GOOG Options History — December 2012

In December 2012, GOOG traded between $17.09 and $18.04. ATM implied volatility averaged 24.3%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.7% (HV 20d: 17.6%). Max pain ranged from $16.23 to $18.11. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2012-12-21: Highest Volume — 4,889,600 contracts
2012-12-13: Largest IV spike — 11.4% change
2012-12-28: Highest IV Rank — 20.4%
2012-12-28: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.56	$17.09	$18.04	$17.36	$17.67
Max Pain	$17.09	$16.23	$18.11	$16.86	$17.48
ATM IV	24.3%	19.4%	30.9%	22.4%	30.5%
Expected Move	6.9%	5.5%	8.9%	5.7%	8.7%
HV 20d	17.6%	14.5%	21.8%	21.8%	14.6%
HV 60d	24.3%	24.1%	25.1%	25.1%	24.2%
IV Rank	12.2%	6.1%	20.4%	9.9%	20.0%
IV Percentile	55.4%	17.9%	86.1%	51.6%	85.7%
Term Structure	1.8%	-2.8%	5.9%	4.1%	-2.5%
VWIV	24.3%	19.3%	31.1%	20.6%	30.6%
Skew 25d	2.4%	0.9%	3.6%	2.1%	3.1%
Skew 10d	4.8%	1.9%	7.7%	4.1%	5.4%
Call IV 25d	23.2%	18.3%	29.7%	19.5%	28.9%
Put IV 25d	25.6%	20.0%	33.3%	21.6%	32.0%
Bid-Ask Spread %	23.42	4.29	54.02	45.88	4.50
Gamma HHI	0.08	0.04	0.45	0.05	0.04
Net GEX	126.0M	-384.5M	344.0M	163.0M	103.8M
Net DEX	-3.57B	-6.32B	-1.49B	-3.20B	-3.02B
Net VEX	-30.0M	-32.2M	-27.3M	-32.2M	-27.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.55	1.16	0.86	0.58
Total Volume	2,703,818	1,080,280	4,889,600	2,932,140	1,539,740
Total OI	19,308,562	16,268,880	21,742,640	18,518,940	16,274,340

Daily Data (20 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
2012-12-03	$17.36	$16.86	22.4%	5.7%	21.8%	9.9%	20.6%	2.1%	4.1%	163.0M	-3.20B	-32.2M	0.86	45.88	1,576,140	1,356,000	9,284,480	9,234,460
2012-12-04	$17.26	$16.86	21.9%	5.8%	21.8%	9.3%	20.7%	1.8%	4.4%	96.0M	-2.51B	-32.2M	1.06	12.10	962,280	1,022,780	9,542,900	9,653,720
2012-12-05	$17.18	$16.86	22.1%	5.7%	21.8%	9.5%	20.2%	1.9%	4.7%	73.1M	-2.15B	-31.9M	0.85	23.31	1,119,840	955,120	9,640,440	9,788,780
2012-12-06	$17.26	$0.00	20.6%	5.9%	20.2%	7.6%	20.8%	2.5%	0.9%	66.4M	-2.50B	-31.8M	0.89	5.78	1,180,660	1,052,140	9,682,000	9,864,780
2012-12-07	$17.09	$16.98	20.5%	5.9%	18.7%	7.5%	21.2%	2.5%	-0.3%	-79.7M	-1.49B	-31.4M	1.12	22.77	1,588,220	1,784,940	9,950,500	10,112,500
2012-12-10	$17.12	$16.98	20.0%	5.7%	17.9%	6.9%	20.0%	1.6%	5.7%	74.6M	-1.97B	-31.3M	0.78	35.63	979,220	762,200	9,477,340	9,800,360
2012-12-11	$17.40	$17.23	19.4%	5.5%	18.7%	6.1%	19.3%	2.0%	5.7%	206.7M	-3.63B	-30.9M	0.67	54.02	1,685,640	1,130,240	9,695,000	10,061,660
2012-12-12	$17.42	$17.23	19.4%	5.6%	18.1%	6.1%	19.7%	0.9%	5.9%	207.9M	-3.57B	-31.5M	0.55	40.93	1,510,740	825,420	9,957,860	10,240,840
2012-12-13	$17.55	$17.23	21.6%	6.0%	17.5%	8.9%	20.9%	1.6%	4.6%	314.3M	-4.41B	-31.2M	0.69	6.61	2,739,260	1,877,320	10,054,120	10,360,560
2012-12-14	$17.53	$17.48	22.5%	6.0%	17.1%	10.0%	21.3%	2.0%	4.8%	224.1M	-4.20B	-31.0M	0.92	8.64	1,786,980	1,642,320	10,398,140	10,700,280
2012-12-17	$18.00	$16.23	24.2%	7.4%	18.7%	12.1%	26.3%	2.0%	0.1%	310.2M	-6.32B	-29.9M	0.64	39.39	2,364,960	1,510,220	9,753,420	10,083,240
2012-12-18	$18.01	$16.23	24.2%	7.2%	15.9%	12.1%	25.5%	2.1%	-0.1%	344.0M	-6.29B	-29.9M	0.77	42.49	2,443,280	1,881,360	10,104,180	10,457,200
2012-12-19	$17.98	$16.48	25.7%	7.5%	16.0%	14.0%	26.7%	2.3%	-0.9%	278.1M	-5.85B	-30.1M	1.06	34.42	968,720	1,030,740	10,232,700	11,029,100
2012-12-20	$18.04	$16.48	25.9%	7.4%	15.6%	14.3%	26.4%	2.3%	2.7%	273.2M	-5.95B	-28.9M	0.98	30.91	1,207,000	1,184,940	10,173,040	11,049,560
2012-12-21	$17.87	$16.48	26.2%	7.3%	16.3%	14.5%	26.0%	2.9%	3.1%	57.9M	-4.65B	-28.9M	1.05	41.48	2,385,020	2,504,580	10,376,160	11,366,480
2012-12-24	$17.72	$18.11	28.8%	8.5%	16.1%	17.8%	29.6%	3.5%	-2.6%	98.2M	-2.80B	-28.3M	1.07	4.29	521,720	558,560	7,755,340	8,513,540
2012-12-26	$17.70	$17.86	29.3%	8.4%	15.7%	18.4%	29.3%	3.1%	-2.8%	64.0M	-2.67B	-27.4M	1.10	4.37	792,960	869,420	7,922,960	8,733,000
2012-12-27	$17.64	$17.86	29.7%	8.5%	14.6%	18.9%	29.8%	3.3%	-0.6%	28.7M	-2.44B	-27.5M	0.94	4.74	1,106,780	1,042,640	8,179,740	9,052,320
2012-12-28	$17.48	$17.86	30.9%	8.9%	14.5%	20.4%	31.1%	3.6%	-0.9%	-384.5M	-1.79B	-27.6M	1.16	6.07	1,216,860	1,409,400	8,369,280	9,244,920
2012-12-31	$17.67	$17.48	30.5%	8.7%	14.6%	20.0%	30.6%	3.1%	-2.5%	103.8M	-3.02B	-27.3M	0.58	4.50	972,700	567,040	7,728,680	8,545,660