GOOG Options History — November 2009

In November 2009, GOOG traded between $13.34 and $14.63. ATM implied volatility averaged 21.3%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.3% (HV 20d: 20.0%). Max pain ranged from $12.74 to $13.49. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2009-11-20: Highest Volume — 2,799,120 contracts
  • 2009-11-05: Largest IV drop — 11.9% change
  • 2009-11-02: Highest IV Rank — 7.0%
  • 2009-11-02: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.16$13.34$14.63$13.34$14.56
Max Pain$13.09$12.74$13.49$13.49$13.49
ATM IV21.3%19.5%25.8%25.8%21.3%
Expected Move6.3%5.6%7.4%7.4%6.1%
HV 20d20.0%13.3%25.8%25.8%13.3%
HV 60d19.4%18.4%21.1%20.9%18.5%
IV Rank1.7%0.0%7.0%7.0%3.0%
IV Percentile3.9%0.0%19.8%19.8%6.3%
Term Structure2.2%0.6%3.2%0.6%1.8%
VWIV22.4%20.0%26.0%26.0%21.7%
Skew 25d2.6%0.8%3.9%3.8%1.1%
Skew 10d5.5%1.8%8.2%8.0%2.7%
Call IV 25d21.0%19.6%24.2%24.2%21.1%
Put IV 25d23.6%20.5%28.0%28.0%22.2%
Bid-Ask Spread %23.679.8139.3110.6918.87
Gamma HHI0.110.070.180.070.12
Net GEX154.6M37.3M236.0M37.3M163.9M
Net DEX-4.69B-5.76B-2.37B-2.37B-5.11B
Net VEX-17.3M-20.0M-15.8M-20.0M-17.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.450.920.590.65
Total Volume1,622,289907,1402,799,1201,980,7801,053,580
Total OI17,670,50315,009,90019,033,04017,693,60016,627,620

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$13.34$13.4925.8%7.4%25.8%7.0%26.0%3.8%0.6%37.3M-2.37B-20.0M0.5910.691,244,280736,5008,743,2608,950,340
2009-11-03$13.42$13.2423.3%6.7%25.1%3.6%24.0%3.6%1.8%49.8M-2.69B-18.8M0.5534.00751,400415,1808,768,2408,964,200
2009-11-04$13.49$13.2423.4%6.7%21.8%3.7%23.6%3.5%2.0%66.0M-2.91B-19.5M0.6321.96957,880606,4008,783,3009,004,640
2009-11-05$13.70$13.2420.6%5.9%22.0%0.0%21.4%3.2%3.2%117.0M-3.66B-18.4M0.5422.63820,220446,4008,834,8609,040,640
2009-11-06$13.76$12.7420.2%6.7%22.0%0.0%23.7%3.9%2.3%125.9M-3.77B-18.8M0.5738.58578,340328,8008,833,4609,086,040
2009-11-09$14.05$12.7421.3%6.6%22.5%1.7%23.7%3.8%1.9%174.9M-4.73B-17.6M0.5839.101,254,900724,7608,833,7809,134,880
2009-11-10$14.15$12.7420.2%6.5%22.5%0.1%23.5%3.4%2.3%198.9M-5.09B-17.5M0.6439.311,225,940784,5008,858,7209,168,360
2009-11-11$14.25$12.7420.5%6.6%22.0%0.5%23.5%3.1%2.2%207.7M-5.39B-17.5M0.5639.141,399,600787,5808,932,2409,215,640
2009-11-12$14.18$12.7422.7%6.5%21.6%3.6%24.1%3.2%2.3%194.0M-5.08B-17.3M0.7537.65937,940706,5408,890,8809,237,540
2009-11-13$14.29$12.9921.4%6.1%17.8%1.7%22.2%3.0%2.8%218.1M-5.40B-16.7M0.7420.72913,840676,0008,950,5809,360,160
2009-11-16$14.39$12.9920.8%6.0%17.9%0.9%21.7%3.0%2.7%236.0M-5.76B-16.0M0.8418.68929,040777,8209,001,3609,493,440
2009-11-17$14.42$12.9920.5%5.9%17.8%0.5%21.1%2.9%2.8%223.3M-5.72B-16.4M0.5421.02873,160471,6008,968,4409,598,780
2009-11-18$14.40$12.9920.5%5.9%17.8%0.5%21.4%2.4%2.5%225.4M-5.73B-16.1M0.7517.50852,100640,0409,125,6809,697,040
2009-11-19$14.31$12.9921.0%6.0%18.1%1.2%21.3%2.5%2.1%159.3M-5.35B-16.2M0.5614.831,025,460572,9009,184,1809,808,600
2009-11-20$14.23$13.2420.6%5.9%18.2%0.6%20.8%2.3%2.3%94.3M-4.96B-16.6M0.9211.451,456,0601,343,0609,156,9809,876,060
2009-11-23$14.54$13.2421.1%6.0%19.5%1.5%21.4%1.2%1.9%132.5M-4.95B-15.8M0.4512.621,584,420716,5207,333,4007,676,500
2009-11-24$14.56$13.2420.3%5.8%18.9%0.3%20.8%1.1%2.2%154.9M-5.04B-16.2M0.769.81743,540565,6007,877,0607,877,380
2009-11-25$14.63$13.2419.5%5.6%17.7%0.0%20.0%0.8%2.1%172.3M-5.27B-16.5M0.4721.00864,580407,2008,090,2408,092,360
2009-11-27$14.48$13.4921.4%6.2%17.4%3.2%22.0%1.1%1.5%141.1M-4.85B-16.7M0.6523.81769,000503,1008,097,9208,235,260
2009-11-30$14.56$13.4921.3%6.1%13.3%3.0%21.7%1.1%1.8%163.9M-5.11B-17.1M0.6518.87638,920414,6608,207,6008,420,020