GOOG Options History — December 2010

In December 2010, GOOG traded between $14.09 and $15.12. ATM implied volatility averaged 24.2%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.8% (HV 20d: 22.4%). Max pain ranged from $13.49 to $14.49. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.67.

Notable Days

2010-12-07: Highest Volume — 3,676,000 contracts
2010-12-15: Largest IV spike — 40.8% change
2010-12-01: Highest IV Rank — 29.7%
2010-12-31: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.77	$14.09	$15.12	$14.09	$14.83
Max Pain	$13.87	$13.49	$14.49	$14.49	$13.99
ATM IV	24.2%	18.4%	30.9%	30.9%	18.5%
Expected Move	7.9%	6.9%	9.3%	7.9%	9.3%
HV 20d	22.4%	10.0%	26.8%	25.1%	10.0%
HV 60d	29.3%	28.2%	30.1%	30.1%	28.2%
IV Rank	15.5%	3.2%	29.7%	29.7%	3.5%
IV Percentile	36.2%	3.2%	76.6%	76.6%	4.0%
Term Structure	-1.0%	-4.3%	4.5%	3.2%	-4.3%
VWIV	27.8%	23.9%	32.9%	27.0%	32.9%
Skew 25d	1.7%	0.6%	3.2%	3.0%	1.6%
Skew 10d	3.3%	0.7%	5.6%	5.2%	3.9%
Call IV 25d	26.9%	22.4%	32.2%	25.8%	32.2%
Put IV 25d	28.6%	25.6%	33.7%	28.8%	33.7%
Bid-Ask Spread %	10.25	6.80	15.70	8.72	8.36
Gamma HHI	0.12	0.07	0.20	0.07	0.09
Net GEX	133.2M	54.4M	208.6M	54.4M	111.5M
Net DEX	-3.47B	-4.34B	-1.20B	-1.20B	-2.97B
Net VEX	-22.8M	-24.0M	-21.8M	-23.9M	-22.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.39	0.91	0.60	0.79
Total Volume	2,073,079.091	1,121,240	3,676,000	3,207,200	1,537,220
Total OI	18,436,232.727	14,775,040	21,365,980	19,715,520	16,656,920

Daily Data (22 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
2010-12-01	$14.09	$14.49	30.9%	7.9%	25.1%	29.7%	27.0%	3.0%	3.2%	54.4M	-1.20B	-23.9M	0.60	8.72	2,010,080	1,197,120	9,756,300	9,959,220
2010-12-02	$14.28	$14.49	24.1%	7.2%	25.5%	15.2%	25.2%	2.9%	3.7%	114.9M	-2.01B	-24.0M	0.91	7.92	1,309,900	1,196,240	9,814,160	10,201,440
2010-12-03	$14.31	$14.24	22.2%	6.9%	25.3%	11.4%	23.9%	3.2%	4.5%	79.1M	-2.15B	-23.9M	0.77	6.80	1,439,720	1,107,260	9,946,260	10,431,460
2010-12-06	$14.44	$13.49	23.5%	8.0%	25.7%	14.1%	28.1%	2.1%	0.1%	85.5M	-2.61B	-23.3M	0.67	9.81	1,007,760	680,000	9,287,720	10,025,740
2010-12-07	$14.66	$13.49	22.4%	8.1%	26.5%	11.7%	28.3%	0.8%	-0.8%	150.4M	-3.61B	-23.2M	0.62	8.96	2,262,340	1,413,660	9,467,780	10,209,080
2010-12-08	$14.75	$13.49	21.1%	8.0%	26.7%	9.0%	27.9%	1.4%	-0.6%	181.2M	-3.89B	-23.2M	0.83	9.84	1,020,900	843,760	9,733,120	10,301,900
2010-12-09	$14.77	$13.74	20.7%	7.9%	26.8%	8.1%	28.3%	1.4%	-0.9%	208.6M	-4.02B	-22.9M	0.65	11.35	1,230,140	800,320	9,761,360	10,414,760
2010-12-10	$14.79	$13.74	18.4%	7.9%	26.7%	3.3%	27.6%	1.2%	-1.2%	182.2M	-4.09B	-22.5M	0.55	10.99	1,492,660	818,180	9,844,680	10,575,840
2010-12-13	$14.85	$13.74	20.7%	7.8%	25.6%	8.1%	27.4%	0.6%	-1.0%	189.1M	-4.29B	-21.8M	0.50	15.70	2,231,780	1,113,120	9,704,740	10,229,500
2010-12-14	$14.86	$13.74	20.0%	7.9%	25.2%	6.6%	27.6%	1.9%	-2.2%	160.8M	-4.03B	-22.1M	0.45	11.32	1,117,400	504,500	10,006,880	10,444,520
2010-12-15	$14.74	$13.74	28.1%	8.1%	24.2%	23.8%	28.2%	1.9%	-2.4%	86.4M	-3.43B	-22.2M	0.45	10.19	1,388,380	619,340	10,068,580	10,624,340
2010-12-16	$14.78	$13.74	27.5%	7.9%	24.2%	22.4%	27.6%	2.1%	-2.0%	126.2M	-3.71B	-22.2M	0.71	11.58	1,433,440	1,015,620	10,250,200	10,681,800
2010-12-17	$14.76	$13.74	26.7%	7.6%	22.9%	20.7%	27.0%	1.5%	-1.9%	59.7M	-3.67B	-22.5M	0.88	13.21	1,491,820	1,314,120	10,527,160	10,838,820
2010-12-20	$14.86	$13.74	25.8%	7.4%	22.8%	18.9%	26.5%	1.3%	-1.2%	129.3M	-3.41B	-22.2M	0.69	11.87	1,162,600	798,040	7,669,860	7,105,180
2010-12-21	$15.06	$13.74	26.5%	7.6%	23.3%	20.3%	27.0%	2.1%	-1.5%	187.6M	-4.16B	-22.8M	0.79	11.04	1,289,360	1,022,860	7,967,440	7,345,620
2010-12-22	$15.12	$13.99	25.7%	7.4%	22.6%	18.7%	26.3%	1.5%	-1.4%	207.3M	-4.34B	-22.8M	0.62	12.77	896,500	554,880	8,192,140	7,625,020
2010-12-23	$15.09	$13.99	25.6%	7.4%	21.5%	18.6%	26.7%	1.7%	-1.1%	142.6M	-4.14B	-22.9M	0.86	11.28	839,200	725,040	8,253,440	7,604,120
2010-12-27	$15.04	$13.99	28.1%	8.0%	21.3%	23.7%	28.6%	1.3%	-2.4%	129.2M	-3.86B	-22.4M	0.52	8.93	793,680	414,180	8,047,720	7,505,020
2010-12-28	$14.96	$13.99	28.7%	8.2%	20.8%	25.0%	29.5%	1.3%	-2.7%	114.6M	-3.53B	-22.7M	0.79	8.32	626,260	494,980	8,284,280	7,657,820
2010-12-29	$15.01	$13.99	28.7%	8.2%	10.6%	25.1%	29.4%	1.5%	-2.7%	136.0M	-3.78B	-22.6M	0.39	8.80	911,480	351,840	8,417,360	7,790,580
2010-12-30	$14.96	$13.99	18.4%	8.5%	10.0%	3.2%	30.3%	1.8%	-3.1%	93.5M	-3.48B	-22.6M	0.67	7.85	678,640	451,420	8,481,000	7,886,240
2010-12-31	$14.83	$13.99	18.5%	9.3%	10.0%	3.5%	32.9%	1.6%	-4.3%	111.5M	-2.97B	-22.8M	0.79	8.36	859,980	677,240	8,619,900	8,037,020