GOOG Options History — July 2009 In July 2009, GOOG traded between $9.91 and $11.16. ATM implied volatility averaged 39.0%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 12.6% (HV 20d: 26.3%). Max pain ranged from $10.24 to $10.74. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.81.
Notable Days 2009-07-16 : Highest Volume — 7,571,160 contracts2009-07-16 : Largest IV drop — 52.4% change2009-07-15 : Highest IV Rank — 32.4%2009-07-02 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $10.67 $9.91 $11.16 $10.46 $11.07 Max Pain $10.58 $10.24 $10.74 $10.49 $10.74 ATM IV 39.0% 24.4% 70.1% 38.8% 24.4% Expected Move 8.8% 7.0% 12.1% 11.1% 7.0% HV 20d 26.3% 20.7% 30.1% 21.0% 27.0% HV 60d 24.0% 23.2% 24.5% 24.2% 24.5% IV Rank 10.8% 0.7% 32.4% 10.7% 0.7% IV Percentile 31.8% 0.4% 90.5% 33.7% 0.8% Term Structure -0.6% -8.4% 3.1% -7.4% 3.1% VWIV 30.9% 24.5% 42.3% 38.8% 24.5% Skew 25d 3.6% 1.8% 5.5% 4.5% 2.2% Skew 10d 6.8% 3.0% 10.6% 8.9% 4.0% Call IV 25d 29.1% 23.1% 40.2% 36.5% 23.5% Put IV 25d 32.6% 25.7% 44.8% 41.1% 25.7% Bid-Ask Spread % 11.23 6.07 26.07 6.07 9.64 Gamma HHI 0.09 0.05 0.49 0.07 0.07 Net GEX 49.9M -2.9M 172.2M 35.2M 43.2M Net DEX -1.17B -2.71B 147.5M -888.5M -1.51B Net VEX -16.7M -17.8M -15.3M -16.5M -17.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.53 1.60 0.88 0.66 Total Volume 2,147,781.818 900,940 7,571,160 900,940 1,336,700 Total OI 14,890,180 12,631,120 18,850,200 13,785,380 15,310,260
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 2009-07-01 $10.46 $10.49 38.8% 11.1% 21.0% 10.7% 38.8% 4.5% -7.4% 35.2M -888.5M -16.5M 0.88 6.07 479,960 420,980 7,183,180 6,602,200 2009-07-02 $10.20 $10.49 42.3% 12.1% 21.1% 13.1% 42.3% 4.6% -8.4% 15.3M -404.7M -16.6M 0.80 8.52 739,220 589,820 7,274,540 6,729,400 2009-07-06 $10.23 $10.49 48.4% 10.1% 20.7% 17.3% 35.3% 4.5% -1.9% 21.0M -491.4M -16.6M 0.53 10.25 817,700 429,620 7,461,580 6,870,420 2009-07-07 $9.91 $10.49 51.7% 10.5% 22.8% 19.6% 36.7% 4.5% -2.2% -2.9M 147.5M -16.2M 0.63 12.52 968,960 607,160 7,595,780 6,957,240 2009-07-08 $10.05 $10.49 54.2% 10.8% 23.8% 21.4% 37.4% 4.8% -2.4% 11.5M -205.8M -16.7M 0.53 16.02 1,000,640 533,740 7,875,260 7,108,940 2009-07-09 $10.25 $10.49 52.5% 10.3% 25.2% 20.2% 36.1% 4.9% -1.8% 29.9M -629.7M -16.9M 0.77 11.83 791,200 610,740 8,057,760 7,221,220 2009-07-10 $10.35 $10.49 54.3% 10.3% 25.5% 21.5% 36.1% 5.1% -2.2% 37.9M -819.6M -17.0M 0.93 12.79 839,320 779,100 8,187,700 7,367,800 2009-07-13 $10.60 $10.24 66.4% 10.2% 26.8% 29.8% 35.6% 5.4% -1.9% 62.1M -1.39B -16.7M 0.79 11.34 1,314,520 1,043,680 8,298,340 7,503,700 2009-07-14 $10.61 $10.24 68.2% 9.9% 25.8% 31.1% 34.1% 5.1% -1.6% 68.9M -1.45B -16.5M 0.75 14.33 1,142,740 855,780 8,576,320 7,788,780 2009-07-15 $10.94 $10.24 70.1% 9.3% 27.9% 32.4% 33.0% 5.5% -1.4% 116.1M -2.42B -16.6M 0.79 13.78 1,982,100 1,568,760 8,819,460 7,940,420 2009-07-16 $11.05 $10.49 33.4% 9.6% 28.0% 6.9% 33.6% 4.4% -2.4% 128.3M -2.71B -16.8M 0.77 26.07 4,281,600 3,289,560 9,063,540 8,219,540 2009-07-17 $10.75 $10.74 25.6% 7.3% 30.1% 1.5% 25.8% 2.4% 1.1% 172.2M -1.47B -15.3M 0.82 11.21 3,681,160 3,035,600 9,703,660 9,146,540 2009-07-20 $10.74 $10.74 25.6% 7.3% 29.8% 1.5% 25.6% 2.4% 1.5% 27.6M -965.8M -15.7M 0.74 10.73 831,320 618,820 6,416,240 6,214,880 2009-07-21 $10.69 $10.74 25.1% 7.2% 27.4% 1.2% 25.4% 2.0% 1.6% 22.7M -851.9M -15.9M 0.97 11.41 551,640 535,220 6,605,200 6,408,920 2009-07-22 $10.68 $10.74 24.8% 7.1% 27.3% 1.0% 25.1% 2.1% 1.9% 23.3M -851.4M -16.2M 1.10 10.66 569,880 629,020 6,705,140 6,513,300 2009-07-23 $10.92 $10.74 24.4% 7.0% 28.1% 0.7% 24.7% 3.1% 1.4% 43.6M -1.30B -16.6M 0.75 7.38 975,020 735,380 6,844,320 6,692,080 2009-07-24 $11.16 $10.74 25.2% 7.2% 28.5% 1.2% 25.7% 2.9% 1.3% 61.6M -1.76B -17.5M 0.71 7.70 1,325,800 944,380 6,987,140 6,931,120 2009-07-27 $11.11 $10.74 26.1% 7.5% 27.7% 1.9% 26.0% 2.4% 1.3% 53.0M -1.62B -17.5M 0.65 8.13 987,420 640,680 7,052,720 7,056,720 2009-07-28 $10.99 $10.74 25.8% 7.4% 28.1% 1.7% 26.5% 1.8% 1.6% 44.4M -1.39B -17.4M 1.60 6.51 596,640 955,480 7,223,820 7,118,360 2009-07-29 $10.90 $10.74 25.4% 7.3% 28.2% 1.4% 25.8% 1.9% 2.1% 26.2M -1.13B -17.7M 0.83 8.40 594,440 492,940 7,301,220 7,587,500 2009-07-30 $11.13 $10.74 24.7% 7.1% 28.8% 0.9% 25.4% 1.9% 2.6% 56.9M -1.73B -17.8M 0.76 11.86 1,206,360 920,400 7,402,000 7,659,700 2009-07-31 $11.07 $10.74 24.4% 7.0% 27.0% 0.7% 24.5% 2.2% 3.1% 43.2M -1.51B -17.6M 0.66 9.64 803,560 533,140 7,482,800 7,827,460
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