GOOG Options History — March 2011

In March 2011, GOOG traded between $13.91 and $15.22. ATM implied volatility averaged 25.3%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.5% (HV 20d: 18.8%). Max pain ranged from $14.36 to $15.11. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.82.

Notable Days

2011-03-18: Highest Volume — 4,637,520 contracts
2011-03-10: Largest IV spike — 34.6% change
2011-03-16: Highest IV Rank — 36.9%
2011-03-16: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.54	$13.91	$15.22	$15.00	$14.65
Max Pain	$14.70	$14.36	$15.11	$14.99	$14.49
ATM IV	25.3%	18.5%	34.0%	26.6%	19.6%
Expected Move	7.9%	5.4%	9.8%	6.6%	8.7%
HV 20d	18.8%	15.9%	21.9%	17.2%	19.1%
HV 60d	17.4%	16.0%	18.7%	16.0%	18.4%
IV Rank	18.6%	4.4%	36.9%	21.3%	6.7%
IV Percentile	43.1%	7.1%	84.9%	51.2%	10.3%
Term Structure	-1.5%	-4.9%	6.1%	4.0%	-4.9%
VWIV	27.4%	18.9%	33.2%	22.9%	30.1%
Skew 25d	3.4%	1.1%	6.1%	3.9%	2.7%
Skew 10d	6.5%	1.8%	11.9%	7.8%	4.6%
Call IV 25d	25.8%	17.3%	30.8%	21.2%	28.5%
Put IV 25d	29.2%	20.9%	37.0%	25.0%	31.2%
Bid-Ask Spread %	13.78	9.13	20.99	10.06	14.13
Gamma HHI	0.08	0.04	0.20	0.05	0.07
Net GEX	-42.6M	-287.8M	220.8M	-39.8M	183.8M
Net DEX	483.1M	-1.63B	3.33B	-98.2M	-1.63B
Net VEX	-26.4M	-28.4M	-24.1M	-25.3M	-28.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.53	1.15	0.88	0.80
Total Volume	3,101,730.435	1,690,520	4,637,520	3,283,520	2,595,280
Total OI	16,088,370.435	12,307,700	19,852,120	14,502,940	15,543,480

Daily Data (23 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
2011-03-01	$15.00	$14.99	26.6%	6.6%	17.2%	21.3%	22.9%	3.9%	4.0%	-39.8M	-98.2M	-25.3M	0.88	10.06	1,745,740	1,537,780	7,502,060	7,000,880
2011-03-02	$15.00	$14.99	24.0%	6.1%	15.9%	15.9%	21.4%	3.6%	5.2%	-59.0M	-23.6M	-26.1M	0.68	9.13	1,687,520	1,147,500	8,046,160	7,530,200
2011-03-03	$15.22	$14.99	18.5%	5.4%	16.8%	4.4%	18.9%	3.5%	6.1%	82.9M	-1.30B	-25.9M	0.71	11.48	1,616,980	1,142,380	8,217,680	7,770,800
2011-03-04	$15.00	$15.11	20.4%	7.6%	17.5%	8.4%	27.1%	3.6%	-1.8%	-267.9M	-17.0M	-26.1M	0.99	16.87	1,945,660	1,917,520	8,474,100	8,119,520
2011-03-07	$14.78	$15.11	26.1%	8.2%	18.2%	20.2%	28.2%	4.1%	-2.8%	-140.6M	891.0M	-25.7M	0.99	15.65	1,797,640	1,776,940	8,160,920	7,833,260
2011-03-08	$14.79	$15.11	23.2%	7.8%	18.1%	14.2%	27.3%	4.0%	-2.6%	-166.6M	852.6M	-25.5M	0.90	15.69	1,099,460	989,180	8,569,680	8,254,240
2011-03-09	$14.78	$15.11	21.4%	8.0%	17.8%	10.6%	27.8%	3.8%	-2.5%	-211.8M	977.8M	-25.9M	0.74	12.36	1,559,960	1,156,440	8,718,340	8,426,860
2011-03-10	$14.49	$14.99	28.9%	8.3%	18.8%	26.1%	28.6%	3.5%	-2.2%	-287.8M	2.33B	-25.3M	1.03	12.03	1,674,080	1,727,840	8,956,140	8,453,120
2011-03-11	$14.40	$14.99	28.7%	8.2%	18.8%	25.8%	28.4%	3.4%	-2.4%	-190.7M	2.68B	-24.9M	1.15	15.99	2,109,180	2,435,760	9,303,020	8,659,060
2011-03-14	$14.24	$14.86	30.1%	8.6%	18.0%	28.7%	29.5%	2.9%	-2.9%	-164.3M	2.44B	-24.1M	0.90	9.58	2,099,700	1,881,160	8,859,620	8,069,740
2011-03-15	$14.22	$14.74	30.5%	8.7%	17.7%	29.5%	30.4%	3.7%	-2.9%	-170.8M	2.31B	-24.9M	0.75	11.43	2,402,280	1,807,320	9,629,740	8,465,220
2011-03-16	$13.91	$14.61	34.0%	9.8%	18.7%	36.9%	33.2%	6.1%	-3.4%	-158.7M	3.33B	-24.9M	0.53	14.26	2,265,940	1,194,640	9,925,040	8,474,460
2011-03-17	$14.02	$14.49	30.7%	8.8%	19.2%	29.9%	30.3%	5.7%	-1.6%	-134.3M	2.59B	-25.7M	0.79	15.61	2,129,720	1,680,680	10,502,020	8,672,940
2011-03-18	$14.01	$14.49	29.0%	8.3%	19.1%	26.4%	28.5%	4.2%	-0.9%	-132.7M	2.50B	-26.2M	1.00	15.17	2,318,480	2,319,040	10,989,060	8,863,060
2011-03-21	$14.40	$14.36	27.5%	7.9%	21.9%	23.2%	27.2%	4.6%	-1.6%	51.7M	-336.1M	-26.8M	0.72	11.14	1,818,460	1,318,080	6,441,520	5,866,180
2011-03-22	$14.42	$14.36	26.4%	7.6%	19.4%	20.9%	26.3%	3.8%	-1.4%	74.4M	-473.3M	-27.4M	0.93	12.92	1,083,840	1,011,340	7,124,280	6,339,060
2011-03-23	$14.54	$14.36	26.6%	7.6%	19.7%	21.4%	26.5%	3.5%	-2.0%	125.3M	-1.04B	-28.0M	0.57	16.12	1,586,420	897,660	7,453,520	6,575,840
2011-03-24	$14.66	$14.36	26.9%	7.7%	20.1%	21.9%	26.8%	2.9%	-2.2%	220.8M	-1.62B	-28.3M	0.67	16.52	1,935,260	1,293,700	7,745,100	6,712,740
2011-03-25	$14.48	$14.36	19.4%	7.7%	20.3%	6.3%	26.7%	1.1%	-2.1%	153.0M	-837.1M	-28.4M	0.82	17.68	1,781,020	1,458,420	8,125,800	7,047,840
2011-03-28	$14.37	$14.36	22.3%	7.9%	20.2%	12.3%	27.6%	1.2%	-2.4%	54.9M	-381.9M	-27.8M	0.82	20.99	1,091,980	891,500	7,769,200	6,624,940
2011-03-29	$14.53	$14.36	20.3%	8.1%	19.7%	8.2%	28.3%	2.0%	-3.4%	90.2M	-976.3M	-28.4M	0.69	11.56	1,019,220	700,580	7,999,360	6,918,560
2011-03-30	$14.53	$14.49	20.0%	8.4%	19.7%	7.5%	28.8%	1.7%	-4.5%	109.3M	-1.06B	-28.2M	0.73	10.61	979,900	710,620	8,206,000	7,092,160
2011-03-31	$14.65	$14.49	19.6%	8.7%	19.1%	6.7%	30.1%	2.7%	-4.9%	183.8M	-1.63B	-28.4M	0.80	14.13	1,442,720	1,152,560	8,331,280	7,212,200