GOOG Options History — February 2012

In February 2012, GOOG traded between $14.51 and $15.44. ATM implied volatility averaged 20.1%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 8.1% (HV 20d: 28.2%). Max pain ranged from $14.49 to $14.86. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-02-03: Highest Volume — 4,533,860 contracts
  • 2012-02-06: Largest IV spike — 27.4% change
  • 2012-02-15: Highest IV Rank — 9.2%
  • 2012-02-15: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.14$14.51$15.44$14.51$15.44
Max Pain$14.67$14.49$14.86$14.74$14.86
ATM IV20.1%16.5%22.2%18.6%20.4%
Expected Move5.8%5.2%6.4%5.4%5.4%
HV 20d28.2%14.0%38.9%36.8%14.5%
HV 60d28.2%25.6%29.4%29.1%25.6%
IV Rank6.6%2.2%9.2%4.7%7.0%
IV Percentile21.6%1.6%34.9%9.5%24.6%
Term Structure5.2%2.7%8.8%2.7%7.8%
VWIV20.8%18.7%23.1%19.2%19.7%
Skew 25d2.5%1.4%3.8%1.5%2.2%
Skew 10d5.4%2.3%8.7%3.0%5.0%
Call IV 25d19.4%17.8%21.4%18.7%18.3%
Put IV 25d21.9%19.2%24.6%20.2%20.6%
Bid-Ask Spread %29.2713.3642.1317.7923.10
Gamma HHI0.080.030.470.050.06
Net GEX186.6M64.8M597.6M64.8M221.1M
Net DEX-2.02B-3.12B39.3M39.3M-2.71B
Net VEX-26.3M-27.5M-24.6M-24.6M-27.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.510.900.760.65
Total Volume2,610,1871,421,7804,533,8602,385,4402,802,760
Total OI16,446,19912,972,72018,648,54016,540,28015,288,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$14.51$14.7418.6%5.4%36.8%4.7%19.2%1.5%2.7%64.8M39.3M-24.6M0.7617.791,351,8801,033,5609,491,4407,048,840
2012-02-02$14.61$14.7417.7%5.2%37.0%3.7%18.7%1.4%3.1%119.7M-466.8M-25.6M0.7722.30978,340751,8409,696,4007,199,320
2012-02-03$14.89$14.4916.6%5.8%38.0%2.4%20.6%2.2%4.7%175.5M-1.81B-25.5M0.6642.132,738,9001,794,9609,802,1207,340,580
2012-02-06$15.21$14.4921.2%5.7%38.9%8.0%20.5%2.1%4.1%209.7M-2.65B-25.3M0.6734.332,610,4001,742,3409,535,2807,052,640
2012-02-07$15.15$14.4919.7%5.6%35.9%6.1%20.3%2.2%4.3%194.8M-2.35B-26.2M0.7722.541,320,4801,017,0209,843,8007,343,820
2012-02-08$15.23$14.4916.5%5.5%36.0%2.2%19.7%1.9%4.7%249.7M-2.79B-26.3M0.6535.431,405,720910,10010,071,6207,568,680
2012-02-09$15.27$14.6120.6%5.9%35.9%7.3%21.0%1.5%4.1%280.8M-3.12B-26.5M0.5135.602,225,2201,137,90010,215,4807,707,660
2012-02-10$15.13$14.6122.1%6.3%36.0%9.0%23.1%2.4%4.1%143.4M-2.10B-27.5M0.7928.621,783,3001,409,12010,454,4007,842,200
2012-02-13$15.29$14.6121.0%6.0%36.1%7.7%21.6%2.3%4.3%248.3M-2.85B-26.6M0.9029.611,064,060960,36010,112,8207,436,180
2012-02-14$15.23$14.6121.4%6.1%36.1%8.2%22.3%2.6%4.7%206.7M-2.44B-27.1M0.7032.651,093,100768,92010,156,2607,662,300
2012-02-15$15.12$14.6122.2%6.4%36.0%9.2%23.1%3.5%4.4%146.3M-1.81B-27.1M0.7132.831,426,5401,014,46010,320,2207,812,640
2012-02-16$15.15$14.7421.6%6.2%35.7%8.5%22.0%3.8%4.7%172.1M-1.90B-26.9M0.7533.241,830,9801,371,98010,367,1607,962,920
2012-02-17$15.10$14.7420.9%6.0%16.5%7.6%21.4%3.2%4.7%76.7M-1.66B-26.5M0.8829.721,403,5201,237,96010,517,3808,131,160
2012-02-21$15.33$14.7420.0%5.7%17.2%6.5%21.1%2.8%6.2%120.0M-2.05B-25.9M0.7333.131,440,2001,047,4807,127,4405,845,280
2012-02-22$15.18$14.7420.0%5.7%17.4%6.5%21.0%3.0%6.1%97.4M-1.66B-25.8M0.8133.14988,140804,3607,540,6606,214,040
2012-02-23$15.14$14.7420.4%5.8%15.4%7.0%20.7%2.9%6.2%74.3M-1.51B-26.0M0.6331.761,243,160779,9007,819,1006,442,160
2012-02-24$15.23$14.7418.4%5.7%15.3%4.6%20.5%3.0%6.7%597.6M-1.99B-26.0M0.6713.361,505,6201,003,0008,086,6806,647,880
2012-02-27$15.22$14.8621.0%5.6%14.0%7.8%20.7%2.9%7.4%126.0M-1.82B-26.5M0.7921.36795,200626,5807,965,0406,409,280
2012-02-28$15.44$14.8621.0%5.3%14.4%7.8%19.4%2.5%8.8%206.6M-2.71B-26.3M0.6332.671,703,3401,081,0408,203,9206,640,840
2012-02-29$15.44$14.8620.4%5.4%14.5%7.0%19.7%2.2%7.8%221.1M-2.71B-27.0M0.6523.101,701,2201,101,5408,433,5806,854,760