GOOG Options History — May 2009

In May 2009, GOOG traded between $9.68 and $10.42. ATM implied volatility averaged 29.6%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.8% (HV 20d: 24.8%). Max pain ranged from $8.74 to $9.49. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2009-05-15: Highest Volume — 3,176,020 contracts
  • 2009-05-11: Largest IV spike — 16.1% change
  • 2009-05-11: Highest IV Rank — 7.2%
  • 2009-05-13: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.99$9.68$10.42$9.83$10.42
Max Pain$9.08$8.74$9.49$9.49$9.24
ATM IV29.6%24.8%33.7%32.5%24.8%
Expected Move8.6%7.1%10.0%9.3%7.1%
HV 20d24.8%22.1%28.3%28.2%23.2%
HV 60d37.6%34.1%41.9%41.9%34.1%
IV Rank4.3%0.9%7.2%6.3%0.9%
IV Percentile7.7%0.4%20.6%15.1%0.4%
Term Structure4.7%-0.2%8.0%-0.2%8.0%
VWIV30.4%25.7%35.3%32.4%25.7%
Skew 25d3.8%3.1%5.3%4.2%3.1%
Skew 10d7.4%6.1%10.3%7.4%6.5%
Call IV 25d28.5%23.9%33.3%30.4%23.9%
Put IV 25d32.3%27.0%37.2%34.5%27.0%
Bid-Ask Spread %19.408.6428.248.6420.34
Gamma HHI0.090.060.150.090.10
Net GEX43.4M-3.2M73.1M44.3M65.8M
Net DEX-1.47B-2.11B-799.4M-1.33B-2.11B
Net VEX-14.2M-15.5M-13.3M-14.4M-15.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.621.500.680.91
Total Volume1,559,070944,0203,176,0201,239,4001,387,220
Total OI13,099,62110,732,32015,209,90013,178,72013,185,400

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$9.83$9.4932.5%9.3%28.2%6.3%32.4%4.2%-0.2%44.3M-1.33B-14.4M0.688.64736,900502,5007,224,5805,954,140
2009-05-04$10.04$8.7432.5%9.1%28.3%6.3%32.7%5.3%3.7%63.2M-1.83B-14.3M0.7424.72632,920470,5607,353,2206,079,000
2009-05-05$10.06$8.7432.4%9.2%28.1%6.2%32.5%4.9%3.4%57.6M-1.78B-14.2M0.8320.75515,320428,7007,309,1806,147,100
2009-05-06$10.08$8.7431.4%9.2%25.7%5.5%32.4%4.1%3.3%62.1M-1.83B-14.0M0.7928.03768,960607,6807,352,7406,180,500
2009-05-07$9.91$8.9931.5%9.3%26.9%5.6%33.1%4.1%3.3%42.2M-1.45B-14.0M0.8228.24784,220640,8807,415,0006,287,200
2009-05-08$10.17$8.9929.1%9.0%26.7%3.9%32.0%4.1%3.6%73.1M-2.06B-14.2M0.7621.541,085,000823,8607,567,3206,375,800
2009-05-11$10.19$8.9933.7%9.3%26.4%7.2%33.0%4.1%3.5%63.4M-2.00B-14.1M0.7920.95974,860770,5607,570,7606,486,320
2009-05-12$9.97$8.9932.2%9.8%26.1%6.1%34.6%3.8%2.5%38.5M-1.51B-14.1M1.0519.531,089,3201,138,9007,691,8406,553,340
2009-05-13$9.73$8.9932.2%10.0%26.2%6.1%35.3%3.8%2.2%6.7M-920.8M-14.0M0.8216.871,078,080886,9607,960,6406,732,360
2009-05-14$9.68$8.9932.2%9.2%24.9%6.1%32.4%3.3%3.7%-3.2M-799.4M-13.7M0.6321.111,497,100936,5008,111,6606,765,360
2009-05-15$9.74$8.9929.7%8.5%24.8%4.3%30.2%3.5%4.4%47.8M-994.5M-13.3M1.1222.041,500,6201,675,4008,398,1806,811,720
2009-05-18$9.91$8.9929.1%8.3%22.2%3.9%29.6%3.3%6.4%29.0M-1.16B-13.8M0.6414.49886,240571,3005,827,2604,905,060
2009-05-19$9.96$9.2427.3%7.8%22.1%2.7%27.8%3.1%6.0%33.2M-1.26B-14.1M0.7318.79583,620428,9006,102,7005,115,020
2009-05-20$9.92$9.2426.3%7.5%22.2%2.0%26.7%3.4%6.2%32.7M-1.20B-14.0M0.8020.87567,560451,7006,194,2605,170,920
2009-05-21$9.90$9.2427.9%8.0%22.2%3.1%28.5%3.3%6.2%32.3M-1.18B-14.3M1.1222.49696,580779,3806,289,0405,260,860
2009-05-22$9.83$9.2427.3%7.8%22.1%2.7%27.6%3.1%7.6%30.8M-1.08B-14.6M1.5013.95400,160602,0006,515,5805,459,940
2009-05-26$10.10$9.2427.4%7.9%23.7%2.8%27.5%4.0%7.0%44.0M-1.51B-14.4M0.6217.33854,100531,5806,589,4205,626,260
2009-05-27$10.13$9.2426.1%7.5%23.5%1.9%27.0%3.6%7.4%47.8M-1.57B-14.8M1.0413.90735,820763,2006,811,4005,748,100
2009-05-28$10.25$9.2427.5%7.9%22.9%2.8%28.0%3.6%6.7%56.4M-1.82B-15.0M0.8013.40775,020621,2206,991,1805,872,060
2009-05-29$10.42$9.2424.8%7.1%23.2%0.9%25.7%3.1%8.0%65.8M-2.11B-15.5M0.9120.34726,200661,0207,133,8006,051,600