GOOG Options History — September 2013

In September 2013, GOOG traded between $21.49 and $22.56. ATM implied volatility averaged 21.4%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.8% (HV 20d: 14.5%). Max pain ranged from $20.98 to $22.48. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-09-06: Highest Volume — 3,544,140 contracts
  • 2013-09-16: Largest IV spike — 12.6% change
  • 2013-09-30: Highest IV Rank — 37.8%
  • 2013-09-30: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.11$21.49$22.56$21.49$21.88
Max Pain$21.80$20.98$22.48$21.35$20.98
ATM IV21.4%17.3%25.3%20.6%25.3%
Expected Move6.1%4.8%7.1%5.9%7.1%
HV 20d14.5%13.0%16.3%13.4%14.3%
HV 60d14.1%13.5%14.6%14.5%14.1%
IV Rank23.9%9.5%37.8%21.4%37.8%
IV Percentile49.1%16.7%71.8%51.2%71.8%
Term Structure1.7%-2.4%6.1%4.3%-1.5%
VWIV21.7%17.4%24.9%20.8%24.9%
Skew 25d1.9%1.5%2.2%2.2%1.7%
Skew 10d3.5%2.8%4.8%4.2%3.4%
Call IV 25d20.8%16.4%24.4%20.0%24.4%
Put IV 25d22.7%18.1%26.1%22.1%26.1%
Bid-Ask Spread %20.125.1952.198.007.29
Gamma HHI0.140.040.600.060.05
Net GEX390.7M-258.5M2.22B-11.8M24.4M
Net DEX-4.37B-6.77B-1.88B-1.88B-2.50B
Net VEX-32.5M-37.0M-29.4M-37.0M-31.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.561.170.780.89
Total Volume2,412,0441,487,6803,544,1403,024,6601,538,260
Total OI15,916,92711,707,94018,033,18016,474,94012,697,080

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$21.49$21.3520.6%5.9%13.4%21.4%20.8%2.2%4.3%-11.8M-1.88B-37.0M0.788.001,698,0201,326,6408,148,7408,326,200
2013-09-04$21.77$21.3519.7%5.6%14.2%18.0%19.9%2.1%4.7%259.7M-3.62B-36.1M0.797.731,649,7201,307,7408,434,1408,563,520
2013-09-05$21.97$21.3518.6%5.3%14.5%14.3%19.6%2.2%5.1%454.5M-4.91B-35.7M0.867.261,516,2801,299,0608,672,7808,840,960
2013-09-06$21.97$21.4817.8%5.1%14.5%11.6%18.3%1.7%5.7%2.22B-4.99B-35.1M0.7610.872,011,0401,533,1008,805,2009,077,420
2013-09-09$22.18$21.4817.4%5.0%14.9%9.8%18.1%1.8%5.9%338.7M-5.17B-34.1M0.828.421,349,2201,109,3808,097,2808,107,100
2013-09-10$22.19$21.6017.3%4.9%14.8%9.5%17.6%1.5%6.0%359.2M-5.21B-33.5M0.8014.86886,760710,1408,448,5608,572,480
2013-09-11$22.38$21.6017.6%5.1%14.9%10.8%18.7%2.0%5.9%581.4M-6.51B-33.0M0.9014.651,171,0801,052,8208,626,3008,802,440
2013-09-12$22.30$0.0018.3%4.9%14.1%13.0%18.0%1.7%6.0%596.5M-6.05B-32.2M0.7921.801,026,180814,1808,775,2409,041,880
2013-09-13$22.20$22.4818.9%4.8%13.4%15.2%17.4%1.7%6.1%852.7M-5.14B-31.7M0.8216.291,549,3001,263,6208,831,8209,201,360
2013-09-16$22.17$21.9821.3%6.6%13.4%23.6%23.3%2.1%-1.3%240.1M-4.60B-31.1M0.9150.99893,540817,0607,954,7408,247,840
2013-09-17$22.13$21.8522.5%6.8%13.0%27.8%23.9%2.1%-1.9%221.8M-4.40B-31.0M0.9050.54845,440764,3608,062,8608,467,380
2013-09-18$22.56$21.8522.8%6.7%14.5%29.0%23.8%2.0%-1.8%564.7M-6.68B-30.6M0.7751.541,753,3601,352,3608,286,6808,676,460
2013-09-19$22.44$21.9823.1%6.6%14.7%30.0%23.3%1.9%-0.5%524.8M-5.86B-30.1M0.6352.191,487,680932,4608,294,9608,724,680
2013-09-20$22.56$21.9822.7%6.5%14.7%28.7%23.1%1.7%-0.3%897.5M-6.77B-29.4M0.5649.252,151,0601,201,9608,492,0409,019,140
2013-09-23$22.14$22.4824.9%7.1%16.3%36.6%24.8%1.8%-2.4%78.5M-3.26B-29.9M0.815.861,482,5601,201,8805,923,9205,784,020
2013-09-24$22.15$22.1024.6%7.0%16.2%35.4%24.5%1.8%-2.3%75.3M-3.32B-31.8M1.136.31699,380788,3006,533,6406,368,360
2013-09-25$21.91$22.1024.8%7.1%15.1%36.0%24.7%1.7%-2.4%-86.4M-2.25B-32.0M0.825.191,243,9601,016,1806,638,6406,605,960
2013-09-26$21.93$22.1024.5%7.1%15.0%35.0%24.6%1.8%-1.0%-114.6M-2.26B-32.3M1.175.701,077,4801,260,0206,940,5806,870,340
2013-09-27$21.89$22.1024.5%7.1%14.9%35.1%24.9%1.8%-1.0%-258.5M-2.11B-31.8M1.037.661,213,1801,246,1207,201,9607,173,840
2013-09-30$21.88$20.9825.3%7.1%14.3%37.8%24.9%1.7%-1.5%24.4M-2.50B-31.4M0.897.29814,700723,5606,404,7606,292,320