GOOG Options History — October 2011

In October 2011, GOOG traded between $12.38 and $14.99. ATM implied volatility averaged 42.9%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 10.4% (HV 20d: 32.5%). Max pain ranged from $12.74 to $14.11. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2011-10-14: Highest Volume — 10,328,960 contracts
2011-10-12: Largest IV drop — 40.7% change
2011-10-10: Highest IV Rank — 100.0%
2011-10-03: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.03	$12.38	$14.99	$12.38	$14.80
Max Pain	$13.46	$12.74	$14.11	$13.24	$14.11
ATM IV	42.9%	24.1%	96.3%	55.5%	29.5%
Expected Move	10.4%	7.0%	17.2%	17.2%	7.5%
HV 20d	32.5%	26.4%	37.7%	27.2%	29.7%
HV 60d	37.8%	35.0%	42.5%	42.4%	36.1%
IV Rank	40.8%	11.6%	100.0%	73.5%	18.2%
IV Percentile	77.5%	47.6%	100.0%	97.2%	68.7%
Term Structure	-2.2%	-11.0%	1.5%	-11.0%	0.4%
VWIV	36.6%	25.0%	58.8%	58.8%	27.0%
Skew 25d	5.2%	3.2%	7.1%	6.1%	4.2%
Skew 10d	9.9%	4.5%	13.6%	10.2%	7.9%
Call IV 25d	33.9%	23.1%	56.6%	56.6%	25.1%
Put IV 25d	39.1%	26.9%	62.7%	62.7%	29.2%
Bid-Ask Spread %	26.70	17.37	39.00	22.28	33.84
Gamma HHI	0.10	0.02	0.56	0.03	0.04
Net GEX	160.5M	-16.5M	754.4M	-16.5M	129.4M
Net DEX	-2.31B	-7.20B	1.64B	1.64B	-3.03B
Net VEX	-30.3M	-31.8M	-28.3M	-28.9M	-28.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.54	1.01	0.59	1.01
Total Volume	3,553,462.857	1,898,780	10,328,960	2,700,220	1,898,780
Total OI	19,451,958.095	17,008,820	22,499,840	17,222,200	17,901,040

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
2011-10-03	$12.38	$13.24	55.5%	17.2%	27.2%	73.5%	58.8%	6.1%	-11.0%	-16.5M	1.64B	-28.9M	0.59	22.28	1,698,260	1,001,960	8,957,460	8,264,740
2011-10-04	$12.53	$12.99	46.1%	15.4%	27.8%	56.7%	54.2%	5.1%	-8.5%	-730.8K	1.35B	-29.4M	0.54	23.73	1,920,480	1,027,740	9,416,400	8,465,740
2011-10-05	$12.60	$12.99	47.6%	15.8%	26.4%	59.4%	55.1%	6.7%	-9.2%	30.3M	974.9M	-29.7M	0.62	26.01	1,918,680	1,183,620	9,808,400	8,500,220
2011-10-06	$12.85	$12.99	64.4%	14.9%	27.6%	89.7%	52.3%	7.1%	-9.7%	68.4M	254.9M	-30.3M	0.71	24.06	1,378,660	975,940	10,136,560	8,765,520
2011-10-07	$12.87	$12.86	67.1%	12.1%	26.8%	94.5%	42.2%	7.1%	-2.7%	156.3M	182.8M	-30.0M	0.78	18.59	2,048,560	1,597,920	10,240,240	8,920,120
2011-10-10	$13.42	$12.74	87.2%	11.8%	30.7%	100.0%	41.6%	6.3%	-3.3%	61.9M	-1.00B	-31.0M	0.73	19.80	1,185,540	865,620	9,767,560	8,778,320
2011-10-11	$13.57	$12.86	96.3%	11.8%	30.9%	100.0%	40.9%	5.7%	-3.7%	78.5M	-1.49B	-31.3M	0.58	19.58	1,635,520	950,500	10,016,480	9,065,540
2011-10-12	$13.70	$12.86	57.1%	11.4%	31.0%	51.9%	40.1%	3.9%	-3.5%	101.8M	-2.02B	-31.2M	0.79	22.31	1,988,860	1,561,840	10,302,060	9,199,480
2011-10-13	$13.96	$12.99	41.8%	12.0%	30.9%	33.2%	41.6%	3.2%	-4.4%	127.1M	-2.85B	-31.8M	0.74	21.10	4,358,200	3,239,280	10,624,180	9,507,580
2011-10-14	$14.78	$13.11	28.7%	8.2%	36.6%	17.1%	28.9%	3.4%	0.5%	299.6M	-7.20B	-30.7M	0.71	18.85	6,054,360	4,274,600	11,798,860	10,682,240
2011-10-17	$14.55	$13.74	30.0%	8.6%	37.3%	18.8%	30.5%	4.7%	0.7%	190.3M	-3.87B	-31.4M	0.83	17.37	2,025,820	1,680,160	10,896,880	10,258,000
2011-10-18	$14.75	$13.74	28.3%	8.1%	37.5%	16.8%	30.2%	5.2%	1.5%	236.2M	-4.65B	-31.4M	0.74	26.79	2,121,600	1,565,440	10,994,620	10,585,620
2011-10-19	$14.50	$13.74	29.6%	8.5%	37.7%	18.3%	30.4%	5.6%	1.3%	120.0M	-3.30B	-31.1M	0.73	28.57	1,732,140	1,269,220	11,125,960	10,842,920
2011-10-20	$14.58	$13.86	29.7%	8.5%	34.8%	18.4%	30.9%	6.9%	1.4%	97.9M	-3.58B	-31.1M	0.80	27.12	2,163,240	1,720,320	11,153,260	10,994,860
2011-10-21	$14.75	$13.86	27.9%	8.0%	34.8%	16.2%	28.5%	6.0%	1.3%	421.5M	-4.55B	-30.9M	0.73	32.85	2,536,260	1,854,220	11,234,500	11,265,340
2011-10-24	$14.90	$13.99	26.5%	7.6%	34.8%	14.5%	27.0%	4.4%	0.7%	126.9M	-3.26B	-29.5M	0.66	34.62	1,470,140	976,540	8,751,820	8,257,000
2011-10-25	$14.56	$13.99	28.5%	8.2%	36.0%	16.9%	29.0%	4.9%	0.2%	73.4M	-2.22B	-29.8M	0.74	35.85	1,306,420	964,040	9,086,960	8,530,240
2011-10-26	$14.64	$13.99	28.6%	8.2%	34.9%	17.0%	29.2%	5.5%	0.3%	91.1M	-2.43B	-29.9M	0.74	36.73	1,345,300	1,001,400	9,357,700	8,721,400
2011-10-27	$14.95	$13.99	25.4%	7.3%	35.2%	13.2%	26.0%	4.0%	0.6%	222.0M	-3.66B	-29.3M	0.74	39.00	1,882,280	1,389,100	9,517,100	8,889,800
2011-10-28	$14.99	$14.11	24.1%	7.0%	33.4%	11.6%	25.0%	3.8%	1.2%	754.4M	-3.86B	-28.8M	0.65	31.61	1,730,560	1,123,600	9,759,420	9,148,980
2011-10-31	$14.80	$14.11	29.5%	7.5%	29.7%	18.2%	27.0%	4.2%	0.4%	129.4M	-3.03B	-28.3M	1.01	33.84	944,740	954,040	9,318,420	8,582,620