GOOG Options History — September 2010

In September 2010, GOOG traded between $11.50 and $13.25. ATM implied volatility averaged 26.2%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.0% (HV 20d: 22.2%). Max pain ranged from $11.49 to $12.49. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2010-09-17: Highest Volume — 4,740,420 contracts
2010-09-09: Largest IV spike — 36.1% change
2010-09-22: Highest IV Rank — 23.0%
2010-09-27: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.35	$11.50	$13.25	$11.50	$13.13
Max Pain	$11.89	$11.49	$12.49	$11.74	$12.49
ATM IV	26.2%	19.1%	29.8%	25.8%	23.0%
Expected Move	8.3%	6.6%	9.5%	6.6%	9.3%
HV 20d	22.2%	18.8%	24.4%	23.1%	18.8%
HV 60d	29.0%	27.7%	30.0%	30.0%	27.7%
IV Rank	16.4%	3.4%	23.0%	15.7%	10.5%
IV Percentile	48.2%	3.6%	67.5%	49.2%	32.9%
Term Structure	-1.4%	-4.9%	6.4%	6.3%	-4.8%
VWIV	29.2%	23.2%	33.5%	23.5%	32.8%
Skew 25d	2.5%	0.2%	3.6%	3.2%	1.9%
Skew 10d	4.7%	0.0%	7.1%	5.7%	3.4%
Call IV 25d	28.0%	21.7%	33.2%	22.2%	32.0%
Put IV 25d	30.5%	24.6%	33.8%	25.3%	33.8%
Bid-Ask Spread %	11.09	5.14	13.90	5.14	10.63
Gamma HHI	0.12	0.06	0.73	0.09	0.08
Net GEX	100.7M	-210.4K	691.3M	35.3M	91.3M
Net DEX	-914.1M	-2.76B	727.4M	727.4M	-2.10B
Net VEX	-17.9M	-21.8M	-15.5M	-16.4M	-21.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.46	0.93	0.83	0.93
Total Volume	2,441,074.286	1,165,220	4,740,420	2,165,600	2,360,360
Total OI	15,304,074.286	11,784,600	16,867,200	15,005,440	16,225,620

Daily Data (21 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
2010-09-01	$11.50	$11.74	25.8%	6.6%	23.1%	15.7%	23.5%	3.2%	6.3%	35.3M	727.4M	-16.4M	0.83	5.14	1,180,700	984,900	8,345,820	6,659,620
2010-09-02	$11.57	$11.99	21.7%	6.6%	23.2%	8.2%	23.2%	2.9%	6.4%	65.7M	520.7M	-16.5M	0.73	5.98	673,040	492,180	8,547,100	6,954,140
2010-09-03	$11.75	$11.49	19.1%	7.9%	23.9%	3.4%	28.2%	3.6%	0.8%	691.3M	-188.7M	-16.6M	0.84	12.49	1,482,760	1,248,400	8,590,900	7,002,760
2010-09-07	$11.60	$11.49	25.2%	8.4%	23.6%	14.6%	30.5%	3.3%	-0.8%	-210.4K	721.1M	-15.9M	0.88	12.58	638,760	562,000	8,252,000	7,007,600
2010-09-08	$11.75	$11.49	21.0%	8.1%	24.4%	6.9%	28.2%	3.6%	-0.3%	28.1M	318.3M	-16.2M	0.56	10.07	1,169,040	653,700	8,416,440	7,150,980
2010-09-09	$11.89	$11.49	28.6%	8.2%	23.6%	20.8%	28.9%	3.3%	-1.2%	87.7M	-173.5M	-16.1M	0.57	11.37	1,512,600	858,020	8,587,060	7,275,220
2010-09-10	$11.89	$11.49	28.0%	8.0%	23.6%	19.6%	28.7%	3.2%	-1.0%	40.2M	-1.2M	-16.5M	0.62	12.69	891,980	550,380	8,764,080	7,499,100
2010-09-13	$12.04	$11.49	28.2%	8.1%	23.9%	20.1%	28.2%	3.5%	-1.3%	73.6M	-362.4M	-16.4M	0.68	12.16	874,720	597,920	8,595,580	7,323,480
2010-09-14	$12.00	$11.49	28.0%	8.0%	23.9%	19.6%	28.4%	3.1%	-1.6%	46.0M	-184.7M	-15.7M	0.67	10.36	730,080	486,640	8,646,360	7,406,800
2010-09-15	$12.00	$11.74	27.8%	8.0%	23.6%	19.3%	27.7%	3.4%	-1.6%	46.9M	-181.0M	-16.0M	0.73	10.94	807,240	588,420	8,759,400	7,499,020
2010-09-16	$12.01	$11.74	27.0%	7.7%	22.8%	17.8%	27.3%	3.2%	-1.1%	61.9M	-260.4M	-15.5M	0.91	13.90	858,060	780,340	8,878,380	7,628,900
2010-09-17	$12.24	$11.74	28.1%	8.1%	20.8%	20.0%	28.5%	3.3%	-2.5%	127.1M	-1.01B	-16.5M	0.65	11.74	2,878,360	1,862,060	8,998,540	7,868,660
2010-09-20	$12.69	$11.99	28.5%	8.2%	23.2%	20.6%	29.2%	1.4%	-1.8%	63.7M	-1.48B	-17.4M	0.65	8.95	2,396,520	1,562,320	5,675,020	6,109,580
2010-09-21	$12.82	$11.99	29.7%	8.5%	23.3%	22.8%	30.1%	1.8%	-2.3%	82.1M	-1.81B	-19.0M	0.52	12.66	3,014,700	1,569,920	6,412,760	6,730,880
2010-09-22	$12.89	$12.24	29.8%	8.5%	19.8%	23.0%	30.4%	1.8%	-2.8%	89.1M	-1.85B	-20.0M	0.77	10.16	1,273,840	985,940	6,860,580	7,201,160
2010-09-23	$12.82	$12.24	29.6%	8.5%	20.3%	22.6%	30.0%	1.8%	-2.6%	67.1M	-1.65B	-20.2M	0.69	12.28	1,322,680	918,760	7,028,620	7,571,440
2010-09-24	$13.17	$12.24	24.9%	8.9%	20.8%	14.1%	31.9%	2.1%	-3.9%	89.4M	-2.76B	-19.9M	0.67	13.47	2,611,640	1,746,300	7,080,960	7,678,840
2010-09-27	$13.25	$12.24	27.5%	9.5%	20.5%	18.8%	33.5%	0.6%	-4.9%	115.4M	-2.72B	-21.0M	0.46	10.87	2,290,520	1,056,540	7,175,520	7,506,820
2010-09-28	$13.17	$12.49	27.1%	9.2%	19.6%	18.0%	32.6%	0.2%	-4.3%	101.9M	-2.38B	-21.3M	0.70	11.17	1,839,440	1,282,600	7,656,960	7,809,400
2010-09-29	$13.18	$12.49	21.8%	9.2%	19.2%	8.4%	32.3%	0.6%	-4.2%	111.0M	-2.36B	-21.7M	0.64	13.18	1,017,700	650,480	7,875,540	8,127,920
2010-09-30	$13.13	$12.49	23.0%	9.3%	18.8%	10.5%	32.8%	1.9%	-4.8%	91.3M	-2.10B	-21.8M	0.93	10.63	1,223,020	1,137,340	7,962,080	8,263,540