GOOG Options History — August 2009

In August 2009, GOOG traded between $11.09 and $11.77. ATM implied volatility averaged 23.9%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.2% (HV 20d: 22.6%). Max pain ranged from $10.24 to $10.99. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2009-08-20: Highest Volume — 4,574,160 contracts
  • 2009-08-17: Largest IV spike — 13.9% change
  • 2009-08-17: Highest IV Rank — 3.2%
  • 2009-08-17: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.44$11.09$11.77$11.29$11.53
Max Pain$10.61$10.24$10.99$10.74$10.99
ATM IV23.9%20.8%25.6%25.2%25.3%
Expected Move7.0%6.4%7.3%7.2%7.2%
HV 20d22.6%17.7%27.7%27.7%20.7%
HV 60d23.6%22.8%24.4%24.4%23.6%
IV Rank1.7%0.0%3.2%1.2%3.0%
IV Percentile3.8%0.0%10.7%3.6%9.9%
Term Structure4.9%1.1%7.1%1.1%6.8%
VWIV24.8%22.8%25.8%25.6%25.6%
Skew 25d2.5%1.5%3.5%2.6%1.8%
Skew 10d5.0%3.1%7.3%4.4%3.5%
Call IV 25d23.5%21.6%24.8%24.1%24.8%
Put IV 25d26.0%24.0%27.1%26.8%26.5%
Bid-Ask Spread %12.637.9020.4410.969.97
Gamma HHI0.090.070.170.080.07
Net GEX67.0M-911.2K127.8M72.9M41.2M
Net DEX-2.01B-2.91B-1.07B-2.00B-1.60B
Net VEX-16.7M-18.0M-15.8M-17.2M-17.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.561.201.030.75
Total Volume1,634,749.524860,4204,574,1601,923,2401,051,780
Total OI15,869,464.76213,060,78017,719,26015,427,92014,809,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$11.29$10.7425.2%7.2%27.7%1.2%25.6%2.6%1.1%72.9M-2.00B-17.2M1.0310.96949,260973,9807,531,2807,896,640
2009-08-04$11.33$10.9923.9%6.8%24.0%0.3%24.1%2.8%1.6%68.7M-2.00B-18.0M0.7510.52610,740459,7007,612,5208,272,860
2009-08-05$11.27$10.9924.4%7.0%24.2%0.7%24.5%2.1%1.3%63.7M-1.89B-17.8M0.5610.30924,800516,5607,685,5608,317,340
2009-08-06$11.25$10.9923.9%6.9%23.7%0.3%24.1%1.9%1.7%68.9M-1.87B-17.4M0.7112.88608,480431,4807,760,1208,376,800
2009-08-07$11.42$10.2420.9%6.9%23.9%0.0%24.9%2.8%5.4%93.7M-2.28B-17.4M0.6615.221,021,780677,7607,815,3208,429,460
2009-08-10$11.40$10.2421.8%7.0%23.0%0.6%25.2%2.7%5.0%80.8M-2.14B-17.0M1.0214.84426,460433,9607,823,5808,479,400
2009-08-11$11.34$10.2421.6%7.0%23.2%0.4%24.4%2.6%5.0%71.8M-1.96B-16.5M0.9916.24437,560431,3207,872,0608,504,700
2009-08-12$11.45$10.2420.8%6.8%20.9%0.0%24.2%2.8%5.2%101.0M-2.33B-16.5M1.0115.53653,660663,0607,916,2208,532,440
2009-08-13$11.55$10.2423.6%6.8%20.8%1.9%23.8%2.4%5.1%110.3M-2.54B-16.2M0.8514.05684,520582,2607,927,2008,634,140
2009-08-14$11.49$10.2422.5%6.4%17.7%1.1%22.8%2.3%5.8%89.8M-2.30B-15.9M1.1017.14525,560576,2608,011,4808,756,820
2009-08-17$11.11$10.2425.6%7.3%22.0%3.2%25.7%2.8%4.5%9.1M-1.18B-15.8M0.9215.101,312,3601,201,0808,085,9608,763,920
2009-08-18$11.12$10.2424.6%7.1%21.9%2.6%25.3%3.0%5.2%34.5M-1.31B-16.0M1.0420.44761,600792,4408,304,9408,853,800
2009-08-19$11.09$10.4924.7%7.1%21.9%2.7%24.8%2.9%5.4%-911.2K-1.07B-15.9M0.9915.39895,420883,8808,269,2208,900,140
2009-08-20$11.50$10.4924.7%7.1%24.1%2.6%25.2%3.4%5.1%127.8M-2.65B-16.0M0.8111.482,532,1602,042,0008,249,9208,855,720
2009-08-21$11.62$10.7423.6%6.8%23.3%1.9%24.4%3.5%5.5%69.0M-2.91B-16.0M0.7710.071,501,9001,149,2208,406,9609,312,300
2009-08-24$11.71$10.7424.4%7.0%23.2%2.4%25.0%2.3%7.1%64.9M-2.14B-16.2M0.8410.071,173,340990,6206,536,8206,523,960
2009-08-25$11.77$10.7425.3%7.2%22.7%3.0%25.7%2.2%6.0%71.9M-2.25B-16.8M0.887.901,100,780966,8406,878,6406,851,640
2009-08-26$11.69$10.9925.4%7.3%22.6%3.1%25.8%2.1%5.8%59.5M-2.01B-17.3M0.829.20669,740548,8607,068,7407,174,120
2009-08-27$11.64$10.9924.3%7.0%21.7%2.4%25.1%1.5%6.7%55.5M-1.92B-17.5M1.208.54515,440619,2607,202,8407,357,920
2009-08-28$11.61$10.9924.6%7.0%21.6%2.5%24.5%1.7%6.7%52.4M-1.85B-16.9M0.969.33527,280504,5807,223,7407,472,460
2009-08-31$11.53$10.9925.3%7.2%20.7%3.0%25.6%1.8%6.8%41.2M-1.60B-17.1M0.759.97600,720451,0607,236,3807,572,680