GOOG Options History — March 2012

In March 2012, GOOG traded between $14.99 and $16.38. ATM implied volatility averaged 25.2%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 10.5% (HV 20d: 14.6%). Max pain ranged from $14.86 to $15.48. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.68.

Notable Days

2012-03-21: Highest Volume — 3,571,900 contracts
2012-03-15: Largest IV spike — 86.8% change
2012-03-29: Highest IV Rank — 24.5%
2012-03-29: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.67	$14.99	$16.38	$15.54	$16.01
Max Pain	$15.32	$14.86	$15.48	$14.86	$15.48
ATM IV	25.2%	15.4%	34.6%	17.9%	19.9%
Expected Move	8.3%	5.0%	9.9%	5.0%	9.8%
HV 20d	14.6%	13.1%	16.4%	14.5%	16.4%
HV 60d	25.6%	25.3%	25.9%	25.5%	25.3%
IV Rank	12.8%	0.8%	24.5%	4.0%	6.4%
IV Percentile	43.5%	0.4%	79.4%	5.6%	21.8%
Term Structure	-2.3%	-6.0%	9.0%	9.0%	-6.0%
VWIV	29.2%	18.0%	34.6%	18.0%	34.5%
Skew 25d	1.7%	0.1%	3.6%	2.0%	0.1%
Skew 10d	3.5%	0.6%	6.4%	4.2%	0.6%
Call IV 25d	28.2%	16.7%	34.5%	16.7%	34.5%
Put IV 25d	29.9%	18.8%	34.6%	18.8%	34.5%
Bid-Ask Spread %	23.17	12.97	30.11	30.11	23.67
Gamma HHI	0.10	0.04	0.70	0.09	0.06
Net GEX	191.3M	-194.2M	978.8M	304.3M	56.6M
Net DEX	-2.66B	-4.18B	-684.2M	-3.26B	-2.44B
Net VEX	-26.9M	-29.4M	-25.1M	-26.6M	-29.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.44	0.99	0.65	0.60
Total Volume	2,560,853.636	1,264,040	3,571,900	2,419,900	2,949,980
Total OI	14,808,842.727	10,936,020	17,796,740	15,510,460	14,853,920

Daily Data (22 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
2012-03-01	$15.54	$14.86	17.9%	5.0%	14.5%	4.0%	18.0%	2.0%	9.0%	304.3M	-3.26B	-26.6M	0.65	30.11	1,467,260	952,640	8,564,520	6,945,940
2012-03-02	$15.52	$14.86	16.8%	5.0%	14.5%	2.6%	18.3%	2.0%	8.8%	206.3M	-2.97B	-26.7M	0.77	27.15	1,149,420	879,800	8,582,380	7,132,720
2012-03-05	$15.34	$15.36	20.4%	7.8%	14.1%	7.0%	27.6%	2.4%	-1.6%	132.5M	-2.07B	-26.3M	0.72	13.34	1,145,260	825,660	8,249,640	6,718,600
2012-03-06	$15.11	$15.36	27.4%	8.3%	13.2%	15.6%	29.9%	3.6%	-2.4%	51.3M	-1.06B	-26.4M	0.99	16.72	1,578,860	1,562,600	8,586,260	6,987,700
2012-03-07	$15.15	$15.36	20.1%	8.2%	13.2%	6.7%	28.9%	3.1%	-2.4%	84.4M	-1.43B	-26.3M	0.74	14.62	735,220	541,020	8,794,180	7,405,760
2012-03-08	$15.16	$15.36	19.5%	8.2%	13.1%	5.9%	28.7%	2.8%	-2.4%	97.8M	-1.45B	-26.0M	0.68	12.97	752,840	511,200	8,919,240	7,493,040
2012-03-09	$14.99	$15.36	19.6%	8.0%	13.6%	6.0%	28.0%	2.5%	-2.3%	-194.2M	-684.2M	-25.6M	0.78	20.97	1,722,600	1,343,020	9,051,360	7,608,200
2012-03-12	$15.11	$15.23	18.8%	7.9%	13.6%	5.1%	28.0%	2.3%	-2.4%	100.2M	-1.35B	-25.3M	0.96	16.26	853,260	819,980	8,840,520	7,284,920
2012-03-13	$15.43	$15.23	15.9%	7.7%	15.1%	1.5%	27.1%	2.5%	-2.5%	251.4M	-2.72B	-25.1M	0.75	29.15	1,218,900	914,280	9,019,780	7,475,780
2012-03-14	$15.38	$15.23	15.4%	8.2%	15.0%	0.8%	28.6%	1.6%	-2.6%	238.9M	-2.58B	-25.7M	0.64	29.09	1,855,780	1,189,340	9,076,580	7,525,040
2012-03-15	$15.51	$15.23	28.7%	8.2%	15.0%	17.2%	29.2%	1.8%	-2.4%	342.1M	-3.37B	-26.1M	0.78	26.35	1,882,560	1,461,660	9,272,260	7,638,440
2012-03-16	$15.61	$15.36	29.1%	8.3%	15.1%	17.7%	29.5%	1.9%	-2.8%	978.8M	-4.18B	-26.4M	0.58	26.08	2,169,000	1,258,780	9,723,280	8,073,460
2012-03-19	$15.83	$15.36	29.6%	8.5%	15.7%	18.2%	30.0%	1.4%	-2.9%	137.0M	-2.52B	-26.4M	0.60	20.34	1,679,560	1,012,180	5,978,340	4,957,680
2012-03-20	$15.82	$15.36	29.5%	8.4%	14.9%	18.1%	29.9%	1.6%	-3.6%	164.4M	-2.62B	-26.5M	0.69	26.35	887,600	615,260	6,475,060	5,329,800
2012-03-21	$15.98	$15.36	30.5%	8.7%	14.6%	19.4%	30.7%	1.8%	-4.4%	209.1M	-3.16B	-27.0M	0.52	23.05	2,353,200	1,218,700	6,662,580	5,518,560
2012-03-22	$16.14	$15.36	31.1%	8.9%	14.6%	20.2%	31.1%	1.0%	-3.7%	253.5M	-3.64B	-27.4M	0.61	22.83	2,204,000	1,337,300	6,978,980	5,822,660
2012-03-23	$16.05	$15.36	30.9%	8.9%	14.9%	19.9%	31.2%	0.7%	-3.4%	121.6M	-3.24B	-27.8M	0.63	26.55	1,970,520	1,250,720	7,321,320	6,208,400
2012-03-26	$16.22	$15.48	32.0%	9.2%	15.1%	21.2%	32.0%	1.1%	-4.7%	152.6M	-3.33B	-27.8M	0.44	26.54	1,391,640	614,860	6,847,680	5,929,560
2012-03-27	$16.16	$15.48	32.1%	9.2%	14.6%	21.3%	32.2%	1.0%	-4.8%	164.2M	-3.21B	-28.4M	0.72	27.55	1,355,720	971,660	7,302,300	6,140,940
2012-03-28	$16.38	$15.48	33.8%	9.7%	15.1%	23.4%	33.8%	0.7%	-5.1%	209.0M	-4.02B	-29.1M	0.48	25.53	2,225,180	1,078,720	7,478,560	6,498,220
2012-03-29	$16.19	$15.48	34.6%	9.9%	15.8%	24.5%	34.6%	0.3%	-5.9%	147.8M	-3.23B	-29.4M	0.54	24.58	1,579,940	851,100	7,755,140	6,765,240
2012-03-30	$16.01	$15.48	19.9%	9.8%	16.4%	6.4%	34.5%	0.1%	-6.0%	56.6M	-2.44B	-29.0M	0.60	23.67	1,849,080	1,100,900	7,999,160	6,854,760