GOOG Options History — December 2011

In December 2011, GOOG traded between $15.33 and $16.13. ATM implied volatility averaged 26.0%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.1% (HV 20d: 24.9%). Max pain ranged from $13.99 to $14.61. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2011-12-02: Highest Volume — 4,797,260 contracts
2011-12-15: Largest IV spike — 51.7% change
2011-12-29: Highest IV Rank — 22.3%
2011-12-30: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.67	$15.33	$16.13	$15.33	$16.13
Max Pain	$14.31	$13.99	$14.61	$14.49	$14.61
ATM IV	26.0%	17.8%	32.9%	24.7%	17.8%
Expected Move	8.4%	6.7%	9.8%	6.9%	9.8%
HV 20d	24.9%	13.3%	29.7%	29.7%	13.3%
HV 60d	28.6%	26.1%	29.7%	29.7%	26.1%
IV Rank	13.9%	3.8%	22.3%	12.2%	3.8%
IV Percentile	49.8%	5.2%	77.8%	44.4%	5.2%
Term Structure	-0.8%	-5.0%	6.1%	6.1%	-5.0%
VWIV	29.9%	23.9%	34.0%	25.1%	34.0%
Skew 25d	3.2%	0.8%	5.1%	4.0%	1.4%
Skew 10d	5.8%	1.1%	9.1%	7.7%	2.7%
Call IV 25d	28.1%	22.0%	33.1%	22.7%	33.1%
Put IV 25d	31.3%	25.5%	34.5%	26.7%	34.5%
Bid-Ask Spread %	25.97	12.55	34.47	33.87	12.55
Gamma HHI	0.09	0.04	0.39	0.06	0.29
Net GEX	254.6M	132.7M	601.7M	274.5M	447.3M
Net DEX	-4.89B	-6.05B	-3.35B	-5.10B	-5.67B
Net VEX	-23.7M	-25.6M	-21.9M	-25.6M	-23.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.63	1.14	0.89	0.65
Total Volume	3,086,090.476	2,089,360	4,797,260	4,204,040	2,718,400
Total OI	18,528,320.952	14,319,640	21,106,360	19,331,400	17,882,980

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
2011-12-01	$15.33	$14.49	24.7%	6.9%	29.7%	12.2%	25.1%	4.0%	6.1%	274.5M	-5.10B	-25.6M	0.89	33.87	2,226,980	1,977,060	10,050,760	9,280,640
2011-12-02	$15.49	$14.49	23.2%	6.7%	29.0%	10.4%	23.9%	3.5%	6.0%	601.7M	-5.92B	-25.4M	0.69	24.93	2,845,880	1,951,380	10,294,800	9,831,220
2011-12-05	$15.63	$13.99	26.3%	8.4%	29.1%	14.3%	30.4%	4.8%	0.5%	263.0M	-5.62B	-24.8M	0.75	21.07	1,857,580	1,393,080	9,966,480	9,155,780
2011-12-06	$15.58	$13.99	24.8%	8.4%	28.4%	12.4%	30.5%	5.0%	0.2%	246.4M	-5.25B	-24.8M	0.89	21.22	1,272,480	1,132,380	10,145,980	9,422,620
2011-12-07	$15.57	$13.99	22.5%	8.4%	28.3%	9.6%	30.0%	4.9%	0.2%	249.7M	-5.22B	-24.8M	0.78	28.94	1,393,800	1,084,640	10,271,260	9,611,800
2011-12-08	$15.39	$14.11	24.9%	9.0%	27.8%	12.5%	31.6%	5.1%	-0.3%	166.9M	-4.25B	-24.7M	0.91	21.05	1,531,440	1,398,680	10,412,000	9,798,380
2011-12-09	$15.67	$14.11	20.0%	8.2%	28.1%	6.5%	29.8%	4.2%	0.3%	279.4M	-6.05B	-23.5M	0.86	24.96	2,527,000	2,185,180	10,569,160	10,052,920
2011-12-12	$15.62	$14.11	22.1%	8.4%	27.2%	9.1%	29.9%	4.3%	-0.2%	258.5M	-5.43B	-23.4M	0.76	28.51	1,300,420	987,540	10,249,280	9,652,120
2011-12-13	$15.63	$14.11	19.6%	8.3%	27.1%	6.1%	29.4%	3.7%	-0.3%	277.9M	-5.52B	-23.1M	0.80	26.65	2,432,440	1,940,820	10,479,540	9,827,020
2011-12-14	$15.44	$14.24	19.1%	8.5%	27.4%	5.4%	30.0%	3.7%	-0.4%	133.1M	-4.22B	-23.0M	0.77	24.25	2,278,600	1,757,240	10,578,400	10,066,980
2011-12-15	$15.47	$14.24	28.9%	8.3%	27.2%	17.4%	29.2%	3.9%	-0.4%	180.1M	-4.44B	-22.7M	0.70	33.31	1,826,340	1,282,640	10,797,540	10,203,000
2011-12-16	$15.63	$14.24	28.0%	8.0%	26.5%	16.3%	28.4%	3.7%	-0.5%	246.8M	-5.21B	-22.7M	0.77	23.19	2,588,660	1,997,760	10,851,320	10,255,040
2011-12-19	$15.53	$14.24	29.1%	8.3%	26.4%	17.6%	29.4%	3.1%	-1.0%	132.7M	-3.35B	-21.9M	0.86	26.89	1,125,560	963,800	7,377,420	6,942,220
2011-12-20	$15.74	$14.36	28.2%	8.1%	24.8%	16.6%	28.3%	2.1%	-1.7%	204.3M	-4.12B	-22.1M	0.69	28.66	1,731,200	1,199,040	7,715,740	7,317,880
2011-12-21	$15.63	$14.49	29.3%	8.4%	25.0%	17.9%	29.6%	1.6%	-2.2%	174.6M	-3.74B	-23.5M	0.83	25.13	1,348,260	1,116,280	8,319,680	7,810,240
2011-12-22	$15.73	$14.49	30.2%	8.7%	23.8%	19.0%	30.4%	1.6%	-2.9%	242.4M	-4.22B	-23.6M	1.05	33.11	1,065,180	1,122,120	8,485,200	8,010,800
2011-12-23	$15.81	$14.49	29.8%	8.6%	22.8%	18.6%	30.1%	1.3%	-3.0%	314.9M	-4.60B	-23.5M	0.74	25.37	1,236,880	911,880	8,715,540	8,249,080
2011-12-27	$15.99	$14.49	32.5%	9.3%	18.1%	21.8%	32.4%	0.8%	-4.2%	197.5M	-4.93B	-23.1M	0.63	23.07	1,490,800	938,900	8,282,800	7,827,420
2011-12-28	$15.98	$14.61	32.7%	9.4%	17.5%	22.1%	33.1%	1.9%	-4.0%	209.7M	-4.80B	-23.4M	1.14	34.47	1,185,660	1,350,820	8,683,400	8,145,100
2011-12-29	$16.04	$14.61	32.9%	9.4%	15.3%	22.3%	32.8%	2.5%	-4.3%	244.4M	-5.06B	-23.6M	0.63	24.28	1,312,400	820,700	8,894,640	8,610,560
2011-12-30	$16.13	$14.61	17.8%	9.8%	13.3%	3.8%	34.0%	1.4%	-5.0%	447.3M	-5.67B	-23.7M	0.65	12.55	1,643,000	1,075,400	9,112,300	8,770,680