GOOG Options History — May 2010

In May 2010, GOOG traded between $11.79 and $13.25. ATM implied volatility averaged 33.0%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.8% (HV 20d: 35.8%). Max pain ranged from $12.74 to $13.74. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-05-21: Highest Volume — 7,846,880 contracts
  • 2010-05-04: Largest IV spike — 31.4% change
  • 2010-05-20: Highest IV Rank — 44.1%
  • 2010-05-20: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.42$11.79$13.25$13.25$12.12
Max Pain$13.26$12.74$13.74$13.74$12.74
ATM IV33.0%24.6%41.3%24.6%30.1%
Expected Move9.4%7.1%11.8%7.1%8.6%
HV 20d35.8%31.8%42.6%32.8%36.1%
HV 60d28.1%23.4%30.2%23.4%30.0%
IV Rank28.8%13.5%44.1%13.5%23.5%
IV Percentile77.1%43.7%92.5%43.7%70.2%
Term Structure0.2%-3.0%3.3%1.1%3.3%
VWIV33.2%25.5%41.9%25.5%30.6%
Skew 25d5.4%1.2%9.6%1.2%4.6%
Skew 10d11.5%2.9%22.9%2.9%9.2%
Call IV 25d31.2%24.8%38.4%24.8%29.0%
Put IV 25d36.5%26.1%47.9%26.1%33.7%
Bid-Ask Spread %14.478.8228.7514.3212.28
Gamma HHI0.060.040.110.060.04
Net GEX-26.4M-83.2M32.5M15.9M-3.6M
Net DEX1.62B270.9M3.47B270.9M1.10B
Net VEX-22.7M-24.9M-20.7M-24.4M-21.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.520.990.620.59
Total Volume2,544,4531,092,5407,846,8801,092,5401,182,820
Total OI17,206,09913,500,08019,555,18016,299,12014,973,920

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$13.25$13.7424.6%7.1%32.8%13.5%25.5%1.2%1.1%15.9M270.9M-24.4M0.6214.32674,000418,5409,575,5606,723,560
2010-05-04$12.65$13.7432.4%9.3%36.2%27.7%33.1%2.9%-1.8%-46.9M1.85B-22.7M0.6712.552,349,2201,575,6609,554,2606,741,580
2010-05-05$12.73$13.4930.0%8.6%36.4%23.4%30.9%3.4%-0.2%-23.2M1.45B-23.7M0.6713.971,795,3601,194,28010,091,1206,896,980
2010-05-06$12.45$13.4934.3%9.8%36.6%31.2%34.8%4.7%-2.6%-32.9M1.99B-23.1M0.5928.752,079,3601,226,50010,393,9407,057,820
2010-05-07$12.32$13.4937.4%10.4%36.6%36.9%36.2%7.3%-1.0%-35.3M2.21B-23.7M0.7916.391,610,6401,264,90010,610,4407,113,060
2010-05-10$13.03$13.4928.8%8.2%42.6%21.2%29.6%4.6%1.7%32.5M274.8M-24.9M0.7516.451,354,8801,020,62010,687,3207,232,100
2010-05-11$12.71$13.4929.3%8.3%41.7%22.0%28.8%4.4%1.2%-35.1M1.47B-23.5M0.7813.31935,740733,98010,614,4407,455,760
2010-05-12$12.62$13.4929.8%8.5%41.5%23.0%29.9%4.3%0.3%-39.1M1.70B-22.8M0.6017.791,711,6601,018,66010,816,1607,459,420
2010-05-13$12.76$13.2428.9%8.3%41.5%21.4%28.9%3.6%1.1%-10.5M1.06B-23.7M0.5214.911,614,420845,00010,988,3407,510,580
2010-05-14$12.68$13.2431.0%8.9%31.8%25.2%31.3%5.2%0.5%-26.2M1.39B-23.8M0.9715.881,084,3201,048,24011,132,8007,590,900
2010-05-17$12.69$13.2431.8%9.1%31.9%26.6%32.0%5.5%0.2%-29.1M1.41B-23.4M0.5911.411,193,760703,10011,354,2607,774,520
2010-05-18$12.45$13.2435.1%10.1%31.9%32.6%34.7%5.7%-1.4%-54.2M2.08B-22.6M0.5613.911,395,720781,30011,408,7607,778,220
2010-05-19$12.35$13.2435.4%10.2%31.9%33.3%34.8%6.9%-0.6%-77.9M2.41B-22.4M0.8514.261,433,5201,223,98011,521,5607,803,160
2010-05-20$11.86$13.2441.3%11.8%34.1%44.1%41.9%9.6%-3.0%-83.2M3.47B-21.5M0.9918.231,665,1001,646,20011,697,6807,787,180
2010-05-21$11.79$13.2440.6%11.6%34.0%42.8%40.6%8.9%-2.3%-61.0M3.45B-20.7M0.7713.164,437,3603,409,52011,854,6007,700,580
2010-05-24$11.92$12.9938.1%10.9%33.9%38.1%38.4%7.2%0.8%-8.3M1.31B-21.3M0.788.82920,000713,6407,671,3805,828,700
2010-05-25$11.91$12.9937.0%10.6%34.0%36.1%37.9%6.8%1.5%-8.8M1.35B-21.6M0.6711.28809,600545,2207,863,1006,043,360
2010-05-26$11.87$12.7434.2%9.8%33.9%31.0%34.9%5.3%1.7%-9.1M1.36B-21.5M0.8010.26921,200737,1408,069,6606,128,440
2010-05-27$12.25$12.7429.5%8.5%36.2%22.5%29.9%5.4%3.2%8.0M817.0M-21.7M0.7711.38911,920701,9808,308,3006,308,460
2010-05-28$12.12$12.7430.1%8.6%36.1%23.5%30.6%4.6%3.3%-3.6M1.10B-21.6M0.5912.28744,220438,6008,447,6806,526,240