GOOG Options History — June 2009

In June 2009, GOOG traded between $10.13 and $11.10. ATM implied volatility averaged 32.7%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 11.3% (HV 20d: 21.5%). Max pain ranged from $9.24 to $10.49. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.85.

Notable Days

2009-06-19: Highest Volume — 3,210,360 contracts
2009-06-11: Largest IV spike — 37.0% change
2009-06-22: Highest IV Rank — 10.5%
2009-06-22: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.58	$10.13	$11.10	$10.65	$10.53
Max Pain	$10.22	$9.24	$10.49	$9.24	$10.24
ATM IV	32.7%	24.6%	38.5%	26.6%	37.8%
Expected Move	9.8%	7.6%	11.0%	7.6%	10.8%
HV 20d	21.5%	18.4%	24.0%	24.0%	21.2%
HV 60d	26.7%	24.2%	32.9%	32.9%	24.2%
IV Rank	6.5%	0.8%	10.5%	2.2%	10.0%
IV Percentile	18.1%	0.4%	32.1%	2.0%	32.1%
Term Structure	-1.6%	-6.2%	6.8%	6.3%	-6.2%
VWIV	34.4%	27.4%	38.6%	27.4%	37.7%
Skew 25d	3.4%	2.5%	4.8%	2.7%	4.8%
Skew 10d	6.6%	4.6%	8.9%	6.4%	8.2%
Call IV 25d	32.8%	25.6%	36.9%	25.6%	35.3%
Put IV 25d	36.2%	28.3%	40.9%	28.3%	40.1%
Bid-Ask Spread %	17.05	6.36	36.91	11.36	9.79
Gamma HHI	0.10	0.05	0.29	0.11	0.07
Net GEX	43.9M	-19.2M	93.2M	82.9M	40.4M
Net DEX	-1.93B	-3.48B	-482.4M	-2.62B	-1.05B
Net VEX	-16.1M	-16.7M	-15.2M	-15.6M	-16.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.59	1.51	0.59	0.92
Total Volume	1,846,449.091	837,980	3,210,360	2,348,940	984,480
Total OI	14,866,992.727	11,300,940	18,025,440	13,393,180	13,525,860

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
2009-06-01	$10.65	$9.24	26.6%	7.6%	24.0%	2.2%	27.4%	2.7%	6.3%	82.9M	-2.62B	-15.6M	0.59	11.36	1,478,560	870,380	7,231,620	6,161,560
2009-06-02	$10.70	$9.49	27.1%	7.8%	23.1%	2.5%	27.8%	2.5%	6.3%	75.0M	-2.61B	-15.8M	0.67	8.34	818,940	548,940	7,349,860	6,381,540
2009-06-03	$10.78	$9.49	27.8%	8.0%	23.2%	3.1%	29.5%	3.0%	6.2%	79.2M	-2.82B	-15.9M	1.51	11.61	1,017,940	1,539,620	7,419,340	6,482,720
2009-06-04	$11.00	$9.74	26.6%	7.6%	23.9%	2.2%	27.5%	2.8%	6.8%	85.5M	-3.24B	-16.2M	0.62	6.36	1,493,620	922,800	7,587,860	7,337,540
2009-06-05	$11.10	$10.24	25.4%	9.6%	22.5%	1.4%	33.5%	3.5%	-1.3%	90.1M	-3.48B	-16.2M	0.84	29.79	1,150,700	965,960	7,760,800	7,548,860
2009-06-08	$10.96	$10.24	26.7%	9.8%	22.0%	2.2%	34.8%	3.6%	-1.9%	81.7M	-3.15B	-15.9M	0.89	28.64	1,010,680	897,540	7,840,120	7,724,000
2009-06-09	$10.88	$10.24	25.3%	9.4%	22.3%	1.3%	33.1%	3.2%	-1.2%	76.8M	-2.97B	-15.9M	0.74	36.91	932,180	693,180	7,993,660	7,945,300
2009-06-10	$10.80	$10.49	24.6%	9.6%	20.6%	0.8%	33.5%	2.9%	-1.6%	66.2M	-2.75B	-15.8M	0.94	34.83	1,144,060	1,074,360	8,161,320	8,109,580
2009-06-11	$10.71	$10.49	33.7%	9.7%	18.4%	7.1%	33.6%	2.7%	-1.9%	53.7M	-2.50B	-16.6M	1.28	31.61	628,820	805,680	8,351,940	8,283,920
2009-06-12	$10.61	$10.49	33.8%	9.7%	18.8%	7.2%	33.5%	2.6%	-2.1%	27.2M	-2.17B	-15.5M	0.86	18.41	865,980	746,140	8,330,040	8,266,900
2009-06-15	$10.41	$10.49	36.1%	10.4%	20.5%	8.8%	36.3%	2.6%	-3.5%	-16.9M	-1.59B	-15.2M	0.87	18.99	1,219,340	1,055,740	8,392,860	8,330,960
2009-06-16	$10.39	$10.49	36.9%	10.6%	19.9%	9.4%	36.9%	2.9%	-3.4%	-12.6M	-1.61B	-15.7M	0.86	16.83	1,023,620	881,920	8,578,700	8,436,820
2009-06-17	$10.37	$10.49	36.7%	10.5%	19.9%	9.2%	36.7%	3.3%	-3.3%	-11.8M	-1.61B	-15.9M	1.20	18.16	1,196,280	1,432,560	8,732,000	8,539,780
2009-06-18	$10.34	$10.49	36.9%	10.6%	19.9%	9.4%	36.3%	3.4%	-3.3%	-19.2M	-1.42B	-16.2M	0.66	18.17	1,318,200	872,360	8,789,020	9,029,620
2009-06-19	$10.49	$10.49	34.4%	9.9%	20.3%	7.6%	34.5%	3.4%	-2.2%	93.2M	-2.10B	-16.3M	0.69	16.02	1,900,180	1,310,180	8,969,480	9,055,960
2009-06-22	$10.17	$10.49	38.5%	11.0%	23.3%	10.5%	38.5%	3.9%	-4.1%	16.3M	-520.8M	-15.8M	0.61	11.68	1,253,900	761,440	5,917,600	5,383,340
2009-06-23	$10.13	$10.49	38.2%	11.0%	21.4%	10.3%	38.6%	4.1%	-4.2%	18.5M	-482.4M	-16.1M	1.20	9.55	576,980	694,740	6,308,900	5,605,080
2009-06-24	$10.22	$10.24	37.5%	10.8%	21.6%	9.8%	37.3%	4.1%	-4.7%	21.4M	-588.1M	-16.4M	0.59	9.07	645,680	384,140	6,459,620	5,898,460
2009-06-25	$10.38	$10.24	36.5%	10.5%	21.9%	9.1%	37.2%	4.6%	-4.2%	28.2M	-802.5M	-16.6M	0.71	11.59	489,280	348,700	6,561,120	6,041,280
2009-06-26	$10.62	$10.24	36.3%	10.4%	22.6%	8.9%	36.7%	4.5%	-4.9%	42.4M	-1.21B	-16.7M	0.66	8.24	982,940	653,140	6,685,440	6,159,280
2009-06-29	$10.59	$10.24	36.8%	10.5%	21.2%	9.3%	36.5%	4.5%	-6.0%	47.0M	-1.16B	-16.5M	0.74	9.10	591,920	438,080	7,032,980	6,371,200
2009-06-30	$10.53	$10.24	37.8%	10.8%	21.2%	10.0%	37.7%	4.8%	-6.2%	40.4M	-1.05B	-16.5M	0.92	9.79	511,480	473,000	7,076,860	6,449,000