GOOG Options History — November 2014

In November 2014, GOOG traded between $26.70 and $27.77. ATM implied volatility averaged 17.7%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.3% (HV 20d: 19.0%). Max pain ranged from $26.75 to $27.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2014-11-21: Highest Volume — 758,360 contracts
  • 2014-11-10: Largest IV drop — 7.2% change
  • 2014-11-06: Highest IV Rank — 12.5%
  • 2014-11-07: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.14$26.70$27.77$27.77$27.09
Max Pain$27.11$26.75$27.25$27.25$27.00
ATM IV17.7%15.8%19.0%18.1%16.2%
Expected Move6.3%6.2%6.5%6.3%6.3%
HV 20d19.0%12.3%28.8%28.8%12.3%
HV 60d20.1%19.9%20.5%20.4%19.9%
IV Rank7.6%1.2%12.5%9.3%2.5%
IV Percentile26.2%2.8%42.1%34.9%5.6%
Term Structure0.3%-0.1%0.7%0.5%0.5%
VWIV22.4%21.7%23.1%22.5%22.5%
Skew 25d2.0%1.5%2.9%2.4%2.3%
Skew 10d3.9%2.6%5.3%4.5%5.3%
Call IV 25d17.1%15.3%18.4%17.4%15.4%
Put IV 25d19.1%17.6%20.7%19.8%17.7%
Bid-Ask Spread %30.823.0841.4235.156.91
Gamma HHI0.070.040.180.180.13
Net GEX64.7M5.0M159.0M159.0M113.3M
Net DEX78.4M-634.1M616.3M-634.1M-57.3M
Net VEX-10.0M-11.2M-9.1M-11.2M-9.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.470.930.910.47
Total Volume511,193.684317,220758,360494,440329,480
Total OI4,063,671.5793,568,2804,390,4203,834,9603,990,620

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$27.77$27.2518.1%6.3%28.8%9.3%22.5%2.4%0.5%159.0M-634.1M-11.2M0.9135.15258,680235,7602,125,5601,709,400
2014-11-04$27.72$27.2518.0%6.3%27.6%9.2%23.0%2.4%0.4%158.2M-521.5M-11.1M0.9335.63217,780202,7402,188,7001,781,680
2014-11-05$27.27$27.2518.9%6.4%27.4%12.1%23.0%2.0%0.4%54.3M122.3M-10.7M0.6435.00375,860240,5202,249,8601,817,420
2014-11-06$27.08$27.2519.0%6.5%26.7%12.5%22.7%2.2%0.4%11.1M388.7M-10.6M0.7934.86276,160219,3402,335,0801,874,640
2014-11-07$27.06$27.2518.5%6.5%26.1%10.7%23.1%2.9%0.7%33.1M438.5M-10.4M0.7336.51371,780272,2602,389,2201,917,900
2014-11-10$27.35$27.2517.1%6.3%22.9%6.3%22.4%1.8%0.5%72.1M-37.7M-10.1M0.7535.78308,380232,4002,080,5801,798,100
2014-11-11$27.50$27.0017.0%6.2%21.8%5.8%22.2%2.1%0.1%91.1M-198.3M-9.9M0.8136.97237,860192,6002,053,5401,797,120
2014-11-12$27.37$27.2517.2%6.3%19.6%6.4%22.5%1.7%0.5%93.5M-120.6M-10.2M0.7139.18260,160185,5602,210,7601,886,960
2014-11-13$27.20$27.2518.2%6.3%19.1%9.0%22.2%1.5%0.2%56.4M121.8M-10.3M0.6841.25281,560191,9802,261,9601,931,000
2014-11-14$27.22$27.2517.6%6.3%16.1%7.2%22.3%1.7%0.4%70.6M-97.1M-10.0M0.6241.26343,880213,0602,283,9401,863,680
2014-11-17$26.80$27.0018.8%6.5%16.2%11.2%22.4%1.8%0.1%10.8M565.1M-9.8M0.6237.53411,640253,3002,247,7601,890,960
2014-11-18$26.74$27.0018.9%6.4%16.0%11.4%22.5%1.9%-0.1%5.0M616.3M-9.7M0.6938.05288,940199,3402,358,7801,951,060
2014-11-19$26.85$27.0018.4%6.4%15.4%9.8%22.6%1.9%0.0%23.7M231.7M-9.8M0.7841.42288,620226,3002,411,4401,901,800
2014-11-20$26.70$27.0018.0%6.4%13.4%8.4%22.3%2.0%0.2%7.6M378.6M-9.3M0.7037.37325,860227,9202,401,6401,896,980
2014-11-21$26.85$27.0017.2%6.3%13.4%5.8%22.0%1.7%0.3%111.6M139.0M-9.3M0.8637.80408,800349,5602,447,2801,943,140
2014-11-24$26.96$0.0016.5%6.2%13.4%3.4%21.8%2.0%0.3%41.3M89.7M-9.1M0.633.08302,060189,6601,969,6401,598,640
2014-11-25$27.05$26.7516.3%6.2%12.3%3.0%21.7%2.1%0.3%66.2M-14.1M-9.3M0.905.35249,980225,6802,083,6801,696,020
2014-11-26$27.02$27.0015.8%6.2%12.3%1.2%22.0%2.3%0.7%50.8M79.0M-9.1M0.766.43180,040137,1802,117,4801,745,740
2014-11-28$27.09$27.0016.2%6.3%12.3%2.5%22.5%2.3%0.5%113.3M-57.3M-9.2M0.476.91224,560104,9202,177,3001,813,320