GOOG Options History — September 2014 In September 2014, GOOG traded between $28.66 and $29.80. ATM implied volatility averaged 20.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.1% (HV 20d: 13.5%). Max pain ranged from $28.25 to $29.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.71.
Notable Days 2014-09-19 : Highest Volume — 992,700 contracts2014-09-15 : Largest IV spike — 20.0% change2014-09-30 : Highest IV Rank — 33.5%2014-09-30 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $29.09 $28.66 $29.80 $28.87 $28.87 Max Pain $28.87 $28.25 $29.00 $28.25 $28.75 ATM IV 20.6% 15.9% 25.4% 16.8% 25.4% Expected Move 6.2% 5.9% 6.5% 6.1% 6.5% HV 20d 13.5% 11.5% 16.2% 14.0% 15.8% HV 60d 17.2% 16.4% 17.5% 17.5% 17.4% IV Rank 17.7% 2.2% 33.5% 5.1% 33.5% IV Percentile 45.0% 5.6% 77.8% 14.3% 77.8% Term Structure 1.3% -1.1% 6.8% 0.0% -1.0% VWIV 21.7% 20.4% 23.3% 21.3% 22.9% Skew 25d 2.6% 1.6% 3.6% 1.6% 3.1% Skew 10d 4.1% 2.6% 6.2% 2.9% 4.3% Call IV 25d 19.6% 15.0% 24.0% 16.2% 23.9% Put IV 25d 22.2% 16.9% 27.7% 17.9% 27.1% Bid-Ask Spread % 28.61 23.04 39.62 26.81 24.54 Gamma HHI 0.10 0.04 0.41 0.06 0.04 Net GEX 90.8M -242.5M 278.4M 90.6M 59.2M Net DEX -906.2M -2.25B -89.8M -824.2M -531.7M Net VEX -9.6M -10.1M -9.1M -9.9M -10.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.36 1.12 0.63 0.43 Total Volume 455,889.524 260,360 992,700 360,240 330,860 Total OI 3,227,173.333 2,486,940 3,727,280 3,148,260 2,926,660
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 2014-09-02 $28.87 $28.25 16.8% 6.1% 14.0% 5.1% 21.3% 1.6% 0.0% 90.6M -824.2M -9.9M 0.63 26.81 220,980 139,260 1,776,460 1,371,800 2014-09-03 $28.90 $28.25 16.7% 6.1% 12.9% 4.8% 21.4% 1.9% 0.2% 117.9M -905.4M -9.7M 0.71 26.86 181,320 128,740 1,832,260 1,429,580 2014-09-04 $29.10 $28.50 15.9% 6.1% 13.1% 2.2% 20.5% 1.8% 0.5% 175.9M -1.17B -9.7M 0.81 28.62 251,600 203,000 1,869,280 1,463,620 2014-09-05 $29.30 $29.00 16.0% 6.1% 13.0% 2.4% 21.1% 2.1% 0.4% 143.8M -1.46B -9.7M 0.65 27.85 297,760 192,420 1,898,020 1,504,740 2014-09-08 $29.49 $29.00 16.2% 6.1% 12.7% 3.2% 20.4% 1.7% 6.1% 155.9M -1.44B -9.6M 0.98 29.13 173,200 169,160 1,794,620 1,386,000 2014-09-09 $29.05 $29.00 17.0% 6.1% 14.0% 5.8% 22.5% 1.9% 6.0% 67.6M -856.1M -9.6M 0.80 27.45 144,400 115,960 1,841,320 1,462,880 2014-09-10 $29.16 $29.00 16.6% 6.1% 13.5% 4.6% 21.4% 2.1% 5.9% 80.4M -976.9M -9.6M 0.96 23.04 137,640 131,760 1,873,860 1,492,160 2014-09-11 $29.07 $29.00 17.3% 6.1% 11.5% 6.7% 21.7% 2.2% 6.8% 46.3M -842.8M -9.4M 0.47 27.58 227,460 106,480 1,896,900 1,532,280 2014-09-12 $28.78 $29.00 18.4% 6.1% 12.1% 10.4% 21.8% 1.9% 6.2% 23.4M -474.2M -9.4M 0.49 26.18 338,720 166,300 1,983,160 1,552,720 2014-09-15 $28.66 $29.00 22.1% 6.2% 12.1% 22.6% 22.0% 2.4% 0.4% 45.0M -473.5M -9.4M 1.02 27.34 164,540 167,800 1,924,300 1,449,600 2014-09-16 $29.00 $29.00 22.4% 6.2% 11.7% 23.6% 21.6% 2.8% 0.1% 120.2M -942.9M -9.4M 0.75 24.97 228,560 172,420 1,973,920 1,490,280 2014-09-17 $29.24 $29.00 22.5% 6.1% 11.7% 24.0% 21.7% 2.9% 0.1% 190.3M -1.37B -9.5M 0.67 28.98 310,680 208,320 2,028,080 1,551,900 2014-09-18 $29.46 $29.00 22.3% 6.0% 11.9% 23.2% 21.6% 2.9% 0.3% 278.4M -1.76B -9.3M 0.87 27.76 229,100 199,960 2,057,980 1,576,720 2014-09-19 $29.80 $29.00 21.6% 5.9% 12.5% 21.0% 20.4% 3.5% 0.4% 267.0M -2.25B -9.1M 0.51 38.12 658,140 334,560 2,082,760 1,644,520 2014-09-22 $29.37 $29.00 22.6% 6.0% 13.7% 24.3% 22.0% 3.3% -0.8% 90.9M -734.2M -9.1M 0.68 39.62 334,500 228,640 1,332,040 1,154,900 2014-09-23 $29.06 $29.00 23.4% 6.1% 14.2% 26.8% 21.2% 2.9% -1.0% 41.1M -431.4M -9.2M 0.64 29.86 285,480 183,240 1,438,280 1,248,700 2014-09-24 $29.40 $29.00 23.8% 6.1% 14.7% 28.3% 21.2% 2.9% -0.8% 139.0M -881.9M -9.6M 0.36 30.01 458,920 164,560 1,527,920 1,327,100 2014-09-25 $28.75 $29.00 25.3% 6.3% 16.2% 33.1% 22.3% 3.2% -1.1% -26.0M -89.8M -9.8M 0.65 28.89 455,940 294,440 1,638,440 1,389,700 2014-09-26 $28.86 $28.75 25.1% 6.4% 16.2% 32.6% 23.3% 3.6% -1.0% -242.5M -179.3M -10.0M 1.12 28.17 239,740 268,300 1,753,160 1,498,380 2014-09-29 $28.82 $28.75 25.3% 6.4% 16.2% 33.0% 22.8% 2.9% -0.7% 42.0M -444.7M -9.9M 0.61 28.95 204,520 124,300 1,502,600 1,291,040 2014-09-30 $28.87 $28.75 25.4% 6.5% 15.8% 33.5% 22.9% 3.1% -1.0% 59.2M -531.7M -10.1M 0.43 24.54 230,840 100,020 1,576,420 1,350,240
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