GOOG Options History — June 2012

In June 2012, GOOG traded between $13.96 and $14.52. ATM implied volatility averaged 27.8%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.9% (HV 20d: 23.9%). Max pain ranged from $14.24 to $15.11. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2012-06-01: Highest Volume — 3,262,900 contracts
2012-06-29: Largest IV drop — 55.3% change
2012-06-28: Highest IV Rank — 23.7%
2012-06-28: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.25	$13.96	$14.52	$14.26	$14.49
Max Pain	$14.46	$14.24	$15.11	$15.11	$14.24
ATM IV	27.8%	15.4%	34.5%	30.9%	15.4%
Expected Move	9.1%	8.3%	9.9%	8.4%	9.6%
HV 20d	23.9%	20.2%	27.5%	27.5%	22.3%
HV 60d	23.3%	22.8%	24.4%	22.8%	24.4%
IV Rank	15.4%	0.1%	23.7%	19.2%	0.1%
IV Percentile	53.7%	0.4%	79.8%	70.6%	0.4%
Term Structure	-2.9%	-5.7%	5.7%	5.7%	-5.7%
VWIV	31.6%	29.0%	34.3%	29.0%	33.4%
Skew 25d	3.9%	1.7%	6.9%	5.3%	2.5%
Skew 10d	7.8%	3.5%	14.0%	9.7%	4.3%
Call IV 25d	29.7%	27.2%	33.4%	27.2%	31.9%
Put IV 25d	33.6%	30.5%	37.5%	32.5%	34.4%
Bid-Ask Spread %	25.53	16.18	36.73	21.30	29.00
Gamma HHI	0.08	0.03	0.59	0.17	0.59
Net GEX	21.5M	-172.4M	730.3M	-172.4M	730.3M
Net DEX	598.0M	-1.28B	1.88B	1.75B	-1.28B
Net VEX	-24.0M	-26.0M	-22.6M	-26.0M	-24.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.58	1.26	1.00	0.58
Total Volume	2,123,409.524	1,138,940	3,262,900	3,262,900	3,048,540
Total OI	14,532,098.095	11,006,360	16,766,720	16,038,860	14,265,960

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
2012-06-01	$14.26	$15.11	30.9%	8.4%	27.5%	19.2%	29.0%	5.3%	5.7%	-172.4M	1.75B	-26.0M	1.00	21.30	1,629,980	1,632,920	8,706,940	7,331,920
2012-06-04	$14.45	$14.74	30.5%	9.6%	27.0%	18.7%	33.3%	6.9%	-2.4%	-30.4M	849.4M	-26.0M	0.79	17.12	1,025,740	809,320	8,364,000	6,957,520
2012-06-05	$14.25	$14.74	29.8%	9.6%	26.4%	17.9%	33.6%	5.9%	-2.3%	-72.9M	1.42B	-25.3M	0.82	16.18	1,053,500	859,660	8,638,260	7,173,800
2012-06-06	$14.50	$14.61	22.9%	9.0%	27.1%	9.3%	31.5%	5.9%	-2.1%	-5.0M	595.9M	-25.6M	1.26	23.15	888,320	1,115,240	8,827,060	7,290,360
2012-06-07	$14.44	$14.61	21.8%	8.8%	27.1%	7.9%	30.6%	5.9%	-2.1%	-26.1M	820.3M	-24.7M	0.84	21.61	916,560	772,620	8,910,220	7,404,400
2012-06-08	$14.50	$14.61	19.7%	8.6%	26.9%	5.4%	30.6%	5.2%	-1.9%	75.1M	547.7M	-24.7M	0.98	23.45	1,029,300	1,007,840	9,037,660	7,436,860
2012-06-11	$14.20	$14.61	24.4%	9.1%	27.4%	11.2%	31.8%	4.9%	-3.0%	-87.2M	1.54B	-23.6M	1.19	21.11	802,120	951,720	8,664,420	6,983,500
2012-06-12	$14.11	$14.49	22.0%	9.3%	27.4%	8.2%	32.5%	4.7%	-3.4%	-100.0M	1.76B	-23.0M	1.10	17.43	1,316,760	1,451,040	8,835,540	7,072,100
2012-06-13	$14.01	$14.49	21.1%	9.4%	26.9%	7.0%	33.4%	4.9%	-3.4%	-108.0M	1.83B	-23.0M	1.12	19.05	851,180	952,840	9,075,180	7,153,140
2012-06-14	$13.96	$14.36	31.9%	9.2%	23.9%	20.5%	31.5%	4.9%	-3.2%	-108.4M	1.88B	-22.6M	0.94	27.55	1,285,560	1,205,720	9,223,780	7,252,920
2012-06-15	$14.10	$14.36	30.4%	8.7%	24.5%	18.5%	30.6%	4.6%	-2.9%	4.3M	1.38B	-22.6M	0.91	27.01	1,305,180	1,185,780	9,480,920	7,285,800
2012-06-18	$14.26	$14.24	31.2%	8.9%	21.9%	19.6%	31.1%	3.7%	-3.3%	44.7M	-119.3M	-23.1M	0.66	24.29	1,220,180	807,320	5,922,760	5,083,600
2012-06-19	$14.52	$14.24	30.0%	8.6%	21.4%	18.1%	29.7%	3.0%	-3.4%	94.3M	-812.2M	-24.3M	0.62	24.21	1,301,100	803,840	6,359,520	5,393,100
2012-06-20	$14.42	$14.36	29.1%	8.3%	20.2%	16.9%	29.4%	2.6%	-3.0%	74.6M	-517.2M	-23.8M	1.05	32.17	930,600	976,060	6,682,560	5,646,600
2012-06-21	$14.12	$14.36	30.8%	8.8%	20.4%	19.1%	31.0%	2.0%	-3.2%	-9.5M	396.5M	-23.7M	0.96	29.01	1,192,800	1,139,860	6,886,840	5,901,100
2012-06-22	$14.27	$14.36	30.3%	8.7%	20.9%	18.5%	30.0%	2.2%	-3.3%	42.1M	-188.9M	-24.1M	0.92	36.73	890,720	815,260	7,174,960	6,096,740
2012-06-25	$14.00	$14.36	31.9%	9.2%	20.8%	20.5%	31.6%	2.0%	-3.8%	3.9M	456.4M	-22.7M	0.87	29.19	835,840	728,280	6,729,960	5,742,980
2012-06-26	$14.10	$14.36	32.5%	9.3%	20.9%	21.2%	32.1%	2.1%	-4.6%	40.3M	151.7M	-23.1M	0.73	26.51	659,860	479,080	7,044,720	6,038,480
2012-06-27	$14.22	$14.24	33.5%	9.6%	21.0%	22.4%	33.1%	2.1%	-5.2%	70.8M	-174.8M	-24.1M	0.76	34.72	1,154,920	873,800	7,155,980	6,135,720
2012-06-28	$14.09	$14.24	34.5%	9.9%	20.8%	23.7%	34.3%	1.7%	-5.2%	-8.5M	277.6M	-23.9M	0.74	35.38	1,543,620	1,141,020	7,453,520	6,352,660
2012-06-29	$14.49	$14.24	15.4%	9.6%	22.3%	0.1%	33.4%	2.5%	-5.7%	730.3M	-1.28B	-24.8M	0.58	29.00	1,934,500	1,114,040	7,757,060	6,508,900