GOOG Options History — January 2011

In January 2011, GOOG traded between $14.99 and $15.97. ATM implied volatility averaged 23.9%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 9.8% (HV 20d: 14.0%). Max pain ranged from $13.99 to $15.48. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2011-01-21: Highest Volume — 13,035,300 contracts
  • 2011-01-12: Largest IV spike — 103.7% change
  • 2011-01-12: Highest IV Rank — 43.1%
  • 2011-01-20: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.37$14.99$15.97$15.09$14.99
Max Pain$14.94$13.99$15.48$13.99$15.36
ATM IV23.9%18.1%37.2%19.8%24.3%
Expected Move7.7%5.7%9.4%9.0%6.4%
HV 20d14.0%10.6%20.2%11.4%19.9%
HV 60d21.4%17.1%28.3%28.3%19.7%
IV Rank14.9%2.7%43.1%6.2%15.7%
IV Percentile32.0%3.2%91.7%6.7%35.7%
Term Structure-1.7%-5.0%1.3%-3.9%0.9%
VWIV27.0%20.1%32.2%31.8%22.6%
Skew 25d1.7%0.4%2.7%1.5%2.4%
Skew 10d3.4%1.3%6.0%4.1%5.8%
Call IV 25d26.2%19.0%31.5%31.2%21.5%
Put IV 25d27.9%20.9%33.0%32.7%23.8%
Bid-Ask Spread %13.786.0642.647.2917.76
Gamma HHI0.090.040.120.100.04
Net GEX168.4M-59.6M276.9M174.5M1.2M
Net DEX-4.15B-7.61B-175.6M-4.11B-469.2M
Net VEX-22.0M-23.4M-19.8M-22.5M-23.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.481.070.600.84
Total Volume3,483,5121,222,06013,035,3002,199,5202,362,840
Total OI16,551,51611,005,24022,327,72016,251,08012,997,740

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$15.09$13.9919.8%9.0%11.4%6.2%31.8%1.5%-3.9%174.5M-4.11B-22.5M0.607.291,373,860825,6608,449,6007,801,480
2011-01-04$15.04$13.9918.2%9.0%11.3%2.9%31.9%1.7%-4.0%181.7M-3.99B-22.5M0.657.83741,740480,3208,779,0208,049,920
2011-01-05$15.21$13.9920.1%9.0%10.8%7.0%31.7%0.4%-3.7%220.4M-4.70B-22.2M0.488.651,620,060776,6608,795,0608,147,140
2011-01-06$15.32$13.9920.3%8.9%10.9%7.4%31.5%0.4%-3.9%258.8M-5.19B-22.2M0.657.511,812,4201,175,1408,985,7408,355,500
2011-01-07$15.40$14.9918.1%7.6%11.0%2.7%26.7%2.0%-1.5%211.5M-5.40B-21.8M0.7211.371,532,8601,098,7409,173,3208,556,100
2011-01-10$15.34$14.9920.8%7.9%11.2%8.3%28.1%1.9%-2.0%205.2M-4.96B-21.7M0.6616.321,299,020863,5008,992,8608,304,060
2011-01-11$15.38$14.9918.3%7.9%11.1%3.0%27.6%1.7%-2.1%218.7M-5.24B-22.0M0.717.23882,040622,7809,309,1408,585,300
2011-01-12$15.41$14.9937.2%7.7%11.1%43.1%27.2%1.7%-1.9%222.2M-5.31B-21.5M0.738.53897,740656,7409,390,2608,720,280
2011-01-13$15.40$14.9926.8%7.7%10.6%21.1%27.2%1.6%-2.1%226.6M-5.32B-21.4M0.639.361,040,440659,3409,497,2008,875,500
2011-01-14$15.59$14.9926.5%7.6%11.1%20.4%26.7%1.1%-2.4%241.5M-6.26B-21.3M0.7110.181,570,6801,117,4409,654,0009,056,560
2011-01-18$15.97$14.9929.2%8.4%13.4%26.0%29.5%0.8%-3.6%276.9M-7.61B-19.8M0.586.302,968,7601,721,1609,380,2608,812,080
2011-01-19$15.78$15.1131.4%9.0%14.6%30.7%31.4%1.1%-3.5%254.6M-6.74B-21.3M0.516.063,155,3201,617,1809,951,4609,196,260
2011-01-20$15.65$15.2332.8%9.4%14.5%33.8%32.2%1.8%-5.0%240.9M-6.18B-22.1M0.5542.644,873,0602,689,92010,609,0409,615,080
2011-01-21$15.28$15.2324.4%7.0%17.2%16.1%24.3%2.1%0.3%68.2M-4.02B-20.6M0.8510.907,034,7006,000,60011,766,64010,561,080
2011-01-24$15.26$15.4822.5%6.5%17.1%12.0%22.9%2.1%0.6%52.0M-1.25B-21.9M0.7614.602,114,4001,615,3006,147,5404,857,700
2011-01-25$15.48$15.3620.8%6.0%17.8%8.3%21.4%2.7%1.2%134.5M-2.16B-23.3M0.6916.421,916,7201,323,5206,760,0005,380,740
2011-01-26$15.40$15.3620.6%5.9%17.7%8.0%20.9%1.6%0.8%117.3M-1.95B-23.2M0.8522.911,029,140879,8807,073,1805,752,700
2011-01-27$15.40$15.3619.8%5.7%17.7%6.3%20.1%1.9%1.3%121.5M-1.90B-23.1M0.7321.141,126,240821,3407,213,3605,957,760
2011-01-28$15.01$15.3625.7%6.9%20.2%18.7%24.1%2.6%0.1%-59.6M-175.6M-23.4M1.0722.632,596,4802,776,5007,351,7806,167,880
2011-01-31$14.99$15.3624.3%6.4%19.9%15.7%22.6%2.4%0.9%1.2M-469.2M-23.2M0.8417.761,286,8001,076,0407,005,8805,991,860