GOOG Options History — November 2010

In November 2010, GOOG traded between $13.88 and $15.65. ATM implied volatility averaged 23.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.2% (HV 20d: 26.3%). Max pain ranged from $13.99 to $14.74. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2010-11-30: Highest Volume — 5,636,040 contracts
2010-11-29: Largest IV spike — 34.4% change
2010-11-30: Highest IV Rank — 41.2%
2010-11-30: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.04	$13.88	$15.65	$15.36	$13.88
Max Pain	$14.47	$13.99	$14.74	$14.74	$14.49
ATM IV	23.2%	16.8%	36.4%	26.3%	36.4%
Expected Move	6.7%	5.6%	9.2%	6.8%	9.2%
HV 20d	26.3%	13.0%	40.4%	40.4%	24.1%
HV 60d	28.9%	28.2%	30.2%	29.7%	30.2%
IV Rank	13.2%	0.0%	41.2%	19.2%	41.2%
IV Percentile	31.8%	0.0%	90.1%	53.2%	90.1%
Term Structure	3.2%	1.1%	4.6%	1.2%	1.1%
VWIV	23.8%	20.2%	32.0%	24.7%	32.0%
Skew 25d	2.0%	-0.1%	3.7%	1.3%	2.7%
Skew 10d	4.0%	-0.1%	7.3%	2.8%	4.6%
Call IV 25d	22.8%	19.2%	31.0%	23.6%	31.0%
Put IV 25d	24.7%	20.2%	33.7%	24.9%	33.7%
Bid-Ask Spread %	11.61	6.36	16.47	11.66	6.77
Gamma HHI	0.11	0.06	0.20	0.09	0.06
Net GEX	130.2M	-2.1M	303.5M	170.4M	-2.1M
Net DEX	-4.42B	-7.17B	-376.8M	-5.94B	-376.8M
Net VEX	-24.4M	-26.0M	-22.9M	-26.0M	-22.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.46	1.07	0.95	0.64
Total Volume	2,686,446.667	1,410,820	5,636,040	1,942,180	5,636,040
Total OI	19,433,947.619	16,644,160	21,386,400	18,514,420	18,384,600

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
2010-11-01	$15.36	$14.74	26.3%	6.8%	40.4%	19.2%	24.7%	1.3%	1.2%	170.4M	-5.94B	-26.0M	0.95	11.66	995,360	946,820	8,890,400	9,624,020
2010-11-02	$15.37	$14.74	23.9%	6.5%	39.6%	14.3%	23.1%	1.7%	1.6%	177.5M	-5.91B	-25.8M	0.68	12.98	838,600	572,220	9,016,320	9,832,420
2010-11-03	$15.49	$14.74	21.3%	6.2%	39.3%	8.7%	22.5%	0.9%	2.3%	224.6M	-6.48B	-25.2M	0.62	14.95	1,267,060	779,540	9,152,700	9,871,420
2010-11-04	$15.59	$14.74	20.4%	5.6%	38.9%	6.6%	20.2%	-0.1%	2.9%	303.5M	-7.10B	-24.7M	0.57	12.06	1,819,180	1,034,240	9,419,660	10,076,460
2010-11-05	$15.61	$13.99	17.5%	6.1%	38.9%	0.5%	22.1%	1.6%	3.1%	227.6M	-7.09B	-24.7M	0.92	14.29	1,198,200	1,099,980	9,562,680	10,255,480
2010-11-08	$15.65	$13.99	17.7%	6.0%	38.9%	1.0%	21.4%	1.4%	3.7%	252.3M	-7.17B	-24.3M	0.79	15.03	1,092,340	858,780	9,325,080	10,171,280
2010-11-09	$15.60	$14.24	18.9%	5.8%	39.1%	3.6%	20.5%	1.4%	3.6%	226.6M	-6.79B	-24.3M	0.54	12.08	1,532,780	829,980	9,531,200	10,403,680
2010-11-10	$15.56	$14.24	16.8%	5.7%	39.3%	0.0%	20.7%	2.0%	4.1%	195.3M	-6.47B	-24.5M	1.07	16.47	1,094,660	1,171,180	9,674,420	10,540,740
2010-11-11	$15.41	$14.49	19.9%	5.7%	39.5%	6.4%	20.4%	1.8%	4.4%	135.6M	-5.84B	-24.8M	0.51	14.72	1,632,400	825,740	9,841,760	10,858,520
2010-11-12	$15.07	$14.49	23.1%	6.6%	15.8%	13.2%	23.7%	2.5%	2.7%	88.9M	-3.86B	-25.6M	0.89	11.22	2,360,440	2,104,580	10,047,320	11,001,440
2010-11-15	$14.87	$14.49	23.7%	6.8%	13.0%	14.5%	24.1%	1.9%	3.4%	36.1M	-3.32B	-25.1M	0.48	11.98	2,102,780	1,015,060	9,700,380	10,714,860
2010-11-16	$14.58	$14.49	25.5%	7.3%	13.6%	18.2%	25.5%	2.2%	2.9%	9.5M	-2.13B	-24.5M	0.69	12.41	2,128,960	1,466,780	9,982,540	10,767,240
2010-11-17	$14.57	$14.49	24.7%	7.1%	13.6%	16.6%	24.8%	2.5%	3.5%	22.8M	-2.17B	-24.5M	0.54	13.52	1,716,600	926,240	10,252,360	10,818,440
2010-11-18	$14.90	$14.49	22.2%	6.4%	15.9%	11.4%	22.5%	2.1%	4.6%	166.4M	-4.06B	-24.7M	0.86	9.75	1,613,020	1,393,320	10,451,200	10,856,240
2010-11-19	$14.76	$14.74	22.8%	6.5%	16.1%	12.6%	23.0%	1.4%	4.0%	64.3M	-3.03B	-23.6M	0.97	12.63	1,581,140	1,538,540	10,432,940	10,953,460
2010-11-22	$14.77	$14.49	24.0%	6.9%	15.8%	15.1%	24.3%	1.1%	4.1%	91.1M	-3.14B	-23.5M	0.56	7.91	1,441,120	804,280	7,919,440	8,724,720
2010-11-23	$14.56	$14.49	26.9%	7.7%	16.2%	21.2%	27.2%	3.0%	3.3%	60.6M	-2.53B	-23.8M	0.87	9.39	1,327,680	1,158,160	8,301,820	8,970,160
2010-11-24	$14.86	$14.49	24.2%	6.9%	18.2%	15.6%	23.9%	3.7%	4.0%	205.1M	-3.73B	-23.9M	0.66	6.36	1,567,320	1,036,720	8,612,920	9,277,140
2010-11-26	$14.74	$14.49	21.7%	7.1%	18.3%	10.2%	24.9%	3.4%	3.7%	8.5M	-3.07B	-23.8M	0.79	8.05	922,560	732,260	8,758,620	9,517,100
2010-11-29	$14.54	$14.49	29.1%	8.1%	18.6%	26.0%	28.1%	2.8%	2.3%	69.8M	-2.58B	-23.0M	0.46	9.52	1,543,660	709,060	8,430,940	9,188,780
2010-11-30	$13.88	$14.49	36.4%	9.2%	24.1%	41.2%	32.0%	2.7%	1.1%	-2.1M	-376.8M	-22.9M	0.64	6.77	3,438,440	2,197,600	8,896,920	9,487,680