005,735,160
2009-04-02$9.05$8.4955.9%16.0%44.1%22.6%56.5%10.0%-9.0%23.6M-916.5M-14.9M1.0312.411,261,7401,297,5806,036,7205,878,880
2009-04-03$9.24$8.7455.6%13.5%44.3%22.3%46.6%8.4%-2.5%27.1M-1.16B-15.6M1.3223.71677,160896,4606,249,4406,318,880
2009-04-06$9.20$8.7459.8%13.8%36.8%25.2%48.9%8.3%-3.0%22.2M-1.05B-15.3M0.9523.50799,680757,8406,321,2406,625,100
2009-04-07$8.96$8.7462.5%14.1%34.9%27.1%49.1%8.0%-3.2%14.7M-736.1M-15.1M1.0327.33723,840747,3406,496,9806,798,320
2009-04-08$9.04$8.7462.9%13.9%33.8%27.4%48.7%7.8%-3.2%17.9M-841.9M-15.3M1.0125.51600,080605,2806,718,6407,053,080
2009-04-09$9.30$8.7448.2%13.8%34.5%17.2%47.8%7.5%-3.5%29.7M-1.29B-15.4M0.7123.771,165,720830,5406,844,0807,257,580
2009-04-13$9.44$8.9951.6%14.8%34.6%19.6%51.3%7.3%-5.7%36.2M-1.53B-15.3M0.8019.94991,960792,5207,016,6407,411,600
2009-04-14$9.21$8.9953.6%15.4%35.6%21.0%53.3%6.8%-6.6%20.7M-1.08B-15.1M0.7816.131,293,7001,006,8007,183,6207,665,580
2009-04-15$9.48$8.9952.9%15.2%33.2%20.5%53.2%5.3%-7.0%41.4M-1.68B-15.6M0.6513.421,813,1801,177,6207,606,8007,987,620
2009-04-16$9.71$8.9952.5%15.1%33.4%20.2%53.4%7.6%-6.2%60.2M-2.18B-14.9M0.8627.574,746,1004,058,7007,740,5407,965,760
2009-04-17$9.80$8.9937.2%10.7%32.8%9.6%37.5%4.1%1.1%81.2M-2.50B-14.2M0.7221.444,951,5803,545,3408,924,2809,054,320
2009-04-20$9.47$9.2439.8%11.4%36.0%11.4%40.5%4.3%-0.4%28.9M-947.5M-14.2M0.9515.44877,000836,6806,169,1604,826,700
2009-04-21$9.53$9.2437.7%10.8%31.3%9.9%38.1%4.4%0.3%33.5M-1.03B-14.1M1.0021.01665,700663,3406,411,8805,028,340
2009-04-22$9.59$9.2437.6%10.8%31.2%9.8%37.5%4.6%-0.1%37.3M-1.12B-14.3M1.2615.08581,980734,6606,576,9405,166,840
2009-04-23$9.61$9.4936.3%10.4%30.8%8.9%36.1%4.5%-0.2%35.4M-1.06B-14.3M0.8914.30433,160384,4206,583,0605,269,300
2009-04-24$9.73$9.2434.1%9.8%29.9%7.4%34.5%4.8%0.8%39.1M-1.20B-14.2M0.8211.01769,800629,2606,644,6405,358,440
2009-04-27$9.64$9.4935.1%10.1%29.4%8.1%35.8%5.0%0.4%34.4M-1.06B-14.2M0.7512.02366,800273,8406,771,6405,485,320
2009-04-28$9.58$9.2435.7%10.2%28.7%8.5%35.7%4.8%-0.4%34.9M-1.00B-14.1M0.959.94482,280459,1006,839,5605,496,140
2009-04-29$9.78$9.4932.6%9.4%29.0%6.4%33.4%4.5%0.2%47.7M-1.31B-14.1M1.0510.63638,920668,9006,960,3605,600,640
2009-04-30$9.89$9.4931.6%9.1%28.8%5.7%32.6%4.4%0.5%49.9M-1.47B-14.3M0.9012.29900,980807,7207,088,0005,802,400