GOOG Options History — December 2009

In December 2009, GOOG traded between $14.61 and $15.56. ATM implied volatility averaged 20.1%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.8% (HV 20d: 11.3%). Max pain ranged from $11.49 to $13.99. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.71.

Notable Days

2009-12-28: Highest Volume — 2,565,000 contracts
2009-12-10: Largest IV spike — 15.2% change
2009-12-10: Highest IV Rank — 5.4%
2009-12-04: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.97	$14.61	$15.56	$14.73	$15.48
Max Pain	$12.73	$11.49	$13.99	$13.49	$13.99
ATM IV	20.1%	18.8%	21.7%	20.2%	19.5%
Expected Move	5.9%	5.5%	6.6%	5.8%	5.6%
HV 20d	11.3%	8.6%	13.8%	13.2%	9.7%
HV 60d	18.0%	17.1%	18.5%	18.5%	17.1%
IV Rank	2.2%	0.0%	5.4%	1.1%	1.3%
IV Percentile	4.2%	0.0%	12.3%	0.8%	2.0%
Term Structure	4.4%	1.9%	5.9%	1.9%	5.9%
VWIV	21.3%	19.6%	23.1%	20.8%	19.9%
Skew 25d	1.3%	-0.4%	2.0%	1.4%	-0.4%
Skew 10d	2.7%	-1.5%	4.4%	3.1%	-1.3%
Call IV 25d	20.5%	19.0%	22.5%	19.9%	20.0%
Put IV 25d	21.8%	19.7%	24.2%	21.3%	19.7%
Bid-Ask Spread %	14.61	5.55	22.88	22.62	5.55
Gamma HHI	0.18	0.09	0.45	0.13	0.10
Net GEX	185.9M	111.8M	325.9M	188.1M	162.5M
Net DEX	-5.40B	-6.11B	-4.17B	-5.58B	-5.50B
Net VEX	-16.0M	-16.8M	-15.2M	-16.4M	-16.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.45	1.02	0.59	0.84
Total Volume	1,612,107.273	984,060	2,565,000	1,520,680	984,060
Total OI	16,632,538.182	12,904,440	19,366,020	16,769,480	15,424,760

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
2009-12-01	$14.73	$13.49	20.2%	5.8%	13.2%	1.1%	20.8%	1.4%	1.9%	188.1M	-5.58B	-16.4M	0.59	22.62	953,400	567,280	8,241,520	8,527,960
2009-12-02	$14.67	$13.74	19.6%	5.6%	13.6%	0.2%	20.1%	1.2%	2.4%	177.8M	-5.33B	-16.5M	0.58	12.70	685,560	398,400	8,298,240	8,623,940
2009-12-03	$14.63	$13.74	19.3%	5.5%	13.8%	0.0%	19.6%	1.4%	2.9%	178.6M	-5.27B	-16.4M	0.50	21.59	701,300	353,880	8,495,920	8,718,220
2009-12-04	$14.61	$11.49	19.3%	6.6%	13.3%	0.1%	23.1%	1.6%	3.2%	172.1M	-5.17B	-16.8M	0.70	21.16	1,155,080	805,040	8,522,080	8,845,000
2009-12-07	$14.64	$11.49	19.3%	6.4%	13.3%	0.0%	23.0%	1.7%	3.5%	186.4M	-5.26B	-16.4M	0.80	22.88	651,340	520,960	8,673,740	8,928,880
2009-12-08	$14.66	$11.49	18.9%	6.3%	11.6%	0.0%	22.9%	2.0%	3.8%	192.3M	-5.34B	-16.0M	0.98	21.89	671,000	657,580	8,704,420	8,990,220
2009-12-09	$14.71	$11.74	18.8%	6.4%	11.4%	0.0%	23.0%	1.9%	4.1%	192.1M	-5.36B	-16.3M	1.02	18.91	729,280	745,900	8,743,340	9,084,400
2009-12-10	$14.77	$11.74	21.7%	6.2%	11.3%	5.4%	22.2%	2.0%	4.2%	219.5M	-5.62B	-16.3M	1.02	17.52	748,580	763,520	8,838,880	9,233,980
2009-12-11	$14.75	$11.99	21.2%	6.1%	11.1%	4.6%	21.6%	1.8%	5.0%	196.0M	-5.43B	-16.0M	0.76	19.64	776,740	591,360	8,874,860	9,300,020
2009-12-14	$14.88	$11.99	21.1%	6.0%	11.2%	4.3%	21.7%	1.9%	4.7%	284.8M	-6.01B	-15.2M	0.64	16.23	1,191,440	763,720	8,935,640	9,304,900
2009-12-15	$14.81	$12.24	21.3%	6.1%	11.2%	4.6%	21.5%	1.8%	4.5%	226.0M	-5.57B	-15.3M	0.54	13.12	855,860	459,220	9,009,560	9,418,960
2009-12-16	$14.93	$12.24	20.9%	6.0%	11.5%	3.9%	21.3%	1.6%	4.7%	325.9M	-6.11B	-15.2M	0.45	13.19	1,727,320	771,460	9,099,300	9,476,380
2009-12-17	$14.83	$12.24	21.3%	6.1%	11.8%	4.8%	21.7%	1.5%	4.8%	201.5M	-5.49B	-15.4M	0.70	13.29	1,238,440	862,180	9,183,780	9,597,300
2009-12-18	$14.90	$12.49	20.1%	5.8%	11.4%	2.5%	20.7%	1.9%	5.2%	171.7M	-6.00B	-15.2M	0.63	14.74	1,487,560	933,860	9,474,540	9,891,480
2009-12-21	$14.95	$12.49	19.6%	5.6%	11.1%	1.6%	20.7%	1.7%	4.8%	111.8M	-4.17B	-15.3M	1.00	10.95	698,980	701,620	6,588,180	6,316,260
2009-12-22	$15.01	$13.24	19.8%	5.7%	8.6%	1.9%	20.4%	1.4%	4.7%	117.9M	-4.34B	-15.8M	0.59	10.11	724,240	427,380	6,884,080	6,648,440
2009-12-23	$15.28	$13.49	20.4%	5.8%	10.3%	3.0%	20.9%	1.4%	4.8%	147.7M	-5.11B	-16.0M	0.54	5.84	1,585,700	850,200	7,139,140	6,862,860
2009-12-24	$15.45	$13.49	20.2%	5.8%	10.7%	2.5%	21.1%	1.2%	5.1%	150.2M	-5.32B	-16.6M	0.63	15.79	841,840	527,400	7,237,180	7,095,080
2009-12-28	$15.56	$13.74	20.7%	5.9%	9.6%	3.5%	21.5%	0.3%	5.4%	168.8M	-5.71B	-15.8M	0.76	8.48	1,460,340	1,104,660	7,344,020	7,170,040
2009-12-29	$15.47	$13.74	19.5%	5.6%	10.1%	1.3%	20.0%	-0.4%	5.7%	156.3M	-5.49B	-16.1M	0.78	7.31	867,380	673,520	7,494,920	7,422,140
2009-12-30	$15.55	$13.74	19.8%	5.7%	9.6%	1.8%	20.1%	0.0%	5.3%	161.4M	-5.59B	-16.5M	0.66	7.98	754,080	497,700	7,622,620	7,628,660
2009-12-31	$15.48	$13.99	19.5%	5.6%	9.7%	1.3%	19.9%	-0.4%	5.9%	162.5M	-5.50B	-16.4M	0.84	5.55	533,660	450,400	7,730,000	7,694,760