GOOG Options History — November 2013

In November 2013, GOOG traded between $25.17 and $26.55. ATM implied volatility averaged 16.1%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 15.1% (HV 20d: 31.2%). Max pain ranged from $25.35 to $27.47. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-11-26: Highest Volume — 3,570,340 contracts
  • 2013-11-08: Largest IV drop — 5.4% change
  • 2013-11-07: Highest IV Rank — 13.1%
  • 2013-11-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.75$25.17$26.55$25.65$26.46
Max Pain$26.18$25.35$27.47$25.60$25.72
ATM IV16.1%15.2%17.0%16.5%15.8%
Expected Move6.5%4.6%7.3%4.7%7.3%
HV 20d31.2%12.8%48.6%48.3%12.9%
HV 60d30.3%30.0%30.5%30.4%30.0%
IV Rank8.3%3.6%13.1%10.3%6.5%
IV Percentile6.3%1.2%14.7%7.5%3.2%
Term Structure0.7%-0.1%2.1%0.5%0.5%
VWIV22.8%16.5%26.5%16.6%25.6%
Skew 25d0.3%0.0%0.5%0.0%0.3%
Skew 10d0.5%-0.9%1.9%-0.9%0.3%
Call IV 25d16.2%15.4%17.2%16.7%15.8%
Put IV 25d16.5%15.6%17.6%16.7%16.1%
Bid-Ask Spread %16.501.6155.1251.562.25
Gamma HHI0.080.050.190.110.11
Net GEX246.0M-287.0M647.9M160.8M413.9M
Net DEX-9.92B-11.79B-7.44B-11.40B-10.80B
Net VEX-27.5M-29.6M-25.8M-29.6M-27.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.721.130.790.90
Total Volume2,555,2551,556,7203,570,3403,073,5602,340,020
Total OI15,326,74213,049,96017,277,42017,277,42015,574,960

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$25.65$25.6016.5%4.7%48.3%10.3%16.6%0.0%0.5%160.8M-11.40B-29.6M0.7951.561,715,7601,357,8009,036,3408,241,080
2013-11-04$25.63$25.8516.2%4.7%48.1%8.9%16.7%0.1%0.2%287.9M-10.60B-28.0M0.8647.701,069,780922,6007,817,6407,207,560
2013-11-05$25.51$25.6016.7%4.8%47.6%11.6%17.2%0.4%0.1%167.6M-10.03B-28.2M0.9146.201,050,520952,6408,090,0407,570,360
2013-11-06$25.54$25.6016.5%4.7%47.7%10.1%16.9%0.4%0.4%145.9M-10.18B-28.7M0.7250.23974,820704,7008,309,9007,891,720
2013-11-07$25.17$25.6017.0%4.9%48.3%13.1%17.2%0.4%0.4%-287.0M-7.93B-29.2M0.9048.511,681,9201,518,7608,471,9808,043,600
2013-11-08$25.38$25.3516.1%4.6%48.3%8.1%16.5%0.5%0.5%-22.7M-9.63B-28.3M1.0955.121,313,1601,429,1808,731,5208,224,180
2013-11-11$25.24$0.0015.6%7.2%48.5%5.7%25.3%0.3%0.7%156.2M-9.01B-27.9M0.891.69951,640847,8007,874,4607,410,240
2013-11-12$25.27$27.4715.2%7.2%48.6%3.6%24.7%0.2%0.8%165.4M-9.22B-27.6M0.761.74882,080674,6408,040,5207,724,960
2013-11-13$25.79$27.2215.9%7.2%48.6%7.0%24.7%0.2%0.4%531.7M-11.79B-27.6M0.831.611,693,7401,407,7608,230,2607,888,640
2013-11-14$25.85$27.4715.8%7.1%48.2%6.8%24.6%0.5%-0.0%604.4M-11.62B-26.6M0.822.331,796,6801,470,1408,059,2207,995,780
2013-11-15$25.81$27.4715.9%7.2%16.2%7.0%25.0%0.3%-0.1%303.6M-11.04B-26.6M0.722.211,520,0001,094,5008,301,6608,345,260
2013-11-18$25.76$27.2216.6%7.2%15.9%10.9%25.5%0.2%1.6%241.5M-8.99B-26.9M0.722.292,067,4601,482,5606,739,1406,310,820
2013-11-19$25.60$26.9716.3%7.2%16.1%9.0%25.2%0.4%1.9%35.8M-7.85B-28.1M0.982.261,139,9001,114,4807,213,9606,775,120
2013-11-20$25.53$25.7216.2%7.3%13.6%8.5%26.5%0.3%1.9%-95.2M-7.44B-27.4M1.132.47779,980884,3207,319,9607,117,720
2013-11-21$25.83$25.7216.1%7.2%14.1%8.1%25.5%0.2%0.1%224.6M-9.05B-26.5M0.722.451,326,320951,4007,325,3607,321,080
2013-11-22$25.77$25.7215.9%7.2%13.6%7.3%25.6%0.3%0.1%196.5M-8.77B-26.8M0.772.251,284,800985,2207,617,3607,425,540
2013-11-25$26.12$25.7216.3%7.2%14.3%9.0%25.7%0.4%2.0%440.2M-10.08B-25.8M0.792.571,789,9801,422,9006,840,5206,343,340
2013-11-26$26.43$25.7216.0%7.2%13.0%7.8%25.3%0.4%2.1%601.5M-11.44B-26.2M0.842.471,935,9801,634,3607,223,4606,918,760
2013-11-27$26.55$25.7215.8%7.2%12.8%6.5%25.4%0.3%0.3%647.9M-11.50B-26.8M0.802.161,626,7001,308,1007,495,9607,464,860
2013-11-29$26.46$25.7215.8%7.3%12.9%6.5%25.6%0.3%0.5%413.9M-10.80B-27.8M0.902.251,232,3201,107,7007,810,2807,764,680