GOOG Options History — November 2012

In November 2012, GOOG traded between $16.16 and $17.44. ATM implied volatility averaged 20.0%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 7.6% (HV 20d: 27.6%). Max pain ranged from $16.86 to $17.73. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.98.

Notable Days

2012-11-16: Highest Volume — 5,486,800 contracts
2012-11-05: Largest IV spike — 24.8% change
2012-11-05: Highest IV Rank — 13.9%
2012-11-09: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.74	$16.16	$17.44	$17.17	$17.44
Max Pain	$16.94	$16.86	$17.73	$17.73	$16.86
ATM IV	20.0%	17.7%	25.7%	18.6%	19.3%
Expected Move	5.7%	5.1%	6.3%	5.3%	5.6%
HV 20d	27.6%	19.4%	33.8%	32.8%	21.7%
HV 60d	24.3%	23.6%	25.0%	23.6%	25.0%
IV Rank	6.9%	4.0%	13.9%	5.2%	6.0%
IV Percentile	22.1%	4.8%	60.3%	10.3%	17.1%
Term Structure	3.4%	1.0%	5.0%	1.3%	4.0%
VWIV	20.8%	18.3%	22.6%	19.4%	20.4%
Skew 25d	1.9%	1.3%	2.9%	2.1%	2.3%
Skew 10d	4.1%	2.6%	6.4%	3.4%	4.1%
Call IV 25d	19.6%	17.2%	21.4%	18.1%	18.9%
Put IV 25d	21.5%	19.0%	23.7%	20.2%	21.2%
Bid-Ask Spread %	33.65	17.75	47.63	39.06	38.95
Gamma HHI	0.07	0.03	0.16	0.07	0.14
Net GEX	-15.7M	-280.8M	313.9M	146.6M	313.9M
Net DEX	147.2M	-4.31B	3.55B	-1.07B	-4.31B
Net VEX	-30.8M	-32.7M	-28.5M	-31.9M	-32.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.59	1.83	0.97	0.67
Total Volume	2,978,821.905	1,412,820	5,486,800	3,028,900	5,241,580
Total OI	19,661,920.952	16,372,360	21,754,260	20,330,700	19,409,200

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
2012-11-01	$17.17	$17.73	18.6%	5.3%	32.8%	5.2%	19.4%	2.1%	1.3%	146.6M	-1.07B	-31.9M	0.97	39.06	1,539,100	1,489,800	10,479,540	9,851,160
2012-11-02	$17.18	$17.61	20.6%	5.5%	32.6%	7.6%	19.9%	1.4%	1.0%	25.4M	-1.05B	-32.7M	0.69	36.53	2,530,000	1,737,820	10,694,880	10,205,760
2012-11-05	$17.06	$16.86	25.7%	6.0%	32.3%	13.9%	22.1%	1.4%	3.0%	-45.8M	-176.1M	-32.5M	1.05	32.26	1,252,580	1,315,960	10,433,340	9,918,660
2012-11-06	$17.03	$16.86	25.4%	5.9%	32.3%	13.6%	21.4%	1.7%	3.1%	-57.0M	-14.9M	-32.5M	1.15	29.27	912,560	1,046,680	10,723,640	10,241,400
2012-11-07	$16.66	$16.86	20.5%	6.1%	32.7%	7.6%	21.6%	1.7%	3.1%	-191.7M	1.90B	-31.4M	1.19	28.85	1,303,100	1,555,760	10,916,940	10,426,860
2012-11-08	$16.29	$16.86	21.0%	6.2%	32.9%	8.2%	22.3%	1.8%	3.2%	-239.6M	3.55B	-30.7M	1.12	31.95	1,726,320	1,934,980	11,024,420	10,518,500
2012-11-09	$16.56	$16.86	19.0%	6.3%	33.8%	5.7%	22.6%	2.5%	3.0%	-142.5M	2.25B	-31.1M	1.06	36.94	1,953,640	2,080,120	11,148,420	10,605,840
2012-11-12	$16.63	$16.86	19.1%	6.1%	33.6%	5.8%	21.4%	2.1%	3.4%	-91.7M	1.39B	-30.6M	1.04	47.63	693,820	719,000	10,804,840	10,093,840
2012-11-13	$16.46	$16.86	18.1%	5.8%	33.6%	4.5%	20.5%	1.9%	3.6%	-157.8M	2.23B	-29.7M	1.09	26.79	715,160	777,260	10,901,860	10,288,800
2012-11-14	$16.30	$16.86	19.7%	5.9%	33.6%	6.5%	21.7%	2.7%	3.6%	-208.3M	2.94B	-29.4M	1.83	33.81	789,100	1,441,280	11,025,860	10,316,300
2012-11-15	$16.17	$16.86	21.1%	6.0%	33.3%	8.2%	21.5%	2.9%	3.5%	-280.8M	3.29B	-28.7M	1.02	29.14	1,286,840	1,315,120	10,922,320	10,230,340
2012-11-16	$16.16	$16.86	20.6%	5.9%	32.5%	7.6%	21.5%	2.0%	3.4%	-218.7M	2.69B	-28.5M	1.11	27.20	2,595,400	2,891,400	11,267,340	10,029,980
2012-11-19	$16.69	$16.86	19.1%	5.5%	20.4%	5.7%	20.7%	2.1%	3.9%	67.4M	-744.2M	-30.2M	0.75	36.39	1,409,840	1,052,860	8,090,400	8,281,960
2012-11-20	$16.73	$16.86	19.2%	5.5%	19.4%	5.9%	20.3%	1.5%	3.8%	109.3M	-1.14B	-31.0M	0.73	39.60	1,278,520	929,600	8,479,240	8,504,660
2012-11-21	$16.63	$16.86	19.2%	5.5%	19.4%	5.9%	20.0%	1.7%	4.4%	57.1M	-613.6M	-30.4M	1.39	35.30	1,116,160	1,552,440	8,681,120	8,630,580
2012-11-23	$16.68	$16.86	17.7%	5.1%	19.5%	4.0%	18.3%	1.8%	5.0%	47.8M	-751.3M	-30.2M	0.92	42.44	1,042,200	954,880	8,873,020	9,044,720
2012-11-26	$16.51	$16.86	19.0%	5.5%	19.7%	5.7%	19.8%	2.0%	4.0%	2.6M	79.7M	-28.7M	0.92	17.75	1,128,520	1,042,160	8,462,140	8,505,220
2012-11-27	$16.75	$16.86	18.9%	5.4%	20.5%	5.5%	19.6%	1.5%	4.1%	75.4M	-993.5M	-30.2M	0.59	30.77	1,685,120	991,560	8,831,260	8,927,480
2012-11-28	$17.07	$16.86	19.3%	5.5%	21.6%	6.0%	20.1%	1.5%	3.8%	204.7M	-2.66B	-31.8M	0.66	22.77	2,239,960	1,473,120	9,212,960	9,116,540
2012-11-29	$17.28	$16.86	19.9%	5.7%	21.8%	6.8%	20.8%	1.3%	3.8%	254.1M	-3.70B	-32.3M	0.68	43.24	2,274,320	1,539,620	9,368,760	9,410,240
2012-11-30	$17.44	$16.86	19.3%	5.6%	21.7%	6.0%	20.4%	2.3%	4.0%	313.9M	-4.31B	-32.3M	0.67	38.95	3,132,440	2,109,140	9,622,860	9,786,340