GOOG Options History — May 2014 In May 2014, GOOG traded between $25.50 and $28.30. ATM implied volatility averaged 18.5%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 16.8% (HV 20d: 35.3%). Max pain ranged from $24.50 to $25.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2014-05-09 : Highest Volume — 684,000 contracts2014-05-27 : Largest IV spike — 7.1% change2014-05-07 : Highest IV Rank — 19.1%2014-05-01 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $26.70 $25.50 $28.30 $26.57 $27.99 Max Pain $24.98 $24.50 $25.00 $25.00 $25.00 ATM IV 18.5% 16.3% 21.0% 20.2% 17.6% Expected Move 6.7% 6.3% 7.0% 7.0% 6.4% HV 20d 35.3% 19.6% 246.0% 246.0% 20.3% HV 60d 201.4% 201.3% 201.6% 201.3% 201.6% IV Rank 10.8% 3.6% 19.1% 16.3% 7.7% IV Percentile 31.4% 8.3% 52.8% 49.6% 22.2% Term Structure 0.1% -0.4% 1.2% -0.0% -0.2% VWIV 23.5% 22.2% 25.0% 25.0% 22.8% Skew 25d 1.9% 1.2% 2.7% 2.4% 2.0% Skew 10d 3.5% 2.2% 5.3% 5.1% 3.8% Call IV 25d 17.9% 15.7% 20.2% 19.5% 17.2% Put IV 25d 19.7% 17.1% 23.0% 21.9% 19.2% Bid-Ask Spread % 9.80 8.27 11.30 10.32 10.05 Gamma HHI 0.13 0.05 0.68 0.06 0.68 Net GEX 37.8M -410.0M 153.2M 97.7M -410.0M Net DEX -583.2M -1.65B 390.6M -438.0M -1.37B Net VEX -5.3M -6.1M -4.6M -4.9M -6.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.37 0.83 0.64 0.63 Total Volume 487,415.238 287,980 684,000 397,460 491,520 Total OI 2,087,088.571 1,704,440 2,467,880 2,054,520 2,271,020
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 2014-05-01 $26.57 $25.00 20.2% 7.0% 246.0% 16.3% 25.0% 2.4% -0.0% 97.7M -438.0M -4.9M 0.64 10.32 242,360 155,100 1,192,080 862,440 2014-05-02 $26.40 $25.00 19.7% 7.0% 35.8% 14.8% 24.7% 1.7% -0.1% 67.0M -265.9M -4.8M 0.65 10.12 322,260 208,460 1,227,920 904,380 2014-05-05 $26.39 $25.00 19.6% 6.9% 31.8% 14.5% 24.1% 2.5% 0.0% 36.5M -185.0M -4.8M 0.61 11.02 178,480 109,500 1,062,640 724,320 2014-05-06 $25.76 $25.00 20.2% 6.9% 32.7% 16.4% 24.2% 2.0% -0.2% -16.8M 198.4M -4.6M 0.58 10.76 206,080 119,280 1,140,560 779,720 2014-05-07 $25.50 $25.00 21.0% 7.0% 30.4% 19.1% 24.1% 2.7% -0.1% -44.9M 390.6M -4.6M 0.78 9.73 379,380 295,700 1,209,340 827,080 2014-05-08 $25.55 $25.00 20.7% 6.9% 29.5% 17.9% 23.5% 1.8% 0.0% -28.7M 252.3M -5.0M 0.54 9.13 234,980 126,780 1,333,200 900,220 2014-05-09 $25.94 $25.00 19.8% 6.9% 26.8% 14.9% 24.1% 2.5% 0.2% 17.7M -59.2M -5.0M 0.71 9.74 400,520 283,480 1,344,680 918,160 2014-05-12 $26.50 $25.00 18.4% 6.8% 27.2% 10.3% 23.9% 2.1% -0.1% 54.9M -444.4M -5.0M 0.57 10.39 336,180 191,620 1,181,580 814,880 2014-05-13 $26.65 $25.00 17.8% 6.6% 27.3% 8.3% 23.4% 1.8% -0.4% 105.0M -639.1M -5.1M 0.55 8.99 330,080 181,300 1,271,140 856,760 2014-05-14 $26.33 $25.00 18.1% 6.6% 27.5% 9.5% 23.5% 1.2% 0.4% 49.6M -300.2M -5.2M 0.37 8.83 387,880 143,300 1,323,380 900,780 2014-05-15 $26.00 $25.00 18.7% 6.7% 23.9% 11.3% 22.8% 1.6% -0.1% -6.4M 3.3M -5.1M 0.72 11.30 311,320 223,000 1,457,080 873,040 2014-05-16 $26.03 $25.00 18.4% 6.6% 20.2% 10.6% 23.6% 2.1% -0.2% -58.1M -100.6M -5.2M 0.69 10.39 321,700 223,360 1,550,580 917,300 2014-05-19 $26.44 $25.00 17.7% 6.6% 20.5% 8.2% 23.5% 1.5% 0.6% 67.7M -447.9M -5.4M 0.56 8.27 278,700 157,040 1,038,720 665,720 2014-05-20 $26.49 $24.50 17.8% 6.6% 20.1% 8.4% 22.5% 1.5% 0.9% 87.8M -524.8M -5.7M 0.75 8.49 282,820 211,580 1,137,260 748,320 2014-05-21 $26.95 $25.00 16.9% 6.5% 20.2% 5.4% 23.5% 1.7% 1.2% 138.7M -931.2M -5.9M 0.73 9.43 230,860 168,760 1,190,560 804,420 2014-05-22 $27.25 $25.00 16.7% 6.4% 20.5% 4.9% 22.6% 1.5% 0.8% 149.3M -1.22B -5.9M 0.73 10.84 328,220 238,420 1,201,120 854,100 2014-05-23 $27.64 $25.00 16.3% 6.3% 19.6% 3.6% 22.8% 1.4% 0.9% 153.2M -1.57B -5.8M 0.55 10.08 437,260 240,320 1,242,400 921,940 2014-05-27 $28.30 $25.00 17.5% 6.4% 20.8% 7.4% 23.4% 2.0% -0.3% 114.3M -1.65B -5.7M 0.70 10.59 336,460 236,940 1,148,800 744,260 2014-05-28 $28.08 $25.00 18.0% 6.4% 20.4% 9.1% 22.2% 1.3% -0.1% 113.4M -1.52B -6.0M 0.70 8.60 228,220 160,860 1,235,700 851,120 2014-05-29 $28.00 $25.00 17.9% 6.4% 20.4% 8.7% 22.6% 1.8% -0.2% 105.1M -1.42B -6.1M 0.83 8.67 161,340 134,300 1,302,600 897,540 2014-05-30 $27.99 $25.00 17.6% 6.4% 20.3% 7.7% 22.8% 2.0% -0.2% -410.0M -1.37B -6.0M 0.63 10.05 300,660 190,860 1,328,540 942,480
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