GOOG Options History — August 2010

In August 2010, GOOG traded between $11.24 and $12.69. ATM implied volatility averaged 26.0%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 2.4% (HV 20d: 28.4%). Max pain ranged from $11.99 to $12.49. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-08-20: Highest Volume — 4,124,800 contracts
  • 2010-08-30: Largest IV spike — 17.7% change
  • 2010-08-24: Highest IV Rank — 23.6%
  • 2010-08-24: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.97$11.24$12.69$12.25$11.24
Max Pain$12.26$11.99$12.49$11.99$11.99
ATM IV26.0%21.0%30.1%26.4%29.0%
Expected Move7.3%6.2%8.6%6.8%7.5%
HV 20d28.4%20.5%35.8%35.7%24.9%
HV 60d30.8%29.6%32.7%32.7%29.6%
IV Rank16.0%6.8%23.6%16.7%21.6%
IV Percentile49.2%17.9%68.7%55.6%63.1%
Term Structure3.5%0.8%5.1%1.1%5.1%
VWIV25.9%22.6%30.1%24.4%25.9%
Skew 25d3.5%2.5%5.1%3.6%3.0%
Skew 10d7.1%4.8%10.2%6.9%4.8%
Call IV 25d24.4%21.0%28.7%22.4%25.0%
Put IV 25d27.9%24.1%32.3%26.0%28.0%
Bid-Ask Spread %8.756.3112.759.106.89
Gamma HHI0.090.060.160.080.07
Net GEX25.3M-76.4M144.5M61.7M-26.1M
Net DEX188.5M-1.63B1.63B-391.9M1.34B
Net VEX-17.9M-19.5M-16.1M-18.7M-16.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.490.880.620.71
Total Volume1,851,951.818870,9404,124,8001,101,5001,497,060
Total OI14,859,369.09112,983,48016,312,66014,168,54014,536,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$12.25$11.9926.4%6.8%35.7%16.7%24.4%3.6%1.1%61.7M-391.9M-18.7M0.629.10679,600421,9007,636,0206,532,520
2010-08-03$12.23$11.9924.8%6.7%35.7%13.8%23.9%2.8%0.8%58.5M-319.0M-18.5M0.8610.43469,420401,5207,765,4406,638,360
2010-08-04$12.65$11.9927.9%6.2%35.8%19.4%23.1%3.6%1.4%144.5M-1.58B-18.9M0.638.301,991,3401,250,4807,843,6006,695,800
2010-08-05$12.69$11.9923.2%6.2%35.7%10.8%22.6%3.0%2.0%141.4M-1.63B-19.5M0.689.191,215,260831,4407,995,5806,881,720
2010-08-06$12.49$12.4921.0%6.9%35.7%6.8%25.0%3.0%3.3%8.8M-973.9M-19.1M0.8310.471,708,8201,423,3008,073,9807,034,220
2010-08-09$12.62$12.4922.7%6.6%35.4%10.0%23.7%3.4%3.7%117.4M-1.34B-18.9M0.548.52880,120471,8407,947,3806,965,160
2010-08-10$12.58$12.4923.4%6.9%34.3%11.3%24.3%3.8%3.5%112.2M-1.19B-19.2M0.8812.75706,300618,2208,120,5607,067,220
2010-08-11$12.28$12.4925.0%7.5%35.4%14.2%26.3%3.2%3.0%37.1M-281.4M-19.2M0.6610.771,030,500678,7208,257,6407,193,580
2010-08-12$12.29$12.4926.0%7.4%35.3%16.0%26.3%3.9%3.4%46.7M-309.4M-19.2M0.759.96718,560542,2208,347,6607,248,880
2010-08-13$12.15$12.4925.8%7.4%23.5%15.6%26.2%4.1%3.8%22.0M220.9M-18.7M0.829.72897,380733,5408,370,4007,321,680
2010-08-16$12.13$12.4925.6%7.3%23.2%15.3%26.0%4.2%3.8%11.8M258.6M-18.1M0.588.96801,520464,5008,153,3807,156,820
2010-08-17$12.25$12.4924.4%7.0%20.5%13.1%24.4%5.1%4.4%61.3M-144.4M-17.7M0.818.19848,960683,9208,283,4807,197,920
2010-08-18$12.04$12.4924.3%7.0%21.2%12.9%24.5%3.9%4.8%3.9M439.2M-16.9M0.757.791,026,740768,2808,351,8607,249,360
2010-08-19$11.69$12.4926.9%7.7%23.1%17.6%26.9%3.4%3.5%-76.4M1.39B-17.0M0.798.941,855,5801,472,3208,566,1207,317,680
2010-08-20$11.54$12.4928.1%8.1%22.9%19.9%28.3%2.5%2.8%-69.6M1.63B-17.1M0.817.122,282,8401,841,9608,890,2807,422,380
2010-08-23$11.59$12.2427.8%8.0%23.0%19.4%27.8%3.3%4.3%-21.6M860.1M-16.7M0.497.201,188,060583,5406,990,3405,993,140
2010-08-24$11.27$12.2430.1%8.6%24.3%23.6%30.1%3.6%3.3%-37.5M1.36B-16.7M0.877.51956,520830,8807,377,3806,146,260
2010-08-25$11.35$11.9928.7%8.2%24.2%21.0%28.7%3.6%4.2%-28.8M1.21B-17.1M0.739.75867,900632,9607,693,0806,312,740
2010-08-26$11.26$11.9928.8%8.3%24.2%21.2%28.8%3.8%4.2%-38.2M1.38B-16.8M0.808.04765,520614,4607,922,8806,464,020
2010-08-27$11.46$11.9923.7%7.4%25.3%11.9%26.3%4.1%5.1%51.6M984.4M-17.1M0.796.561,204,680951,5608,124,8806,579,980
2010-08-30$11.31$11.9927.9%7.7%25.0%19.6%26.7%3.3%5.0%-23.2M1.24B-16.5M0.506.31622,300310,4007,855,1606,382,900
2010-08-31$11.24$11.9929.0%7.5%24.9%21.6%25.9%3.0%5.1%-26.1M1.34B-16.1M0.716.89873,560623,5008,076,4206,460,260