GOOG Options History — September 2011

In September 2011, GOOG traded between $12.86 and $13.65. ATM implied volatility averaged 36.5%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 6.4% (HV 20d: 30.1%). Max pain ranged from $13.11 to $13.61. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2011-09-22: Highest Volume — 3,327,360 contracts
2011-09-15: Largest IV spike — 47.1% change
2011-09-29: Highest IV Rank — 61.6%
2011-09-30: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.29	$12.86	$13.65	$13.30	$12.86
Max Pain	$13.24	$13.11	$13.61	$13.61	$13.24
ATM IV	36.5%	24.8%	48.8%	29.9%	40.4%
Expected Move	11.4%	8.3%	14.6%	8.5%	14.6%
HV 20d	30.1%	19.4%	46.2%	46.1%	24.2%
HV 60d	42.2%	41.9%	42.7%	42.4%	42.0%
IV Rank	39.3%	18.2%	61.6%	27.5%	46.3%
IV Percentile	84.7%	53.6%	96.4%	77.8%	90.9%
Term Structure	-2.4%	-7.5%	7.2%	6.1%	-7.5%
VWIV	39.6%	29.0%	50.1%	29.7%	50.1%
Skew 25d	5.2%	3.6%	6.6%	3.7%	5.8%
Skew 10d	9.2%	5.9%	13.2%	6.9%	10.3%
Call IV 25d	37.1%	27.4%	48.1%	28.0%	48.1%
Put IV 25d	42.4%	31.3%	53.9%	31.7%	53.9%
Bid-Ask Spread %	25.08	20.26	31.04	27.65	26.00
Gamma HHI	0.09	0.03	0.69	0.04	0.32
Net GEX	-19.1M	-815.7M	187.0M	-21.8M	-189.9M
Net DEX	162.5M	-1.41B	1.40B	541.6M	1.15B
Net VEX	-30.4M	-31.2M	-29.5M	-30.8M	-30.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.61	1.08	0.93	0.81
Total Volume	2,442,472.381	1,662,780	3,327,360	2,375,400	2,663,820
Total OI	18,704,020	14,444,140	21,665,360	19,934,160	18,139,120

Daily Data (21 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
2011-09-01	$13.30	$13.61	29.9%	8.5%	46.1%	27.5%	29.7%	3.7%	6.1%	-21.8M	541.6M	-30.8M	0.93	27.65	1,227,980	1,147,420	10,447,280	9,486,880
2011-09-02	$13.11	$13.61	26.6%	8.3%	46.2%	21.5%	29.0%	4.0%	7.2%	-815.7M	1.40B	-30.5M	0.91	31.04	1,666,460	1,516,880	10,712,500	9,776,040
2011-09-06	$13.04	$13.11	36.7%	11.0%	41.6%	39.7%	38.0%	6.6%	-3.2%	-13.3M	1.28B	-29.5M	0.74	24.64	1,527,160	1,137,340	10,502,380	9,231,380
2011-09-07	$13.34	$13.11	28.9%	10.4%	38.2%	25.7%	36.0%	6.1%	-2.3%	85.4M	-13.6M	-30.4M	0.94	23.57	1,299,620	1,224,300	10,958,500	9,479,260
2011-09-08	$13.36	$13.11	30.3%	10.5%	35.2%	28.2%	36.6%	5.5%	-2.6%	77.0M	-63.0M	-30.9M	0.93	24.90	1,092,060	1,020,740	11,173,560	9,807,400
2011-09-09	$13.11	$13.24	33.4%	11.3%	34.4%	33.7%	40.6%	5.5%	-3.4%	-18.1M	1.09B	-30.5M	0.95	20.26	1,478,120	1,407,120	11,301,540	9,976,720
2011-09-12	$13.24	$13.11	31.3%	11.4%	34.7%	29.9%	39.7%	6.6%	-2.7%	20.7M	566.2M	-30.1M	0.97	26.04	1,103,620	1,071,920	10,910,660	9,490,960
2011-09-13	$13.22	$13.11	28.2%	11.1%	34.5%	24.5%	38.6%	5.9%	-2.5%	30.6M	586.4M	-29.9M	0.94	27.90	909,380	855,780	11,094,240	9,656,200
2011-09-14	$13.29	$13.11	24.8%	10.8%	32.6%	18.2%	37.3%	5.8%	-2.2%	76.9M	245.9M	-29.7M	0.75	24.57	1,352,760	1,016,380	11,223,460	9,723,160
2011-09-15	$13.55	$13.24	36.4%	10.4%	33.1%	39.2%	36.6%	5.8%	-1.9%	187.0M	-888.2M	-30.1M	1.08	24.67	1,285,560	1,384,700	11,421,820	9,778,320
2011-09-16	$13.65	$13.24	35.6%	10.2%	25.9%	37.7%	35.6%	4.8%	-1.8%	96.9M	-1.41B	-29.9M	0.77	25.45	1,455,620	1,124,080	11,609,040	10,056,320
2011-09-19	$13.65	$13.24	38.0%	10.9%	23.1%	42.1%	38.4%	3.7%	-2.4%	39.9M	-730.8M	-30.0M	1.04	22.22	1,123,800	1,170,600	7,408,120	7,036,020
2011-09-20	$13.65	$13.24	38.2%	11.0%	22.9%	42.5%	38.1%	3.6%	-3.0%	39.5M	-804.7M	-30.5M	0.61	21.18	1,231,880	754,120	7,755,380	7,573,920
2011-09-21	$13.47	$13.24	40.0%	11.5%	19.4%	45.6%	40.3%	3.8%	-2.9%	-2.7M	-326.9M	-30.5M	0.98	24.38	914,640	899,900	8,000,240	7,768,920
2011-09-22	$13.00	$13.36	45.4%	13.0%	23.2%	55.3%	44.8%	4.5%	-3.4%	-65.3M	900.1M	-30.3M	0.63	24.66	2,044,720	1,282,640	8,190,220	8,051,960
2011-09-23	$13.12	$13.24	44.0%	12.6%	23.4%	52.8%	43.7%	5.1%	-3.5%	-52.4M	389.2M	-30.9M	0.71	22.86	1,576,580	1,112,960	8,812,600	8,352,420
2011-09-26	$13.28	$13.24	43.7%	12.5%	23.3%	52.4%	43.9%	5.5%	-3.7%	43.2M	-190.8M	-30.7M	0.87	25.39	1,149,260	1,005,040	8,369,760	7,802,920
2011-09-27	$13.47	$13.24	41.8%	12.0%	22.3%	48.9%	42.1%	5.6%	-3.8%	76.8M	-716.3M	-31.2M	0.87	28.00	1,413,100	1,228,460	8,656,680	8,098,000
2011-09-28	$13.21	$13.24	43.5%	12.5%	23.4%	52.0%	43.7%	5.1%	-4.5%	16.4M	117.8M	-30.6M	1.04	26.52	813,220	849,560	8,899,700	8,360,320
2011-09-29	$13.17	$13.24	48.8%	14.0%	23.4%	61.6%	48.3%	6.5%	-6.9%	-12.7M	283.0M	-30.8M	0.83	24.76	1,504,460	1,248,160	9,037,500	8,653,000
2011-09-30	$12.86	$13.24	40.4%	14.6%	24.2%	46.3%	50.1%	5.8%	-7.5%	-189.9M	1.15B	-30.0M	0.81	26.00	1,473,040	1,190,780	9,366,640	8,772,480