GOOG Options History — February 2011

In February 2011, GOOG traded between $15.21 and $15.74. ATM implied volatility averaged 19.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.9% (HV 20d: 18.4%). Max pain ranged from $14.74 to $15.23. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.80.

Notable Days

  • 2011-02-11: Highest Volume — 4,461,220 contracts
  • 2011-02-22: Largest IV spike — 32.1% change
  • 2011-02-22: Highest IV Rank — 13.4%
  • 2011-02-22: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.41$15.21$15.74$15.26$15.32
Max Pain$15.00$14.74$15.23$15.23$15.11
ATM IV19.3%16.4%22.8%22.1%21.2%
Expected Move5.6%4.9%6.5%5.8%5.3%
HV 20d18.4%14.5%20.0%20.0%15.3%
HV 60d18.8%15.6%20.0%20.0%15.6%
IV Rank5.8%0.0%13.4%11.1%10.0%
IV Percentile10.1%0.0%27.8%21.0%20.6%
Term Structure3.9%0.8%6.0%0.8%6.0%
VWIV19.9%17.7%23.0%20.8%19.2%
Skew 25d2.7%1.9%4.4%2.3%2.7%
Skew 10d5.7%3.6%8.8%5.2%5.7%
Call IV 25d18.5%16.2%21.2%19.2%17.9%
Put IV 25d21.2%18.9%24.7%21.6%20.6%
Bid-Ask Spread %15.7310.3628.3710.8710.36
Gamma HHI0.110.050.450.050.05
Net GEX165.4M-17.8M583.8M102.6M74.2M
Net DEX-2.03B-3.74B-737.2M-1.63B-1.53B
Net VEX-23.3M-25.1M-22.3M-23.5M-24.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.491.100.761.06
Total Volume2,749,827.3681,861,3004,461,2202,990,7602,495,600
Total OI14,450,881.05311,537,56016,052,00013,593,14013,744,480

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$15.26$15.2322.1%5.8%20.0%11.1%20.8%2.3%0.8%102.6M-1.63B-23.5M0.7610.871,695,5801,295,1807,367,6806,225,460
2011-02-02$15.28$15.2320.9%5.6%19.9%8.5%19.5%2.6%1.6%104.0M-1.67B-23.5M0.8912.111,025,220910,5807,552,4206,521,520
2011-02-03$15.24$15.2318.9%5.6%19.5%4.2%19.6%2.3%1.8%65.7M-1.42B-23.8M0.8214.271,054,900869,5407,729,6006,760,160
2011-02-04$15.26$14.7418.2%6.0%19.4%2.8%21.1%2.9%3.1%90.1M-1.61B-23.5M0.8915.401,305,3001,159,2807,879,3206,874,740
2011-02-07$15.34$14.8618.6%5.8%19.4%3.8%20.6%2.5%3.3%109.5M-1.91B-22.8M0.8415.471,192,480998,4007,456,7606,405,680
2011-02-08$15.44$14.8616.9%5.5%19.5%0.2%20.1%2.4%3.9%156.5M-2.32B-22.7M1.1014.03885,400975,9007,687,9206,669,900
2011-02-09$15.40$14.8616.4%5.5%19.5%0.0%19.4%2.8%4.0%106.8M-1.92B-22.9M0.8620.501,231,1401,053,5007,842,4807,010,040
2011-02-10$15.40$14.9919.5%5.6%19.5%6.5%19.9%2.8%3.7%80.8M-1.86B-22.8M0.7228.371,570,0001,127,8807,948,2207,220,980
2011-02-11$15.60$14.9919.2%5.5%20.0%6.0%19.6%2.5%3.7%512.1M-3.34B-23.1M0.5717.962,843,3201,617,9008,145,8607,374,960
2011-02-14$15.69$14.9918.9%5.4%19.7%5.3%19.4%1.9%4.3%289.7M-3.47B-22.8M0.4914.271,793,240872,6007,933,7606,975,320
2011-02-15$15.59$14.9918.8%5.4%17.6%5.0%19.1%2.0%4.5%231.5M-2.89B-22.8M0.6516.271,296,180845,5208,169,4407,157,880
2011-02-16$15.59$14.9918.3%5.3%17.1%4.0%18.7%2.4%4.5%191.1M-2.70B-22.3M0.6016.991,177,340700,9008,306,7407,294,320
2011-02-17$15.62$14.9918.2%5.2%16.9%3.7%18.4%2.1%4.5%260.4M-2.89B-22.4M0.6319.201,382,260867,5408,341,0607,382,700
2011-02-18$15.74$14.9917.3%4.9%14.5%1.8%17.7%2.7%5.6%583.8M-3.74B-22.7M0.5818.002,706,1401,574,3808,449,1207,602,880
2011-02-22$15.24$14.9922.8%6.5%18.7%13.4%23.0%3.5%3.6%7.7M-923.1M-22.8M0.8611.032,134,7401,828,3405,992,9805,544,580
2011-02-23$15.27$14.9921.6%6.2%18.0%10.8%22.1%4.4%4.1%21.6M-989.5M-24.1M1.0914.301,648,4401,793,3206,726,2006,137,180
2011-02-24$15.21$14.9920.4%5.9%17.9%8.4%21.0%4.2%5.1%-17.8M-737.2M-25.0M0.7815.381,663,9401,302,8607,143,3006,584,100
2011-02-25$15.24$14.9918.5%5.6%18.0%4.5%19.7%3.0%5.3%172.3M-1.06B-25.1M0.9614.121,712,2001,639,6807,464,0206,942,980
2011-02-28$15.32$15.1121.2%5.3%15.3%10.0%19.2%2.7%6.0%74.2M-1.53B-24.9M1.0610.361,209,4401,286,1607,114,3406,630,140