GOOG Options History — May 2011

In May 2011, GOOG traded between $12.94 and $13.55. ATM implied volatility averaged 18.7%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 5.9% (HV 20d: 24.6%). Max pain ranged from $13.49 to $14.11. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-05-20: Highest Volume — 3,367,080 contracts
  • 2011-05-27: Largest IV drop — 21.4% change
  • 2011-05-16: Highest IV Rank — 11.3%
  • 2011-05-16: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.22$12.94$13.55$13.45$13.21
Max Pain$13.88$13.49$14.11$13.61$13.74
ATM IV18.7%14.7%21.5%19.0%17.4%
Expected Move5.4%4.8%6.2%4.8%4.8%
HV 20d24.6%14.9%35.1%35.1%16.5%
HV 60d24.9%24.5%25.6%24.9%24.6%
IV Rank5.9%0.0%11.3%6.3%5.3%
IV Percentile11.9%0.0%27.8%11.1%4.4%
Term Structure4.5%2.3%6.6%2.7%6.3%
VWIV19.4%17.4%21.7%17.7%17.4%
Skew 25d2.7%1.1%3.8%1.1%2.1%
Skew 10d5.7%2.6%7.9%2.6%4.5%
Call IV 25d18.2%16.2%20.3%17.0%16.2%
Put IV 25d20.9%18.1%23.7%18.1%18.3%
Bid-Ask Spread %14.418.1920.5415.5712.17
Gamma HHI0.090.050.320.050.06
Net GEX-61.9M-268.7M69.6M-8.7M48.8M
Net DEX1.79B713.9M3.47B1.28B962.5M
Net VEX-23.9M-26.6M-21.6M-26.4M-22.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.571.220.610.61
Total Volume2,275,795.2381,248,6003,367,0802,339,2801,685,200
Total OI18,075,464.76214,263,94019,636,22018,044,56015,828,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$13.45$13.6119.0%4.8%35.1%6.3%17.7%1.1%2.7%-8.7M1.28B-26.4M0.6115.571,449,160890,1209,804,5208,240,040
2011-05-03$13.33$13.6119.5%5.2%35.1%7.3%18.9%2.0%2.7%-61.9M1.95B-26.2M0.8915.99996,920884,32010,069,5008,534,480
2011-05-04$13.38$13.6118.8%5.1%33.7%5.8%18.3%2.1%2.3%-45.6M1.60B-26.2M1.0513.22936,020986,42010,154,2608,699,700
2011-05-05$13.34$13.4919.5%5.4%33.4%7.3%19.4%2.4%2.8%-66.9M1.81B-26.6M0.7313.531,162,200844,24010,293,2408,840,360
2011-05-06$13.37$14.1117.3%5.7%33.1%2.8%20.4%2.8%4.6%-268.7M1.64B-25.7M0.9515.091,574,1001,502,34010,424,3008,917,380
2011-05-09$13.43$14.1117.5%5.6%33.2%3.3%20.5%3.1%4.2%5.7M1.39B-25.2M0.7516.831,041,160779,90010,021,9808,415,120
2011-05-10$13.55$14.1116.5%5.4%33.5%1.1%19.1%3.1%4.5%69.6M713.9M-25.4M0.9418.391,069,9001,001,32010,249,2808,620,700
2011-05-11$13.37$14.1116.8%5.5%33.6%1.8%19.8%3.1%5.0%-34.2M1.62B-25.1M0.9713.711,120,8801,088,84010,440,3408,708,220
2011-05-12$13.36$14.1118.9%5.4%33.2%6.1%19.5%2.6%5.1%-37.5M1.64B-24.8M0.8914.01933,540834,48010,596,4608,868,060
2011-05-13$13.23$14.1119.6%5.6%33.2%7.5%19.7%2.7%4.5%-205.6M2.49B-23.9M0.8120.541,495,9001,214,02010,649,1608,987,060
2011-05-16$12.95$13.9921.5%6.2%14.9%11.3%21.7%3.4%3.7%-162.2M3.47B-22.6M0.9913.091,600,6801,582,46010,434,6608,555,100
2011-05-17$13.25$13.9920.4%5.8%17.0%9.1%20.8%3.8%4.1%-36.2M1.92B-23.7M1.2216.881,273,2401,547,70010,655,3608,654,200
2011-05-18$13.23$13.9919.1%5.5%16.5%6.4%19.4%2.6%5.0%-60.2M1.88B-23.4M0.6817.901,126,760761,84010,805,2808,668,380
2011-05-19$13.27$13.9918.8%5.4%16.3%5.9%18.9%2.7%5.2%-10.7M1.56B-23.0M0.7810.931,600,7201,250,80010,798,2208,607,320
2011-05-20$13.09$13.9919.0%5.5%17.1%6.4%19.4%3.0%4.7%-249.0M2.63B-21.9M0.958.191,727,6801,639,40010,915,3408,688,440
2011-05-23$12.95$13.8620.2%5.8%17.5%8.6%20.9%3.3%3.9%-60.8M2.04B-21.6M0.8017.681,381,1401,111,1207,763,9606,499,980
2011-05-24$12.94$13.7420.1%5.7%16.5%8.4%20.6%3.3%4.9%-44.0M1.93B-22.0M0.9212.47895,820825,3408,317,9006,849,080
2011-05-25$12.98$13.7419.2%5.5%16.1%6.7%19.3%2.7%5.3%-38.8M1.77B-22.3M0.9313.53645,520603,0808,588,4607,070,820
2011-05-26$12.94$13.7418.7%5.4%16.1%5.7%18.8%2.3%5.8%-66.7M1.89B-22.1M0.5711.321,493,420853,1808,731,0007,169,960
2011-05-27$13.01$13.7414.7%4.9%15.6%0.0%17.5%1.7%6.6%33.1M1.44B-22.2M0.9211.681,238,1201,142,7009,109,7007,339,380
2011-05-31$13.21$13.7417.4%4.8%16.5%5.3%17.4%2.1%6.3%48.8M962.5M-22.5M0.6112.171,044,240640,9608,802,9207,025,140