GOOG Options History — November 2011

In November 2011, GOOG traded between $14.06 and $15.40. ATM implied volatility averaged 27.2%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.2% (HV 20d: 27.4%). Max pain ranged from $13.86 to $14.49. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2011-11-17: Highest Volume — 4,514,080 contracts
2011-11-30: Largest IV drop — 21.4% change
2011-11-01: Highest IV Rank — 27.1%
2011-11-25: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.85	$14.06	$15.40	$14.45	$14.97
Max Pain	$14.21	$13.86	$14.49	$14.11	$14.49
ATM IV	27.2%	22.3%	36.8%	36.8%	22.3%
Expected Move	7.8%	6.9%	8.7%	8.7%	6.9%
HV 20d	27.4%	22.9%	32.1%	31.9%	28.8%
HV 60d	29.8%	27.4%	34.4%	34.4%	29.6%
IV Rank	15.4%	9.3%	27.1%	27.1%	9.3%
IV Percentile	56.6%	35.7%	84.5%	84.5%	35.7%
Term Structure	4.0%	-0.4%	6.7%	-0.4%	6.7%
VWIV	27.6%	24.9%	30.4%	30.4%	24.9%
Skew 25d	5.5%	4.1%	7.0%	6.9%	4.1%
Skew 10d	11.2%	8.4%	14.2%	14.2%	8.5%
Call IV 25d	24.7%	21.8%	28.1%	27.6%	22.3%
Put IV 25d	30.2%	26.4%	34.4%	34.4%	26.4%
Bid-Ask Spread %	31.95	21.93	46.82	35.73	39.42
Gamma HHI	0.06	0.03	0.22	0.03	0.06
Net GEX	158.3M	-72.0M	377.0M	60.2M	230.0M
Net DEX	-3.15B	-5.77B	182.2M	-1.75B	-3.43B
Net VEX	-27.8M	-29.4M	-25.5M	-29.4M	-25.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.55	1.06	0.81	0.72
Total Volume	2,877,243.81	1,559,520	4,514,080	3,083,840	2,692,120
Total OI	19,534,461.905	17,392,040	21,776,280	18,601,900	18,927,420

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
2011-11-01	$14.45	$14.11	36.8%	8.7%	31.9%	27.1%	30.4%	6.9%	-0.4%	60.2M	-1.75B	-29.4M	0.81	35.73	1,707,740	1,376,100	9,711,660	8,890,240
2011-11-02	$14.61	$14.11	29.0%	7.8%	31.9%	17.5%	27.6%	5.9%	1.0%	99.9M	-2.32B	-29.0M	0.69	35.19	1,015,020	704,380	9,952,580	9,121,200
2011-11-03	$14.92	$14.11	24.0%	6.9%	32.0%	11.4%	25.1%	4.8%	1.8%	214.5M	-3.60B	-28.7M	0.75	33.14	1,410,600	1,055,020	10,042,680	9,282,840
2011-11-04	$14.89	$13.86	23.3%	7.6%	32.1%	10.5%	27.8%	5.5%	3.7%	219.2M	-3.56B	-28.4M	0.76	21.93	1,667,940	1,262,940	10,197,180	9,435,020
2011-11-07	$15.19	$13.86	26.8%	7.5%	29.8%	14.8%	27.5%	5.0%	3.4%	233.9M	-4.76B	-28.6M	0.79	24.89	1,669,100	1,324,280	9,991,020	9,035,460
2011-11-08	$15.29	$13.86	24.1%	7.2%	29.8%	11.6%	25.9%	4.7%	3.7%	292.8M	-5.32B	-28.3M	0.76	31.75	1,706,700	1,301,100	10,296,000	9,387,740
2011-11-09	$15.01	$13.99	27.8%	8.2%	31.0%	16.0%	29.5%	6.3%	3.1%	180.2M	-3.91B	-29.4M	0.78	32.97	2,223,260	1,722,960	10,423,860	9,604,800
2011-11-10	$14.86	$13.99	28.4%	8.2%	30.9%	16.9%	28.5%	7.0%	3.7%	132.7M	-3.21B	-29.3M	0.58	31.37	2,046,320	1,178,100	10,750,620	9,904,220
2011-11-11	$15.19	$13.99	25.1%	7.2%	24.7%	12.7%	26.1%	5.7%	4.7%	377.0M	-5.12B	-28.9M	0.63	28.81	2,712,720	1,712,080	10,941,300	10,044,600
2011-11-14	$15.31	$14.11	25.9%	7.4%	24.0%	13.8%	27.4%	5.5%	4.4%	303.5M	-5.34B	-28.1M	0.75	25.87	1,789,100	1,341,420	10,518,220	9,575,120
2011-11-15	$15.40	$14.24	25.1%	7.2%	23.6%	12.8%	26.2%	5.0%	4.8%	340.3M	-5.77B	-28.0M	0.81	24.48	1,461,900	1,180,100	10,698,040	9,925,680
2011-11-16	$15.27	$14.24	25.1%	7.2%	22.9%	12.7%	25.3%	4.3%	5.0%	273.6M	-4.95B	-27.7M	0.88	28.01	1,369,800	1,207,000	10,805,360	10,144,220
2011-11-17	$15.01	$14.36	28.6%	8.2%	24.0%	17.0%	28.8%	6.4%	4.5%	103.6M	-3.39B	-28.7M	0.88	27.14	2,401,720	2,112,360	10,939,760	10,384,820
2011-11-18	$14.86	$14.36	26.5%	7.6%	24.0%	14.5%	26.4%	6.1%	5.5%	-72.0M	-2.48B	-28.0M	0.91	24.51	2,138,300	1,943,700	11,151,980	10,624,300
2011-11-21	$14.51	$14.49	28.7%	8.2%	25.1%	17.2%	28.8%	6.8%	4.6%	45.5M	-1.40B	-26.7M	0.55	35.36	2,065,500	1,144,340	9,118,460	8,273,580
2011-11-22	$14.49	$14.49	28.1%	8.1%	23.9%	16.4%	28.0%	5.9%	4.7%	62.6M	-1.46B	-26.8M	0.82	34.69	1,148,140	940,100	9,530,280	8,556,740
2011-11-23	$14.24	$14.49	29.7%	8.5%	24.5%	18.4%	29.6%	5.8%	4.5%	4.8M	-566.6M	-26.5M	0.78	41.22	1,196,280	928,480	9,656,800	8,777,880
2011-11-25	$14.06	$14.49	29.8%	8.7%	23.3%	18.5%	30.4%	6.0%	4.4%	15.5M	182.2M	-25.5M	1.06	46.82	804,440	850,040	9,870,140	8,936,960
2011-11-28	$14.69	$14.36	28.6%	7.9%	28.6%	17.0%	28.2%	4.4%	5.2%	108.3M	-2.29B	-26.1M	0.77	36.47	1,331,580	1,019,820	9,429,900	8,625,020
2011-11-29	$14.56	$14.49	28.3%	7.8%	28.5%	16.7%	27.4%	4.4%	5.4%	98.6M	-1.82B	-25.8M	0.73	31.14	903,940	655,580	9,804,200	8,935,800
2011-11-30	$14.97	$14.49	22.3%	6.9%	28.8%	9.3%	24.9%	4.1%	6.7%	230.0M	-3.43B	-25.5M	0.72	39.42	1,561,400	1,130,720	9,915,660	9,011,760