GOOG Options History — January 2012

In January 2012, GOOG traded between $14.19 and $16.69. ATM implied volatility averaged 25.2%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 2.8% (HV 20d: 28.0%). Max pain ranged from $14.74 to $15.98. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2012-01-20: Highest Volume — 12,807,400 contracts
  • 2012-01-11: Largest IV spike — 73.1% change
  • 2012-01-11: Highest IV Rank — 37.1%
  • 2012-01-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.36$14.19$16.69$16.62$14.49
Max Pain$15.34$14.74$15.98$14.74$14.86
ATM IV25.2%18.9%44.9%22.3%20.3%
Expected Move7.9%5.5%10.4%10.4%5.8%
HV 20d28.0%16.1%39.2%16.2%39.0%
HV 60d27.1%24.0%30.1%26.5%29.4%
IV Rank12.9%5.1%37.1%9.3%6.9%
IV Percentile43.2%12.3%92.5%34.9%24.6%
Term Structure-1.8%-7.2%2.2%-6.8%2.2%
VWIV27.8%20.1%36.5%36.5%20.9%
Skew 25d1.8%0.5%2.3%2.0%1.7%
Skew 10d3.3%0.7%4.8%2.9%4.7%
Call IV 25d26.8%18.8%35.6%35.1%20.0%
Put IV 25d28.6%20.7%37.1%37.1%21.7%
Bid-Ask Spread %21.9310.3837.5836.0913.33
Gamma HHI0.130.030.730.050.04
Net GEX99.2M-362.4M1.04B260.0M41.4M
Net DEX-2.39B-7.21B2.41B-7.01B197.3M
Net VEX-23.3M-25.5M-17.7M-23.1M-24.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.451.120.750.58
Total Volume4,228,5271,823,26012,807,4003,641,8401,823,260
Total OI19,017,01512,996,22024,774,58017,224,12016,137,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$16.62$14.7422.3%10.4%16.2%9.3%36.5%2.0%-6.8%260.0M-7.01B-23.1M0.7536.092,081,9201,559,9208,815,4408,408,680
2012-01-04$16.69$14.7421.5%10.0%16.1%8.3%35.1%2.0%-6.0%276.9M-7.21B-23.2M0.6035.761,860,3001,116,1609,143,4608,870,740
2012-01-05$16.46$14.8621.1%10.3%17.1%7.8%36.0%0.5%-7.2%188.3M-6.27B-23.5M0.5037.062,571,4001,292,6609,550,6209,161,760
2012-01-06$16.23$15.9821.3%8.3%18.1%8.1%29.0%2.3%-1.9%-362.4M-5.10B-23.8M0.5822.512,611,5201,506,74010,143,7409,354,780
2012-01-09$15.55$15.9829.8%9.0%23.8%18.5%31.3%2.0%-2.7%98.6M-2.84B-23.0M0.6319.663,446,0402,155,28010,047,4409,036,980
2012-01-10$15.56$15.8625.9%9.1%22.9%13.8%31.7%1.7%-3.3%105.7M-2.93B-24.3M0.7217.163,655,8602,624,42011,097,9609,703,540
2012-01-11$15.63$15.7344.9%8.8%22.9%37.1%30.7%1.7%-3.1%141.7M-3.34B-25.2M0.5623.871,814,9801,020,22011,913,58010,399,140
2012-01-12$15.73$15.7330.4%8.7%23.0%19.3%30.4%1.7%-2.5%236.7M-3.94B-25.5M0.6327.661,452,540914,24012,359,94010,562,680
2012-01-13$15.61$15.7330.4%8.7%22.8%19.3%30.3%1.9%-2.8%-227.4M-3.24B-24.8M0.6613.372,103,1401,392,44012,598,54010,698,080
2012-01-17$15.70$15.7331.9%9.1%22.8%21.1%32.1%1.1%-3.6%169.6M-3.93B-23.8M0.4517.991,912,440861,82011,524,84010,117,900
2012-01-18$15.81$15.6133.3%9.5%22.7%22.8%33.5%2.0%-3.6%210.8M-4.61B-24.3M0.4634.272,904,1001,345,82012,073,26010,281,960
2012-01-19$15.97$15.6132.4%9.3%22.8%21.7%32.4%2.3%-3.6%258.5M-5.42B-23.8M0.6637.585,202,8803,443,60012,467,82010,525,200
2012-01-20$14.64$15.7321.1%6.1%38.5%7.9%21.7%1.9%1.1%-198.8M2.41B-17.7M1.1217.116,028,2606,779,14013,455,52011,319,060
2012-01-23$14.62$15.2319.5%5.6%38.4%6.0%20.4%1.6%1.1%10.6M461.6M-21.0M0.7010.381,899,3801,327,5607,544,1405,452,080
2012-01-24$14.51$14.9919.3%5.5%38.3%5.7%20.1%1.9%1.2%-28.6M871.3M-21.4M1.0615.141,189,5401,257,1408,262,1805,975,840
2012-01-25$14.22$14.9919.8%5.7%38.5%6.3%20.2%2.0%1.5%-127.8M1.79B-21.5M0.8014.092,362,1201,878,0008,678,8006,312,660
2012-01-26$14.19$14.9919.7%5.6%38.1%6.1%20.2%1.9%1.7%-125.9M1.78B-22.7M0.9212.441,507,6201,387,5009,354,0206,762,080
2012-01-27$14.49$14.8618.9%5.8%39.2%5.1%20.6%2.1%1.7%1.04B175.8M-23.8M0.6917.192,626,2201,809,6409,727,0006,911,580
2012-01-30$14.43$14.8620.3%6.1%39.0%6.9%22.0%1.7%1.1%21.8M419.2M-24.8M0.7215.921,074,360770,3609,017,7206,572,000
2012-01-31$14.49$14.8620.3%5.8%39.0%6.9%20.9%1.7%2.2%41.4M197.3M-24.8M0.5813.331,150,780672,4809,260,5006,877,040