GOOG Options History — September 2012

In September 2012, GOOG traded between $17.00 and $18.89. ATM implied volatility averaged 25.6%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.4% (HV 20d: 17.2%). Max pain ranged from $16.11 to $18.48. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-09-25: Highest Volume — 11,480,580 contracts
  • 2012-09-13: Largest IV spike — 36.9% change
  • 2012-09-26: Highest IV Rank — 22.5%
  • 2012-09-28: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.94$17.00$18.89$17.01$18.84
Max Pain$17.24$16.11$18.48$16.11$18.48
ATM IV25.6%18.5%32.9%20.7%21.4%
Expected Move7.9%5.4%9.5%6.1%9.5%
HV 20d17.2%15.5%18.5%15.7%16.0%
HV 60d19.1%18.0%19.9%19.7%18.0%
IV Rank13.6%5.0%22.5%7.7%8.4%
IV Percentile51.3%9.5%88.9%26.2%32.9%
Term Structure-2.0%-5.6%7.8%7.2%-5.2%
VWIV27.9%19.7%33.5%22.1%33.2%
Skew 25d2.9%1.4%5.3%2.6%5.3%
Skew 10d5.5%3.0%9.6%5.8%9.6%
Call IV 25d26.2%18.4%30.4%20.4%30.2%
Put IV 25d29.1%20.5%35.6%23.0%35.6%
Bid-Ask Spread %32.1119.2238.0428.4030.11
Gamma HHI0.090.050.280.080.08
Net GEX344.6M227.3M610.8M247.3M239.4M
Net DEX-7.86B-10.83B-5.24B-5.24B-7.58B
Net VEX-28.9M-38.2M-25.0M-30.0M-38.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.581.070.990.94
Total Volume4,867,824.2111,847,18011,480,5802,368,0605,774,120
Total OI18,359,298.94713,825,50022,456,40016,239,98022,456,400

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-09-04$17.01$16.1120.7%6.1%15.7%7.7%22.1%2.6%7.2%247.3M-5.24B-30.0M0.9928.401,191,6001,176,4608,649,0407,590,940
2012-09-05$17.00$16.1119.8%5.9%15.5%6.5%21.0%2.1%7.3%260.3M-5.33B-29.1M0.8919.221,059,300947,9408,888,9207,955,500
2012-09-06$17.47$16.1120.1%5.4%17.7%6.8%19.7%2.1%7.8%449.5M-7.81B-28.0M0.7519.822,795,7602,083,0809,033,5008,129,320
2012-09-07$17.64$16.9818.5%7.6%17.7%5.0%27.0%2.5%-2.2%477.2M-8.85B-27.7M0.7329.863,467,6202,516,2009,415,1208,726,240
2012-09-10$17.50$16.9822.8%7.9%18.2%10.2%27.9%2.3%-2.7%323.6M-7.23B-27.9M0.9234.041,773,6201,624,0209,033,0208,213,160
2012-09-11$17.29$17.1125.1%8.0%16.9%12.9%28.4%2.9%-2.8%258.4M-5.99B-28.9M0.9927.111,165,2801,150,4609,377,4408,709,340
2012-09-12$17.25$17.1120.0%8.1%16.5%6.8%28.6%3.1%-2.9%249.9M-5.72B-28.9M1.0735.821,841,2401,971,4409,484,4008,884,640
2012-09-13$17.63$17.1127.4%7.9%17.9%15.8%27.8%2.8%-3.1%431.1M-8.10B-27.6M0.7237.872,440,4401,768,1609,621,7409,189,700
2012-09-14$17.72$17.1126.9%7.7%17.8%15.1%27.5%2.5%-2.9%492.1M-8.56B-27.4M0.6937.922,220,1001,523,1609,714,2209,456,080
2012-09-17$17.73$17.1127.9%8.0%17.8%16.4%28.6%2.1%-3.4%339.0M-8.12B-26.1M0.9437.57952,000895,1809,134,5608,759,480
2012-09-18$17.94$17.2327.5%7.9%18.0%15.9%27.8%1.7%-3.6%360.1M-9.19B-25.2M0.6734.301,805,6801,208,2409,263,1409,020,500
2012-09-19$18.17$17.2328.1%8.0%17.7%16.6%28.4%1.6%-3.7%372.5M-10.15B-25.0M0.6636.193,231,0602,136,0609,429,5809,420,820
2012-09-20$18.18$17.3627.9%8.0%17.5%16.4%28.1%1.4%-4.0%339.5M-10.17B-26.3M0.5832.452,835,4001,630,9409,888,3209,891,320
2012-09-21$18.33$17.3627.3%7.8%17.5%15.7%27.6%2.7%-4.2%610.8M-10.83B-25.5M0.6532.093,669,1402,382,38010,062,70010,022,660
2012-09-24$18.72$17.6129.3%8.4%18.5%18.2%29.6%3.0%-4.6%227.3M-7.29B-25.7M0.7730.984,079,2803,131,0007,203,8806,621,620
2012-09-25$18.71$17.8630.4%8.7%17.2%19.4%30.2%4.5%-4.6%258.6M-7.42B-29.1M0.8533.286,195,0605,285,5208,507,8607,832,420
2012-09-26$18.82$18.2332.9%9.4%17.0%22.5%33.5%4.7%-5.6%247.7M-7.53B-34.8M0.9938.044,330,5604,281,48010,260,4209,580,660
2012-09-27$18.89$18.3632.8%9.4%16.6%22.5%32.7%5.1%-5.3%362.4M-8.20B-37.0M0.8234.963,273,8802,675,80011,152,18010,245,840
2012-09-28$18.84$18.4821.4%9.5%16.0%8.4%33.2%5.3%-5.2%239.4M-7.58B-38.2M0.9430.112,969,9202,804,20011,589,26010,867,140