GOOG Options History — October 2010

In October 2010, GOOG traded between $13.05 and $15.45. ATM implied volatility averaged 30.2%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.8% (HV 20d: 31.0%). Max pain ranged from $12.49 to $14.74. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.68.

Notable Days

2010-10-15: Highest Volume — 13,819,000 contracts
2010-10-06: Largest IV spike — 53.8% change
2010-10-13: Highest IV Rank — 73.3%
2010-10-01: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.38	$13.05	$15.45	$13.13	$15.33
Max Pain	$13.68	$12.49	$14.74	$12.49	$14.74
ATM IV	30.2%	21.1%	57.3%	21.1%	21.9%
Expected Move	7.5%	6.5%	9.3%	9.3%	6.5%
HV 20d	31.0%	18.9%	41.5%	18.9%	40.7%
HV 60d	28.0%	21.6%	30.8%	27.6%	30.0%
IV Rank	24.8%	7.0%	73.3%	7.0%	9.9%
IV Percentile	56.0%	20.2%	98.4%	20.2%	27.0%
Term Structure	-0.2%	-4.4%	2.2%	-4.4%	2.1%
VWIV	26.7%	23.2%	32.8%	32.8%	23.2%
Skew 25d	0.6%	-0.7%	1.6%	0.7%	1.4%
Skew 10d	1.0%	-2.1%	3.1%	1.5%	2.3%
Call IV 25d	26.4%	22.5%	32.5%	32.5%	22.5%
Put IV 25d	27.0%	23.9%	33.2%	33.2%	23.9%
Bid-Ask Spread %	11.59	5.60	48.87	11.21	15.31
Gamma HHI	0.11	0.06	0.52	0.06	0.08
Net GEX	161.4M	76.0M	472.9M	91.5M	154.5M
Net DEX	-4.73B	-10.27B	-1.82B	-2.08B	-5.74B
Net VEX	-23.4M	-26.6M	-21.2M	-21.7M	-26.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.51	1.02	0.69	0.65
Total Volume	3,328,288.571	1,872,600	13,819,000	2,323,920	1,933,900
Total OI	17,668,834.286	15,055,960	21,014,300	16,817,640	19,051,580

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
2010-10-01	$13.13	$12.49	21.1%	9.3%	18.9%	7.0%	32.8%	0.7%	-4.4%	91.5M	-2.08B	-21.7M	0.69	11.21	1,377,620	946,300	8,248,200	8,569,440
2010-10-04	$13.05	$12.99	24.7%	8.2%	19.1%	13.6%	29.0%	1.2%	-1.3%	76.0M	-1.82B	-22.0M	0.74	9.96	1,114,600	830,220	7,907,340	8,245,840
2010-10-05	$13.44	$12.99	24.4%	8.0%	19.8%	13.1%	28.2%	1.4%	-1.2%	151.5M	-3.24B	-22.2M	0.58	10.34	2,021,660	1,181,260	8,123,600	8,474,900
2010-10-06	$13.35	$12.99	37.6%	8.2%	20.3%	37.2%	29.1%	0.4%	-1.0%	142.6M	-2.93B	-22.4M	0.59	9.04	1,621,700	955,280	8,527,320	8,712,100
2010-10-07	$13.24	$12.99	38.3%	7.9%	20.8%	38.5%	28.0%	0.7%	-0.5%	116.6M	-2.49B	-22.2M	0.57	7.41	1,366,840	782,940	8,705,740	8,921,720
2010-10-08	$13.40	$12.99	36.9%	7.7%	20.9%	36.0%	27.1%	1.0%	-0.7%	136.6M	-3.20B	-21.9M	0.73	7.90	1,441,480	1,050,440	8,787,100	9,068,140
2010-10-11	$13.46	$12.99	47.6%	8.0%	20.7%	55.6%	28.3%	-0.4%	-1.3%	143.4M	-3.31B	-21.5M	0.55	7.99	1,895,180	1,040,760	8,498,400	8,878,460
2010-10-12	$13.52	$13.24	51.3%	8.0%	20.4%	62.4%	28.3%	-0.3%	-1.1%	140.2M	-3.39B	-21.5M	0.62	11.94	1,784,100	1,097,780	8,680,320	9,248,600
2010-10-13	$13.57	$13.24	57.3%	7.8%	20.3%	73.3%	27.6%	-0.0%	-1.5%	149.0M	-3.55B	-21.5M	0.67	11.96	1,636,720	1,090,600	8,916,620	9,516,580
2010-10-14	$13.51	$13.24	30.2%	8.7%	20.6%	23.8%	30.3%	1.6%	-2.4%	119.1M	-3.07B	-21.6M	0.83	48.87	3,292,800	2,725,680	9,217,440	9,766,880
2010-10-15	$15.02	$13.24	25.0%	7.2%	41.0%	16.5%	25.3%	1.0%	0.3%	472.9M	-10.27B	-21.2M	0.51	5.60	9,157,220	4,661,780	10,338,640	10,675,660
2010-10-18	$15.43	$13.74	27.0%	7.7%	40.3%	20.7%	27.4%	-0.3%	0.0%	172.0M	-6.50B	-22.0M	0.65	7.06	3,370,240	2,195,120	7,414,960	7,641,000
2010-10-19	$15.18	$13.99	25.6%	7.3%	41.4%	17.8%	26.0%	-0.7%	0.5%	171.3M	-5.82B	-23.7M	0.82	6.62	1,819,660	1,488,240	7,972,880	8,326,560
2010-10-20	$15.18	$14.24	24.1%	6.9%	41.5%	14.6%	24.6%	-0.0%	1.1%	172.3M	-5.75B	-24.5M	0.76	6.97	1,376,340	1,052,620	8,238,140	8,827,860
2010-10-21	$15.28	$14.24	23.6%	6.8%	41.2%	13.5%	24.0%	0.9%	1.4%	172.2M	-5.97B	-25.8M	0.82	12.42	1,319,960	1,078,720	8,429,060	9,103,180
2010-10-22	$15.30	$14.49	23.0%	6.6%	40.7%	12.2%	23.5%	1.5%	1.5%	158.2M	-6.07B	-25.9M	1.02	10.45	1,061,060	1,078,400	8,558,800	9,345,380
2010-10-25	$15.40	$14.49	24.9%	7.1%	40.7%	16.2%	25.3%	0.2%	0.4%	154.6M	-5.97B	-25.4M	0.62	10.23	1,870,100	1,155,000	8,154,300	9,035,980
2010-10-26	$15.45	$14.49	23.3%	6.7%	40.4%	12.9%	24.0%	1.1%	1.2%	159.1M	-6.08B	-25.7M	0.62	11.86	1,303,020	802,920	8,505,820	9,381,860
2010-10-27	$15.40	$14.74	23.8%	6.8%	40.6%	13.9%	24.2%	0.6%	1.6%	148.7M	-5.97B	-26.0M	0.73	11.45	1,080,120	792,480	8,730,400	9,584,820
2010-10-28	$15.45	$14.74	23.0%	6.6%	40.4%	12.3%	23.7%	1.1%	2.2%	187.0M	-6.19B	-26.5M	0.62	8.73	1,259,820	783,380	8,887,800	9,826,100
2010-10-29	$15.33	$14.74	21.9%	6.5%	40.7%	9.9%	23.2%	1.4%	2.1%	154.5M	-5.74B	-26.6M	0.65	15.31	1,174,980	758,920	9,033,740	10,017,840