GOOG Options History — June 2011

In June 2011, GOOG traded between $11.86 and $13.19. ATM implied volatility averaged 24.9%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 8.3% (HV 20d: 16.6%). Max pain ranged from $12.49 to $13.74. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.80.

Notable Days

2011-06-17: Highest Volume — 4,542,300 contracts
2011-06-09: Largest IV spike — 43.4% change
2011-06-23: Highest IV Rank — 35.1%
2011-06-29: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.56	$11.86	$13.19	$13.13	$12.65
Max Pain	$12.90	$12.49	$13.74	$13.74	$12.49
ATM IV	24.9%	17.3%	32.4%	21.3%	18.2%
Expected Move	8.1%	5.2%	9.5%	5.4%	9.3%
HV 20d	16.6%	12.2%	21.3%	16.4%	21.3%
HV 60d	24.2%	23.3%	24.9%	24.5%	24.5%
IV Rank	20.3%	5.3%	35.1%	13.2%	7.0%
IV Percentile	51.9%	4.4%	88.1%	31.0%	9.1%
Term Structure	-2.6%	-7.2%	6.8%	5.5%	-7.2%
VWIV	28.4%	18.9%	33.1%	19.1%	32.9%
Skew 25d	4.1%	2.4%	5.6%	2.7%	5.1%
Skew 10d	7.7%	5.3%	10.8%	5.3%	9.5%
Call IV 25d	26.5%	17.6%	30.9%	18.1%	30.1%
Put IV 25d	30.6%	20.0%	35.5%	20.8%	35.2%
Bid-Ask Spread %	24.25	8.62	33.97	8.62	24.64
Gamma HHI	0.09	0.03	0.43	0.06	0.06
Net GEX	-53.7M	-362.3M	96.8M	17.0M	96.8M
Net DEX	1.88B	-59.6M	3.76B	1.18B	-59.6M
Net VEX	-21.6M	-23.4M	-20.3M	-22.4M	-23.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.56	1.11	0.91	0.64
Total Volume	2,296,211.818	1,175,040	4,542,300	2,508,200	2,380,380
Total OI	15,591,055.455	12,032,420	17,871,780	15,883,720	15,233,740

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
2011-06-01	$13.13	$13.74	21.3%	5.4%	16.4%	13.2%	19.1%	2.7%	5.5%	17.0M	1.18B	-22.4M	0.91	8.62	1,316,120	1,192,080	8,844,400	7,039,320
2011-06-02	$13.19	$13.74	18.1%	5.2%	16.4%	6.9%	18.9%	2.4%	6.8%	39.3M	951.8M	-22.8M	0.79	10.96	1,333,420	1,054,940	8,978,840	7,302,060
2011-06-03	$13.06	$13.11	17.3%	7.3%	16.7%	5.3%	26.2%	3.2%	-1.4%	-34.6M	1.51B	-22.5M	1.00	28.35	1,024,380	1,025,340	9,180,940	7,550,180
2011-06-06	$13.01	$12.99	21.6%	7.7%	16.7%	13.7%	27.1%	3.7%	-1.7%	-37.3M	1.61B	-22.4M	0.74	28.55	866,780	638,200	8,936,560	7,128,440
2011-06-07	$12.96	$12.99	19.8%	7.5%	16.6%	10.2%	26.6%	3.1%	-1.4%	-43.6M	1.75B	-22.3M	0.76	22.76	669,260	505,780	9,177,440	7,338,020
2011-06-08	$12.97	$12.99	18.0%	7.5%	16.1%	6.6%	26.4%	3.7%	-1.8%	-52.7M	1.78B	-21.9M	0.78	23.65	846,520	657,660	9,277,260	7,425,500
2011-06-09	$12.91	$12.99	25.8%	7.4%	15.6%	22.1%	25.7%	3.5%	-1.5%	-72.2M	1.95B	-21.5M	0.82	25.93	934,460	762,680	9,430,540	7,503,540
2011-06-10	$12.73	$12.99	26.4%	7.6%	16.2%	23.2%	26.4%	3.5%	-1.6%	-362.3M	2.67B	-21.4M	1.11	26.17	1,410,040	1,569,520	9,674,260	7,644,400
2011-06-13	$12.61	$12.99	27.2%	7.8%	16.1%	24.9%	26.9%	3.8%	-2.2%	-118.3M	2.80B	-20.7M	1.01	26.35	1,141,900	1,155,320	9,358,860	7,443,200
2011-06-14	$12.70	$12.99	26.1%	7.5%	14.8%	22.7%	26.2%	3.5%	-1.9%	-79.0M	2.32B	-21.4M	0.84	26.52	969,640	815,980	9,602,600	7,548,140
2011-06-15	$12.56	$12.99	27.6%	7.9%	12.2%	25.6%	27.6%	3.8%	-2.0%	-112.4M	2.78B	-21.2M	1.05	18.82	934,700	981,740	9,656,120	7,663,540
2011-06-16	$12.50	$12.99	29.0%	8.3%	12.2%	28.4%	29.3%	5.1%	-2.4%	-119.4M	2.82B	-21.2M	0.84	32.68	1,108,100	935,060	9,776,160	7,723,840
2011-06-17	$12.11	$12.99	32.2%	9.2%	15.6%	34.7%	31.7%	5.6%	-3.5%	-85.2M	3.76B	-20.3M	0.71	33.97	2,659,340	1,882,960	9,991,460	7,880,320
2011-06-20	$12.10	$12.74	31.1%	8.9%	15.2%	32.6%	31.1%	5.2%	-3.6%	-41.4M	1.97B	-20.6M	0.66	29.22	1,296,420	860,740	5,941,820	6,090,600
2011-06-21	$12.31	$12.74	30.0%	8.6%	16.7%	30.4%	30.0%	5.3%	-4.0%	11.3M	1.44B	-21.4M	0.63	24.20	1,310,540	826,180	6,380,060	6,330,320
2011-06-22	$12.16	$12.74	30.8%	8.8%	17.1%	32.0%	30.7%	4.0%	-4.5%	-39.2M	1.87B	-20.9M	0.74	26.95	879,800	647,880	6,703,100	6,581,940
2011-06-23	$11.99	$12.74	32.4%	9.3%	17.3%	35.1%	31.8%	4.8%	-4.8%	-85.9M	2.34B	-20.6M	0.74	18.80	1,984,780	1,474,160	6,841,880	6,761,640
2011-06-24	$11.86	$12.49	23.5%	9.3%	17.5%	17.4%	32.0%	3.7%	-5.1%	-120.4M	2.51B	-20.5M	0.73	30.66	1,754,400	1,287,680	7,384,540	6,998,200
2011-06-27	$12.06	$12.49	24.0%	9.2%	18.7%	18.4%	32.0%	4.4%	-5.5%	-21.6M	1.77B	-20.9M	0.73	14.76	1,414,020	1,030,100	6,876,700	6,723,600
2011-06-28	$12.33	$12.49	25.1%	9.4%	19.8%	20.7%	32.7%	4.4%	-6.0%	31.0M	974.4M	-22.5M	0.56	26.95	1,803,360	1,016,860	7,214,760	7,020,940
2011-06-29	$12.43	$12.49	22.5%	9.5%	20.2%	15.5%	33.1%	4.7%	-7.0%	48.6M	640.9M	-23.0M	0.75	24.06	1,233,760	923,680	7,559,600	7,283,840
2011-06-30	$12.65	$12.49	18.2%	9.3%	21.3%	7.0%	32.9%	5.1%	-7.2%	96.8M	-59.6M	-23.4M	0.64	24.64	1,449,320	931,060	7,747,660	7,486,080