GOOG Options History — August 2011

In August 2011, GOOG traded between $12.26 and $15.15. ATM implied volatility averaged 37.5%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 11.0% (HV 20d: 48.4%). Max pain ranged from $13.61 to $14.24. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.80.

Notable Days

2011-08-05: Highest Volume — 7,240,020 contracts
2011-08-08: Largest IV spike — 77.2% change
2011-08-08: Highest IV Rank — 84.2%
2011-08-19: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.66	$12.26	$15.15	$15.15	$13.51
Max Pain	$13.94	$13.61	$14.24	$14.24	$13.61
ATM IV	37.5%	29.6%	61.4%	30.7%	34.9%
Expected Move	9.9%	7.3%	12.3%	7.7%	8.6%
HV 20d	48.4%	40.6%	60.2%	48.7%	47.7%
HV 60d	38.8%	32.8%	42.2%	32.8%	42.2%
IV Rank	41.1%	26.9%	84.2%	28.8%	36.5%
IV Percentile	90.8%	84.1%	98.8%	88.1%	86.5%
Term Structure	0.6%	-4.2%	5.9%	-0.3%	5.9%
VWIV	34.3%	25.9%	41.8%	27.1%	30.3%
Skew 25d	6.3%	1.9%	9.7%	1.9%	3.5%
Skew 10d	12.4%	4.0%	21.5%	4.0%	5.8%
Call IV 25d	31.8%	24.2%	38.7%	26.3%	28.6%
Put IV 25d	38.0%	27.4%	47.9%	28.2%	32.1%
Bid-Ask Spread %	29.24	12.82	51.60	12.82	30.13
Gamma HHI	0.05	0.03	0.27	0.05	0.03
Net GEX	33.0M	-127.2M	189.6M	185.7M	55.0M
Net DEX	-27.6M	-4.93B	5.25B	-4.93B	-366.4M
Net VEX	-32.5M	-36.4M	-27.4M	-34.7M	-31.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.63	1.04	0.63	1.04
Total Volume	4,025,882.609	1,878,400	7,240,020	3,621,260	1,918,240
Total OI	20,319,105.217	17,149,580	23,886,700	18,730,960	19,667,120

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
2011-08-01	$15.15	$14.24	30.7%	7.7%	48.7%	28.8%	27.1%	1.9%	-0.3%	185.7M	-4.93B	-34.7M	0.63	12.82	2,227,500	1,393,760	9,971,200	8,759,760
2011-08-02	$14.80	$14.24	32.4%	8.0%	49.7%	31.9%	27.7%	2.6%	-0.3%	123.5M	-3.42B	-35.1M	0.65	30.78	1,917,000	1,250,320	10,437,500	9,119,640
2011-08-03	$15.01	$14.24	29.6%	7.3%	49.8%	26.9%	25.9%	3.2%	0.8%	189.6M	-4.39B	-35.1M	0.63	13.85	2,411,840	1,520,080	10,671,060	9,348,500
2011-08-04	$14.42	$14.24	40.4%	10.0%	52.0%	46.3%	34.9%	4.6%	-2.4%	46.3M	-1.77B	-36.0M	0.71	18.63	2,886,520	2,043,680	10,860,720	9,516,460
2011-08-05	$14.46	$14.24	34.6%	9.1%	50.8%	36.0%	31.2%	7.0%	1.4%	-42.0M	-1.57B	-36.4M	0.70	40.67	4,254,080	2,985,940	11,423,260	9,818,800
2011-08-08	$13.64	$14.24	61.4%	11.7%	55.4%	84.2%	39.6%	9.0%	-2.8%	4.4M	663.3M	-35.0M	0.69	37.84	2,619,540	1,813,500	10,659,600	9,339,120
2011-08-09	$14.32	$14.11	36.4%	9.2%	57.8%	39.1%	33.2%	9.4%	1.3%	100.7M	-1.64B	-35.5M	0.85	51.60	2,123,120	1,805,600	11,018,520	9,408,560
2011-08-10	$13.71	$14.11	48.2%	11.7%	60.1%	60.4%	39.1%	7.7%	-4.0%	19.8M	451.8M	-34.9M	0.72	43.76	2,065,740	1,481,480	11,230,660	9,586,820
2011-08-11	$14.04	$14.11	36.3%	10.4%	60.2%	39.0%	35.5%	8.0%	-1.3%	55.3M	-553.7M	-35.2M	0.77	49.55	1,928,200	1,481,040	11,555,060	9,815,160
2011-08-12	$14.08	$14.11	33.7%	9.7%	40.6%	34.4%	33.7%	6.8%	0.2%	71.8M	-887.0M	-34.7M	0.89	46.29	1,500,300	1,332,300	11,690,240	10,059,360
2011-08-15	$13.92	$14.11	32.7%	9.4%	40.7%	32.5%	32.7%	5.1%	0.2%	20.5M	-157.1M	-32.3M	0.72	40.37	2,840,520	2,036,200	11,179,960	9,645,600
2011-08-16	$13.46	$13.99	34.2%	9.8%	41.6%	35.1%	33.9%	5.4%	-0.5%	-47.4M	1.72B	-31.2M	0.76	44.72	3,212,000	2,454,820	11,754,980	10,215,360
2011-08-17	$13.32	$13.86	32.8%	9.4%	41.6%	32.6%	32.4%	5.1%	-0.3%	-74.6M	2.22B	-30.3M	0.76	23.83	2,194,400	1,675,560	12,289,120	10,487,680
2011-08-18	$12.61	$13.86	41.7%	12.0%	43.9%	48.7%	40.6%	9.1%	-3.8%	-116.2M	4.53B	-28.6M	0.76	18.07	3,563,960	2,696,020	12,505,020	10,529,680
2011-08-19	$12.26	$13.74	42.8%	12.3%	43.1%	50.7%	41.8%	9.2%	-4.2%	-127.2M	5.25B	-27.4M	0.87	28.09	3,761,400	3,290,360	13,199,060	10,687,640
2011-08-22	$12.44	$13.74	40.2%	11.5%	43.9%	46.0%	40.1%	9.7%	1.6%	-20.4M	2.27B	-27.8M	0.76	17.05	1,904,020	1,449,440	9,324,480	7,825,100
2011-08-23	$12.96	$13.74	35.1%	10.1%	47.3%	36.8%	35.4%	7.5%	3.0%	45.6M	929.8M	-30.2M	0.82	16.06	2,020,180	1,658,300	9,883,120	8,218,900
2011-08-24	$13.07	$13.74	35.8%	10.3%	47.3%	38.0%	36.4%	6.9%	3.1%	60.7M	550.9M	-31.1M	0.89	15.07	1,675,160	1,485,480	10,146,340	8,611,480
2011-08-25	$12.99	$13.61	40.1%	11.5%	47.0%	45.8%	40.1%	7.5%	1.5%	54.6M	720.7M	-31.6M	0.98	15.23	1,681,920	1,643,800	10,392,340	8,840,960
2011-08-26	$13.16	$13.61	35.7%	9.8%	47.6%	37.8%	34.5%	6.6%	4.3%	52.5M	218.8M	-31.3M	0.85	16.19	2,245,040	1,904,140	10,548,100	9,038,100
2011-08-29	$13.46	$13.61	35.4%	8.7%	48.6%	37.3%	31.0%	4.3%	4.9%	49.5M	-142.1M	-31.1M	0.98	28.15	1,195,840	1,168,560	10,002,320	8,664,380
2011-08-30	$13.50	$13.61	36.6%	8.8%	48.2%	39.5%	30.9%	4.0%	5.5%	51.8M	-327.7M	-31.7M	0.96	33.77	957,360	921,040	10,327,640	9,064,940
2011-08-31	$13.51	$13.61	34.9%	8.6%	47.7%	36.5%	30.3%	3.5%	5.9%	55.0M	-366.4M	-31.5M	1.04	30.13	940,900	977,340	10,416,640	9,250,480