GOOG Options History — October 2009 In October 2009, GOOG traded between $12.10 and $13.84. ATM implied volatility averaged 34.7%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 14.0% (HV 20d: 20.6%). Max pain ranged from $11.99 to $13.49. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.70.
Notable Days 2009-10-16 : Highest Volume — 10,822,560 contracts2009-10-15 : Largest IV drop — 54.7% change2009-10-14 : Highest IV Rank — 34.8%2009-10-01 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $13.24 $12.10 $13.84 $12.17 $13.39 Max Pain $12.76 $11.99 $13.49 $11.99 $13.49 ATM IV 34.7% 21.0% 71.9% 36.3% 25.3% Expected Move 7.8% 6.0% 10.4% 10.4% 7.2% HV 20d 20.6% 14.7% 25.6% 14.7% 25.6% HV 60d 20.1% 19.5% 21.2% 20.4% 21.0% IV Rank 9.9% 0.2% 34.8% 10.5% 6.3% IV Percentile 29.9% 0.8% 95.6% 36.1% 15.5% Term Structure -0.6% -6.1% 2.6% -6.1% 0.8% VWIV 27.6% 21.1% 36.8% 36.6% 25.7% Skew 25d 1.2% -0.6% 3.9% -0.3% 3.9% Skew 10d 2.4% -1.3% 8.5% -0.0% 8.5% Call IV 25d 27.0% 20.1% 36.9% 36.6% 24.0% Put IV 25d 28.2% 22.0% 36.3% 36.3% 27.9% Bid-Ask Spread % 15.22 7.59 28.73 15.43 9.24 Gamma HHI 0.10 0.06 0.46 0.06 0.07 Net GEX 124.1M 31.6M 583.6M 36.9M 39.3M Net DEX -3.61B -6.95B -1.60B -1.73B -2.50B Net VEX -17.5M -19.8M -15.8M -17.6M -19.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.46 1.04 0.90 0.74 Total Volume 2,645,920.909 1,200,480 10,822,560 1,629,840 2,734,260 Total OI 16,645,328.182 14,440,620 21,440,580 14,948,240 17,286,620
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 2009-10-01 $12.17 $11.99 36.3% 10.4% 14.7% 10.5% 36.6% -0.3% -6.1% 36.9M -1.73B -17.6M 0.90 15.43 857,220 772,620 7,516,460 7,431,780 2009-10-02 $12.10 $11.99 36.2% 10.4% 14.8% 10.5% 36.8% -0.6% -6.1% 31.6M -1.60B -17.3M 1.04 17.87 618,540 641,320 7,784,420 7,707,260 2009-10-05 $12.20 $12.24 41.0% 8.8% 14.8% 13.8% 31.2% 1.3% -1.4% 40.8M -1.80B -17.7M 0.59 12.49 756,920 443,560 7,889,080 7,938,780 2009-10-06 $12.46 $12.24 42.5% 8.9% 15.7% 14.8% 31.3% 1.6% -1.6% 71.7M -2.43B -17.8M 0.84 16.44 717,920 601,960 8,015,480 8,028,460 2009-10-07 $12.93 $12.24 45.3% 9.0% 19.5% 16.7% 32.0% 2.0% -2.0% 118.8M -3.69B -17.2M 0.46 18.81 2,287,880 1,054,020 8,094,880 8,176,200 2009-10-08 $12.84 $12.49 44.0% 8.9% 19.6% 15.8% 31.2% 1.3% -1.8% 110.1M -3.36B -17.3M 0.52 20.15 1,667,580 861,300 8,265,980 8,360,240 2009-10-09 $12.89 $12.49 45.0% 8.7% 19.5% 16.5% 30.9% 1.0% -1.4% 113.6M -3.40B -17.7M 0.57 24.01 966,600 547,060 8,382,380 8,421,540 2009-10-12 $13.09 $12.49 58.7% 9.0% 19.9% 25.8% 32.1% -0.5% -2.0% 139.6M -4.07B -16.9M 0.58 13.98 1,857,020 1,070,780 8,604,760 8,550,260 2009-10-13 $13.14 $12.49 65.3% 9.2% 19.9% 30.3% 32.3% 0.5% -2.2% 152.8M -4.30B -17.6M 0.51 18.55 1,764,040 892,900 9,161,560 8,881,040 2009-10-14 $13.37 $12.49 71.9% 9.4% 19.4% 34.8% 33.1% 0.8% -2.7% 193.2M -5.07B -17.2M 0.65 18.89 2,292,500 1,490,680 9,568,840 9,157,420 2009-10-15 $13.23 $12.49 32.6% 9.3% 20.1% 8.0% 32.4% 0.9% -2.7% 177.9M -4.48B -17.6M 0.59 21.72 4,342,300 2,583,340 10,047,920 9,638,060 2009-10-16 $13.73 $12.74 23.3% 6.7% 23.2% 3.4% 24.0% 0.9% 0.7% 583.6M -6.95B -16.1M 0.62 17.21 6,676,620 4,145,940 10,966,120 10,474,460 2009-10-19 $13.79 $12.99 21.9% 6.3% 23.1% 1.5% 22.6% 1.1% 1.2% 116.2M -4.02B -15.8M 0.98 10.96 1,004,360 985,780 7,326,200 7,114,420 2009-10-20 $13.78 $13.24 21.3% 6.1% 23.2% 0.7% 21.8% 0.8% 1.3% 113.4M -3.99B -16.4M 0.82 28.73 1,061,860 869,460 7,533,000 7,434,060 2009-10-21 $13.76 $13.24 21.4% 6.1% 23.2% 0.8% 21.6% 1.3% 0.9% 113.0M -3.92B -16.7M 0.81 12.11 1,048,280 847,120 7,695,040 7,592,300 2009-10-22 $13.84 $13.24 21.0% 6.0% 23.0% 0.2% 21.1% 1.8% 1.6% 112.0M -3.99B -17.4M 0.79 8.82 748,100 588,420 7,694,000 7,779,060 2009-10-23 $13.83 $13.24 21.7% 6.2% 22.5% 1.2% 21.7% 1.9% 1.6% 104.9M -3.90B -18.1M 0.75 9.43 763,240 571,220 7,808,560 7,990,620 2009-10-26 $13.84 $13.24 22.0% 6.3% 22.4% 1.7% 22.0% 1.8% 1.8% 106.3M -4.00B -17.3M 0.62 11.25 1,182,660 734,820 7,882,480 8,127,720 2009-10-27 $13.69 $13.24 21.4% 6.1% 23.1% 0.8% 21.9% 1.3% 2.2% 85.9M -3.52B -17.9M 0.67 12.37 1,152,280 768,200 8,004,400 8,258,700 2009-10-28 $13.49 $13.24 23.5% 6.8% 23.8% 3.9% 23.8% 1.6% 1.4% 66.6M -3.00B -18.7M 0.89 7.59 808,800 718,920 8,278,720 8,379,580 2009-10-29 $13.76 $13.24 21.3% 6.1% 22.9% 0.7% 21.6% 2.5% 2.6% 101.7M -3.74B -18.4M 0.58 8.72 1,082,240 629,620 8,351,020 8,597,340 2009-10-30 $13.39 $13.49 25.3% 7.2% 25.6% 6.3% 25.7% 3.9% 0.8% 39.3M -2.50B -19.8M 0.74 9.24 1,571,780 1,162,480 8,508,940 8,777,680
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