GOOG Options History — July 2011

In July 2011, GOOG traded between $13.01 and $15.55. ATM implied volatility averaged 31.7%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 6.8% (HV 20d: 38.5%). Max pain ranged from $12.49 to $14.24. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2011-07-15: Highest Volume — 14,960,920 contracts
  • 2011-07-14: Largest IV drop — 56.2% change
  • 2011-07-13: Highest IV Rank — 100.0%
  • 2011-07-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.33$13.01$15.55$13.01$15.08
Max Pain$13.41$12.49$14.24$12.49$14.24
ATM IV31.7%19.2%70.2%19.2%28.4%
Expected Move7.2%5.6%9.3%9.3%7.4%
HV 20d38.5%23.7%50.6%23.7%49.3%
HV 60d28.9%19.8%32.8%25.2%32.8%
IV Rank32.4%8.8%100.0%9.0%24.8%
IV Percentile60.2%19.4%100.0%19.4%79.4%
Term Structure-0.7%-7.5%1.8%-7.5%-0.1%
VWIV25.6%19.8%32.7%32.7%26.4%
Skew 25d1.5%-0.8%2.8%2.8%1.5%
Skew 10d2.9%0.7%6.0%6.0%2.6%
Call IV 25d24.9%18.7%31.3%31.1%25.9%
Put IV 25d26.4%20.9%33.9%33.9%27.3%
Bid-Ask Spread %15.828.9134.0631.0512.86
Gamma HHI0.070.040.180.040.17
Net GEX147.1M-68.4M345.5M88.1M-68.4M
Net DEX-4.02B-9.98B-940.0M-1.53B-4.16B
Net VEX-29.0M-34.4M-24.2M-24.2M-34.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.460.990.530.87
Total Volume4,611,6382,233,18014,960,9205,560,8205,138,060
Total OI17,922,01615,374,76021,614,60015,745,36019,702,960

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$13.01$12.4919.2%9.3%23.7%9.0%32.7%2.8%-7.5%88.1M-1.53B-24.2M0.5331.053,633,1801,927,6407,991,2207,754,140
2011-07-05$13.30$12.4926.3%7.6%24.8%23.1%26.6%2.2%-1.8%126.8M-1.96B-24.8M0.7010.712,799,9601,963,3207,940,9407,433,820
2011-07-06$13.37$12.4936.8%7.8%24.8%43.9%27.2%2.0%-1.8%151.0M-2.18B-25.5M0.8716.371,970,1201,715,5208,502,9008,097,800
2011-07-07$13.65$13.1141.8%7.8%25.7%53.7%27.7%1.5%-2.2%190.0M-3.40B-26.8M0.7311.273,201,1202,343,9008,911,4208,784,180
2011-07-08$13.29$13.1145.1%8.1%27.7%60.4%28.3%1.3%-2.2%68.4M-1.23B-26.8M0.7613.223,369,4002,546,2609,278,2209,320,960
2011-07-11$13.17$13.1156.6%8.5%27.4%83.2%29.6%1.5%-2.5%61.3M-940.0M-26.5M0.9916.291,307,3001,288,7209,208,4008,826,180
2011-07-12$13.34$13.1161.8%8.7%27.3%93.4%30.5%1.2%-2.5%82.9M-1.66B-27.2M0.5712.731,924,5201,102,9809,322,2409,166,040
2011-07-13$13.44$13.1170.2%8.6%27.3%100.0%30.4%0.2%-2.1%107.5M-2.20B-27.7M0.5113.762,080,6801,062,3009,665,3009,369,880
2011-07-14$13.21$13.1130.8%8.8%27.9%29.0%30.8%-0.8%-2.5%63.0M-1.16B-27.3M0.7934.064,338,9803,427,90010,192,4209,623,380
2011-07-15$14.93$13.1122.0%6.3%50.6%13.2%23.0%2.3%1.0%345.5M-9.98B-27.3M0.669.319,019,9005,941,02011,270,58010,344,020
2011-07-18$14.86$13.4923.3%6.7%48.6%15.6%23.7%1.4%0.8%174.2M-4.56B-29.5M0.828.911,638,2401,347,3808,280,4407,309,260
2011-07-19$15.05$13.4921.2%6.1%48.5%11.7%21.7%2.3%1.2%206.5M-5.30B-29.7M0.8919.161,486,3601,328,1608,624,5007,728,360
2011-07-20$14.87$13.7420.3%5.8%49.1%10.0%20.5%2.4%1.7%123.4M-4.39B-29.7M0.8514.841,206,0801,027,1008,720,9208,132,240
2011-07-21$15.16$13.7419.5%5.6%48.5%8.8%19.8%2.3%1.5%218.0M-5.76B-29.8M0.6914.762,066,8201,415,9409,018,4408,446,480
2011-07-22$15.44$13.8619.7%5.6%47.6%9.0%20.3%1.3%1.8%256.2M-6.98B-30.7M0.4618.723,769,2401,719,3209,384,3408,759,160
2011-07-25$15.46$13.9921.7%6.2%47.0%12.7%22.3%0.4%0.6%239.9M-6.35B-31.8M0.6416.252,188,3801,400,8809,334,6007,956,940
2011-07-26$15.55$13.9921.8%6.2%47.1%12.8%22.4%0.3%0.9%251.1M-6.67B-32.6M0.7614.321,333,8601,018,7009,677,6208,414,120
2011-07-27$15.17$14.1124.0%6.9%48.7%16.7%24.5%1.1%0.5%108.6M-4.73B-33.3M0.8813.382,107,5801,863,3009,796,1808,760,560
2011-07-28$15.26$14.2423.6%6.8%48.8%16.1%24.1%1.9%0.4%147.7M-5.19B-33.9M0.7414.431,847,6001,365,04010,159,4609,229,700
2011-07-29$15.08$14.2428.4%7.4%49.3%24.8%26.4%1.5%-0.1%-68.4M-4.16B-34.4M0.8712.862,740,5802,397,48010,258,7609,444,200