GOOG Options History — August 2012

In August 2012, GOOG traded between $15.70 and $17.18. ATM implied volatility averaged 19.0%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.3% (HV 20d: 18.7%). Max pain ranged from $14.99 to $15.98. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.83.

Notable Days

2012-08-14: Highest Volume — 5,724,800 contracts
2012-08-13: Largest IV spike — 23.3% change
2012-08-01: Highest IV Rank — 11.5%
2012-08-02: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.55	$15.70	$17.18	$15.80	$17.11
Max Pain	$15.45	$14.99	$15.98	$15.11	$15.98
ATM IV	19.0%	14.5%	24.6%	24.6%	17.0%
Expected Move	5.5%	5.0%	5.8%	5.8%	5.8%
HV 20d	18.7%	14.2%	21.8%	21.8%	15.3%
HV 60d	21.6%	19.6%	23.7%	23.4%	19.6%
IV Rank	5.2%	0.0%	11.5%	11.5%	3.1%
IV Percentile	11.4%	0.0%	38.1%	38.1%	3.6%
Term Structure	5.1%	1.1%	7.6%	1.1%	7.2%
VWIV	19.8%	18.1%	21.3%	20.9%	21.3%
Skew 25d	2.1%	0.9%	3.1%	2.3%	3.1%
Skew 10d	4.4%	2.2%	6.4%	4.7%	6.4%
Call IV 25d	18.7%	16.7%	19.8%	19.8%	19.1%
Put IV 25d	20.8%	18.9%	22.2%	22.1%	22.2%
Bid-Ask Spread %	28.43	14.86	45.34	16.54	30.98
Gamma HHI	0.10	0.05	0.25	0.06	0.25
Net GEX	332.5M	175.9M	577.6M	260.6M	577.6M
Net DEX	-5.31B	-7.58B	-3.17B	-3.73B	-6.16B
Net VEX	-27.6M	-30.3M	-24.7M	-26.7M	-30.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.60	1.07	1.01	1.01
Total Volume	2,709,660.87	1,186,780	5,724,800	1,599,480	3,941,740
Total OI	16,076,236.522	14,264,660	18,115,340	15,054,400	17,450,400

Daily Data (23 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
2012-08-01	$15.80	$15.11	24.6%	5.8%	21.8%	11.5%	20.9%	2.3%	1.1%	260.6M	-3.73B	-26.7M	1.01	16.54	797,080	802,400	8,387,620	6,666,780
2012-08-02	$15.70	$15.11	20.2%	5.8%	21.8%	6.0%	20.7%	2.2%	1.3%	175.9M	-3.17B	-26.7M	0.73	21.52	1,323,240	961,000	8,505,180	6,896,480
2012-08-03	$16.02	$15.11	17.8%	5.2%	21.3%	3.0%	18.9%	1.8%	1.8%	371.3M	-4.87B	-26.4M	0.79	17.26	1,793,720	1,415,100	8,692,720	7,030,220
2012-08-06	$16.05	$14.99	21.2%	5.7%	21.3%	7.2%	20.4%	1.7%	3.8%	306.6M	-4.45B	-26.0M	0.69	42.13	1,376,860	956,160	8,341,300	6,768,400
2012-08-07	$16.00	$14.99	20.8%	5.7%	21.0%	6.6%	20.2%	2.1%	3.8%	276.9M	-4.07B	-26.2M	1.07	43.63	816,140	877,360	8,739,860	7,065,580
2012-08-08	$16.04	$14.99	17.8%	5.6%	19.2%	3.0%	19.9%	2.2%	4.1%	306.8M	-4.26B	-26.0M	0.82	45.34	689,480	567,920	8,871,140	7,182,660
2012-08-09	$16.04	$14.99	16.7%	5.5%	19.1%	1.6%	19.3%	2.2%	4.3%	341.2M	-4.30B	-25.6M	0.97	44.16	602,000	584,780	8,950,100	7,260,540
2012-08-10	$16.03	$14.99	14.5%	5.0%	19.2%	0.0%	18.6%	2.0%	4.9%	315.6M	-4.22B	-25.2M	1.03	44.12	1,060,820	1,095,540	9,043,920	7,409,680
2012-08-13	$16.48	$15.11	17.8%	5.3%	20.5%	4.1%	19.1%	1.5%	4.4%	401.1M	-6.29B	-24.7M	0.63	42.22	2,289,040	1,447,760	8,604,280	7,030,780
2012-08-14	$16.70	$15.23	19.7%	5.6%	20.5%	6.4%	20.0%	0.9%	3.7%	395.3M	-7.20B	-25.4M	0.68	43.46	3,400,520	2,324,280	8,833,940	7,378,180
2012-08-15	$16.67	$15.48	17.3%	5.4%	20.8%	3.4%	19.5%	1.9%	5.5%	334.7M	-6.75B	-26.4M	1.01	38.33	1,719,360	1,737,460	9,267,620	7,951,820
2012-08-16	$16.80	$15.48	18.4%	5.3%	20.1%	4.8%	19.0%	2.1%	5.7%	393.4M	-7.17B	-27.1M	0.79	28.72	1,599,160	1,261,860	9,298,200	8,304,780
2012-08-17	$16.91	$15.61	17.5%	5.0%	18.2%	3.7%	18.1%	2.2%	6.1%	430.5M	-7.58B	-27.2M	0.60	40.43	2,461,100	1,477,760	9,453,960	8,661,380
2012-08-20	$16.87	$15.61	18.1%	5.2%	18.3%	4.4%	18.8%	2.2%	5.8%	275.8M	-5.17B	-27.6M	0.73	17.64	1,307,380	949,540	7,882,120	6,382,540
2012-08-21	$16.72	$15.73	19.3%	5.5%	17.9%	5.9%	19.8%	1.6%	5.8%	206.4M	-4.44B	-29.2M	0.88	15.16	1,325,800	1,168,560	8,236,740	6,740,900
2012-08-22	$16.91	$15.73	19.6%	5.6%	17.9%	6.3%	20.1%	1.9%	6.5%	289.5M	-5.39B	-29.3M	0.82	16.66	1,226,940	1,009,160	8,425,660	7,011,440
2012-08-23	$16.90	$15.73	19.8%	5.7%	18.0%	6.6%	20.2%	1.8%	6.4%	296.2M	-5.32B	-30.1M	0.69	14.86	1,341,660	928,400	8,617,080	7,266,220
2012-08-24	$16.95	$15.86	19.1%	5.5%	14.2%	5.7%	19.8%	1.9%	6.5%	446.8M	-5.54B	-29.9M	0.73	18.68	1,214,700	886,960	8,785,740	7,424,980
2012-08-27	$16.71	$15.86	19.7%	5.7%	15.3%	6.4%	20.3%	1.7%	6.8%	224.2M	-4.38B	-29.3M	0.90	20.39	1,767,480	1,582,420	8,251,160	6,906,260
2012-08-28	$16.91	$15.86	19.6%	5.6%	15.6%	6.3%	20.1%	2.5%	7.3%	312.0M	-5.39B	-29.8M	0.77	16.11	1,181,700	906,460	8,631,340	7,464,300
2012-08-29	$17.18	$15.86	19.4%	5.6%	16.1%	6.1%	20.2%	3.1%	7.6%	398.1M	-6.61B	-29.6M	0.69	17.56	2,158,280	1,487,480	8,793,940	7,689,280
2012-08-30	$17.02	$15.98	20.1%	5.8%	16.4%	6.9%	20.3%	3.0%	7.2%	311.9M	-5.71B	-30.3M	0.94	17.94	1,288,720	1,210,920	9,139,660	8,056,560
2012-08-31	$17.11	$15.98	17.0%	5.8%	15.3%	3.1%	21.3%	3.1%	7.2%	577.6M	-6.16B	-30.2M	1.01	30.98	1,961,320	1,980,420	9,223,100	8,227,300