GOOG Options History — January 2010

In January 2010, GOOG traded between $13.24 and $15.65. ATM implied volatility averaged 27.3%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 7.1% (HV 20d: 20.2%). Max pain ranged from $14.24 to $14.99. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.67.

Notable Days

  • 2010-01-15: Highest Volume — 7,682,040 contracts
  • 2010-01-14: Largest IV spike — 23.3% change
  • 2010-01-20: Highest IV Rank — 29.7%
  • 2010-01-20: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.45$13.24$15.65$15.65$13.24
Max Pain$14.71$14.24$14.99$14.99$14.24
ATM IV27.3%20.2%34.6%20.2%25.4%
Expected Move8.5%7.3%9.9%7.3%7.3%
HV 20d20.2%9.8%28.4%9.8%26.4%
HV 60d17.9%15.7%21.0%15.7%19.8%
IV Rank16.1%2.7%29.7%2.7%12.4%
IV Percentile39.2%6.7%60.3%6.7%36.1%
Term Structure-1.4%-4.4%0.9%-0.6%0.9%
VWIV29.9%25.8%34.4%25.8%25.9%
Skew 25d1.4%0.5%2.8%1.6%1.8%
Skew 10d2.6%1.1%4.8%3.3%3.6%
Call IV 25d29.2%25.0%33.4%25.3%25.0%
Put IV 25d30.7%26.8%35.5%26.9%26.8%
Bid-Ask Spread %15.4910.9732.5113.1712.39
Gamma HHI0.110.050.600.110.06
Net GEX22.0M-443.0M191.6M191.6M-31.7M
Net DEX-1.96B-5.97B1.64B-5.97B1.64B
Net VEX-20.9M-23.9M-16.1M-16.1M-21.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.451.010.580.73
Total Volume3,741,722.1051,932,2607,682,0402,147,3401,932,260
Total OI16,741,328.42111,158,28021,791,08015,605,60016,502,560

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$15.65$14.9920.2%7.3%9.8%2.7%25.8%1.6%-0.6%191.6M-5.97B-16.1M0.5813.171,360,680786,6607,827,5807,778,020
2010-01-05$15.58$14.9921.7%7.6%10.1%5.4%26.9%1.6%-1.0%177.8M-5.71B-16.4M0.7011.231,295,900913,1608,070,9407,884,960
2010-01-06$15.19$14.9925.9%8.6%14.4%13.4%29.9%1.2%-1.7%74.2M-4.28B-17.4M0.6615.632,789,2601,834,7608,305,5008,111,060
2010-01-07$14.84$14.9925.8%8.6%17.0%13.3%30.2%0.5%-1.1%16.5M-3.12B-18.5M0.7116.353,631,9002,577,1409,141,0608,582,060
2010-01-08$15.04$14.9921.2%8.3%17.5%4.5%29.3%0.8%-1.0%111.8M-4.32B-20.8M0.6412.992,275,9201,445,36010,243,4809,225,940
2010-01-11$15.01$14.9924.5%8.8%17.5%10.8%30.8%0.8%-1.5%93.7M-4.28B-20.6M0.4618.342,231,1401,026,66010,407,6409,440,600
2010-01-12$14.75$14.9925.0%9.1%18.7%11.6%31.9%0.8%-2.2%-24.6M-2.99B-20.7M0.6412.722,338,8201,492,22010,766,9209,635,780
2010-01-13$14.66$14.9925.0%9.1%18.5%11.6%31.9%1.1%-2.5%-40.9M-2.72B-21.1M0.5711.474,252,2802,406,00011,270,5809,858,000
2010-01-14$14.73$14.7430.8%8.8%18.6%22.6%30.8%1.0%-2.5%30.3M-3.32B-21.4M0.6410.972,659,8601,692,90011,640,30010,150,780
2010-01-15$14.49$14.7433.6%9.6%19.2%27.8%33.7%1.0%-2.6%-443.0M-1.93B-21.6M0.8432.514,179,9803,502,06011,667,5409,998,860
2010-01-19$14.68$14.7432.4%9.3%19.8%25.7%32.7%2.1%-3.3%92.7M-1.80B-22.2M0.7613.741,114,080845,4406,359,2404,799,040
2010-01-20$14.50$14.7434.6%9.9%20.1%29.7%34.4%2.1%-4.4%83.3M-1.38B-22.9M0.6419.571,534,340988,5006,817,1805,086,440
2010-01-21$14.56$14.4934.5%9.9%20.1%29.7%33.6%2.8%-4.4%99.8M-1.69B-23.9M0.4516.932,936,9801,327,0407,321,0005,409,280
2010-01-22$13.74$14.4929.3%8.4%28.4%19.8%29.7%0.7%-0.4%13.2M503.2M-22.4M0.6711.583,121,6402,100,5808,056,3205,832,100
2010-01-25$13.49$14.4929.3%8.4%27.6%19.8%29.6%1.5%-0.5%-9.5M1.07B-21.7M0.7014.262,094,7001,476,0408,521,4806,131,600
2010-01-26$13.55$14.4928.4%8.1%27.1%18.1%29.2%2.0%-0.2%6.2M774.1M-22.9M1.0115.181,248,6001,263,0208,883,0406,324,720
2010-01-27$13.54$14.2426.2%7.5%26.7%13.9%26.6%2.2%0.5%-7.6M943.1M-22.7M0.5521.651,564,240861,5809,100,7006,655,040
2010-01-28$13.34$14.2425.7%7.4%26.8%13.0%26.1%1.3%0.8%-15.9M1.26B-22.2M0.7713.581,123,120867,9009,539,3606,738,540
2010-01-29$13.24$14.2425.4%7.3%26.4%12.4%25.9%1.8%0.9%-31.7M1.64B-21.4M0.7312.391,114,440817,8209,685,8406,816,720