GOOG Options History — September 2009

In September 2009, GOOG traded between $11.31 and $12.46. ATM implied volatility averaged 29.4%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 11.7% (HV 20d: 17.7%). Max pain ranged from $10.99 to $11.99. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2009-09-17: Highest Volume — 4,878,760 contracts
  • 2009-09-10: Largest IV spike — 26.7% change
  • 2009-09-30: Highest IV Rank — 9.4%
  • 2009-09-30: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.00$11.31$12.46$11.38$12.38
Max Pain$11.60$10.99$11.99$10.99$11.99
ATM IV29.4%22.6%34.7%25.3%34.7%
Expected Move8.7%7.1%9.9%7.3%9.9%
HV 20d17.7%12.9%21.8%21.3%12.9%
HV 60d22.6%20.1%23.6%23.6%20.1%
IV Rank5.8%1.2%9.4%3.1%9.4%
IV Percentile21.5%2.0%34.5%11.1%34.5%
Term Structure-1.3%-5.5%7.9%7.5%-5.5%
VWIV30.8%25.4%35.0%25.8%35.0%
Skew 25d1.7%-0.0%3.6%1.6%0.6%
Skew 10d3.5%-0.0%7.3%3.2%2.1%
Call IV 25d30.0%24.5%34.8%25.3%34.8%
Put IV 25d31.7%26.3%35.3%26.9%35.3%
Bid-Ask Spread %20.857.8628.9810.3623.58
Gamma HHI0.110.060.270.070.07
Net GEX75.0M15.3M198.6M28.2M52.5M
Net DEX-2.29B-4.18B-1.12B-1.33B-2.11B
Net VEX-16.3M-17.4M-15.2M-16.7M-17.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.420.970.750.47
Total Volume1,650,040.952708,9604,878,7601,697,9001,886,000
Total OI14,975,271.42911,922,72018,113,42014,895,28014,244,700

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$11.38$10.9925.3%7.3%21.3%3.1%25.8%1.6%7.5%28.2M-1.33B-16.7M0.7510.36972,620725,2807,323,2407,572,040
2009-09-02$11.31$10.9926.0%7.4%21.3%3.5%26.0%1.5%7.6%15.3M-1.12B-17.4M0.619.93543,020329,1607,443,8807,672,900
2009-09-03$11.43$10.9924.9%7.1%21.5%2.7%25.4%1.8%7.9%37.4M-1.46B-17.4M0.707.86417,340291,6207,586,1007,703,260
2009-09-04$11.52$11.7422.6%8.8%21.1%1.2%31.5%3.5%-1.2%51.6M-1.69B-16.2M0.9727.86574,900559,9207,639,9607,777,520
2009-09-08$11.45$11.4925.0%8.8%21.2%2.8%31.0%3.6%-1.8%36.9M-1.49B-16.2M0.8727.46728,880631,9607,718,3207,935,800
2009-09-09$11.59$11.4922.8%8.6%21.5%1.3%30.2%3.4%-1.4%62.2M-1.84B-16.5M0.8927.17587,580523,0407,882,1208,148,620
2009-09-10$11.76$11.4928.9%8.3%21.8%5.5%29.6%3.5%-1.3%87.9M-2.25B-16.2M0.6825.25839,240572,3807,871,3008,211,160
2009-09-11$11.79$11.4928.0%8.0%21.6%4.9%28.5%3.1%-0.8%88.6M-2.36B-15.4M0.8724.86720,720625,9407,924,9608,290,760
2009-09-14$11.87$11.4928.7%8.2%21.6%5.4%29.2%2.5%-1.5%109.1M-2.54B-15.7M0.7624.43795,960608,3607,967,1608,339,740
2009-09-15$11.93$11.4928.3%8.1%17.2%5.1%28.7%2.1%-1.5%119.6M-2.72B-15.4M0.8023.11952,920759,6408,037,9808,446,080
2009-09-16$12.20$11.4929.3%8.4%18.4%5.8%29.8%2.1%-2.1%192.9M-3.55B-15.7M0.5216.692,023,2201,052,9008,096,5208,602,360
2009-09-17$12.28$11.4931.4%9.0%18.2%7.2%31.8%1.2%-3.1%198.6M-3.82B-15.9M0.5312.093,181,5001,697,2608,162,8408,842,440
2009-09-18$12.27$11.7430.2%8.7%14.0%6.4%30.4%1.8%-2.7%119.0M-4.18B-15.2M0.4717.242,209,3601,029,1408,640,5609,472,860
2009-09-21$12.41$11.7431.7%9.1%14.1%7.4%32.3%1.6%-3.3%50.4M-2.17B-15.8M0.6828.98647,880441,8405,804,6006,118,120
2009-09-22$12.46$11.7432.4%9.3%14.0%7.9%32.8%0.2%-3.4%55.0M-2.33B-15.4M0.4224.64988,460412,8205,969,5606,240,280
2009-09-23$12.45$11.7433.0%9.5%14.0%8.3%33.5%-0.0%-4.0%59.7M-2.34B-16.4M0.6517.591,079,600700,0206,245,6006,382,980
2009-09-24$12.41$11.9933.7%9.7%13.7%8.8%34.1%0.4%-4.3%53.7M-2.24B-16.4M0.5815.00913,400526,4006,462,9806,694,000
2009-09-25$12.30$11.9932.4%9.3%14.1%7.9%32.7%0.9%-3.3%45.4M-1.98B-17.1M0.6525.74677,440437,9206,632,2206,839,400
2009-09-28$12.45$11.9933.2%9.5%14.4%8.4%33.7%1.0%-4.2%55.8M-2.26B-16.8M0.8623.52512,080438,8006,687,0006,975,080
2009-09-29$12.45$11.9934.2%9.8%13.9%9.1%34.5%0.6%-5.2%54.8M-2.25B-16.9M0.6424.57629,300405,0406,796,2607,077,440
2009-09-30$12.38$11.9934.7%9.9%12.9%9.4%35.0%0.6%-5.5%52.5M-2.11B-17.1M0.4723.581,286,080599,9206,996,8207,247,880