GOOG Options History — April 2012

In April 2012, GOOG traded between $14.89 and $16.26. ATM implied volatility averaged 32.2%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 11.6% (HV 20d: 20.5%). Max pain ranged from $15.36 to $15.98. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2012-04-12: Highest Volume — 13,676,300 contracts
  • 2012-04-05: Largest IV spike — 147.0% change
  • 2012-04-10: Highest IV Rank — 98.4%
  • 2012-04-05: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.47$14.89$16.26$16.16$15.11
Max Pain$15.62$15.36$15.98$15.61$15.36
ATM IV32.2%18.2%95.0%23.3%23.4%
Expected Move7.9%5.5%11.9%10.5%6.0%
HV 20d20.5%14.5%24.8%15.9%24.1%
HV 60d21.7%18.4%26.3%25.3%18.9%
IV Rank21.4%4.4%98.4%10.5%10.7%
IV Percentile48.6%7.9%99.6%39.3%40.5%
Term Structure-2.5%-11.9%1.0%-7.7%0.0%
VWIV27.8%20.0%41.6%36.8%21.6%
Skew 25d1.6%-0.6%2.7%0.4%2.1%
Skew 10d3.0%-0.4%5.0%1.3%4.3%
Call IV 25d27.0%18.9%40.7%36.5%20.6%
Put IV 25d28.6%20.7%42.2%36.9%22.6%
Bid-Ask Spread %26.7010.7453.2327.2613.57
Gamma HHI0.070.030.500.050.04
Net GEX77.0M-168.2M702.0M155.7M38.3M
Net DEX-951.6M-4.78B2.12B-3.19B-250.6M
Net VEX-28.8M-32.4M-26.8M-28.8M-26.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.571.040.670.96
Total Volume3,898,6461,649,48013,676,3002,076,0002,046,560
Total OI17,536,42514,235,58023,341,76014,235,58015,539,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$16.16$15.6123.3%10.5%15.9%10.5%36.8%0.4%-7.7%155.7M-3.19B-28.8M0.6727.261,239,480836,5207,701,0606,534,520
2012-04-03$16.05$15.6121.4%11.0%14.9%8.2%38.5%-0.6%-8.8%126.4M-2.81B-29.4M0.7018.831,428,7001,003,6808,074,9006,910,180
2012-04-04$15.86$15.6122.0%11.4%15.8%8.9%40.0%0.8%-10.0%48.7M-1.98B-29.6M0.7126.121,252,020884,7208,405,2007,221,380
2012-04-05$15.79$15.6154.3%11.9%15.9%48.5%41.6%1.5%-11.9%79.8M-1.71B-29.3M0.6029.332,233,0801,340,9408,710,1007,416,360
2012-04-09$15.76$15.9877.9%9.0%15.2%77.5%31.1%1.8%-3.9%101.0M-2.04B-29.8M0.6642.631,679,5601,113,8408,752,8207,298,420
2012-04-10$15.66$15.8695.0%9.5%15.4%98.4%32.8%1.8%-4.6%91.8M-1.76B-30.4M0.6641.101,918,8401,262,2209,410,9207,673,700
2012-04-11$15.88$15.8652.1%9.3%14.5%45.8%31.9%2.7%-4.7%138.6M-2.74B-30.5M0.5744.472,686,6401,533,7009,817,8408,034,100
2012-04-12$16.26$15.8632.7%9.4%16.3%22.1%32.0%2.3%-4.2%237.8M-4.78B-32.4M0.6953.238,109,7405,566,56010,843,8008,515,900
2012-04-13$15.60$15.8623.8%6.8%22.5%11.2%24.0%1.0%0.2%-43.1M-204.4M-29.2M0.7838.277,035,5005,490,12013,007,60010,334,160
2012-04-16$15.14$15.8624.0%6.9%24.8%11.4%24.5%1.6%0.2%-84.7M1.11B-27.8M0.8038.373,012,9202,422,18011,230,1008,255,160
2012-04-17$15.22$15.7322.7%6.5%24.2%9.8%23.2%1.8%0.4%-41.5M610.3M-28.5M0.7445.891,626,7001,209,08011,417,6008,413,920
2012-04-18$15.17$15.6121.7%6.2%24.2%8.6%22.8%1.5%0.7%-58.3M801.7M-27.8M0.7319.331,695,7401,233,40011,626,9008,416,360
2012-04-19$14.97$15.6122.3%6.4%24.1%9.4%22.8%1.8%0.8%-168.2M1.67B-27.8M0.9117.961,951,8201,781,18011,790,4608,521,680
2012-04-20$14.89$15.4821.6%6.2%23.6%8.5%22.2%1.8%0.7%-154.4M2.12B-27.2M1.0414.822,071,7002,161,00012,202,6808,692,920
2012-04-23$14.93$15.4823.2%6.6%23.8%10.4%24.1%2.1%-0.1%11.1M254.8M-27.6M0.8112.721,348,2601,093,6608,801,0406,229,460
2012-04-24$15.02$15.3623.2%6.6%23.5%10.4%23.6%2.0%-0.3%49.5M-156.1M-28.0M0.6315.231,452,180916,8009,119,6006,480,240
2012-04-25$15.23$15.3620.7%5.9%24.3%7.3%21.4%1.9%0.6%133.8M-967.6M-28.3M0.7113.07964,920684,5609,587,4606,694,800
2012-04-26$15.37$15.3620.3%5.8%24.0%6.9%20.9%1.8%0.8%175.8M-1.56B-28.4M0.8111.061,043,960848,8809,674,2206,809,440
2012-04-27$15.36$15.3618.2%5.5%23.8%4.4%20.0%1.8%1.0%702.0M-1.44B-28.1M0.7410.741,032,360759,2009,702,6206,858,980
2012-04-30$15.11$15.3623.4%6.0%24.1%10.7%21.6%2.1%0.0%38.3M-250.6M-26.8M0.9613.571,044,6401,001,9209,221,3806,318,520