GOOG Options History — January 2015

In January 2015, GOOG traded between $24.68 and $26.97. ATM implied volatility averaged 26.9%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.9% (HV 20d: 22.0%). Max pain ranged from $25.50 to $26.25. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2015-01-30: Highest Volume — 1,948,100 contracts
  • 2015-01-30: Largest IV drop — 27.5% change
  • 2015-01-06: Highest IV Rank — 48.7%
  • 2015-01-29: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.63$24.68$26.97$26.24$26.83
Max Pain$25.89$25.50$26.25$26.25$25.75
ATM IV26.9%19.6%30.2%28.5%19.6%
Expected Move7.5%5.7%8.4%7.4%5.7%
HV 20d22.0%17.5%30.0%22.6%30.0%
HV 60d19.6%17.8%22.4%21.3%22.4%
IV Rank37.8%13.6%48.7%43.1%13.6%
IV Percentile78.3%42.5%89.3%87.7%42.5%
Term Structure-1.2%-2.0%-0.0%-1.1%-0.0%
VWIV26.7%20.4%29.4%26.3%20.4%
Skew 25d3.3%1.7%4.4%4.4%3.0%
Skew 10d6.5%3.4%9.3%8.7%7.0%
Call IV 25d25.6%18.5%28.8%27.2%18.5%
Put IV 25d29.0%21.6%32.5%31.6%21.6%
Bid-Ask Spread %52.4245.7063.3550.0748.93
Gamma HHI0.090.040.500.500.08
Net GEX-9.8M-243.1M149.7M-243.1M106.7M
Net DEX346.5M-1.44B1.55B426.4M-1.44B
Net VEX-10.0M-11.2M-9.2M-9.9M-11.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.691.171.000.85
Total Volume801,886382,0201,948,100803,1801,948,100
Total OI4,055,6153,041,1804,930,3404,114,1004,318,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$26.24$26.2528.5%7.4%22.6%43.1%26.3%4.4%-1.1%-243.1M426.4M-9.9M1.0050.07401,120402,0602,184,1201,929,980
2015-01-05$25.69$26.2529.7%7.8%23.2%47.2%29.1%4.1%-1.3%-22.7M758.7M-9.4M1.1763.35259,480304,4402,115,2201,806,040
2015-01-06$25.10$26.2530.2%8.0%23.2%48.7%28.8%3.5%-1.0%-58.1M1.35B-9.2M1.0657.71340,820359,9602,228,2801,920,980
2015-01-07$25.05$26.0030.1%7.9%23.2%48.3%27.3%4.1%-1.2%-57.4M1.26B-9.6M0.7753.48264,340203,9002,360,1801,983,840
2015-01-08$25.14$26.0028.8%7.6%22.6%44.2%27.6%4.2%-1.2%-47.8M1.17B-9.5M0.8953.45497,980442,5002,446,7002,038,080
2015-01-09$24.80$26.0028.6%7.6%22.7%43.4%27.0%3.0%-1.3%-88.5M1.55B-9.4M0.8454.56555,660469,2402,529,5202,109,180
2015-01-12$24.68$26.0028.9%7.7%22.6%44.4%27.3%4.3%-1.6%-63.1M1.46B-9.4M0.8150.29424,180342,0602,393,9802,053,560
2015-01-13$24.80$26.0028.0%7.6%22.2%41.3%26.7%3.2%-1.3%-47.0M1.22B-9.7M0.8745.70422,300366,2402,524,8002,094,320
2015-01-14$25.04$26.0028.3%7.7%22.5%42.6%27.1%3.5%-1.4%-18.4M838.7M-10.1M0.8360.48393,360324,8802,582,5602,129,280
2015-01-15$25.09$26.0028.0%7.8%18.3%41.5%27.2%3.1%-1.2%-3.8M754.9M-10.0M0.6958.80413,260283,3202,616,0202,157,720
2015-01-16$25.40$25.7526.5%7.2%17.7%36.3%25.5%3.8%-2.0%105.2M92.3M-10.0M0.7058.29387,640269,7202,739,1002,191,240
2015-01-20$25.34$25.7526.0%7.4%17.5%34.7%26.0%3.0%-1.0%13.7M194.1M-9.6M1.0448.94202,140210,8001,546,2801,494,900
2015-01-21$25.90$25.5024.8%7.1%18.6%30.9%25.8%3.2%-0.9%41.8M-300.2M-9.9M0.9849.31284,140278,7601,594,3801,583,740
2015-01-22$26.71$25.5024.0%6.9%20.9%28.2%25.0%2.8%-1.3%52.1M-1.07B-10.1M0.8350.13590,780487,9801,680,5601,720,020
2015-01-23$26.97$25.7523.3%6.8%20.7%25.7%23.8%3.0%-1.2%149.7M-1.41B-10.2M0.7951.40578,820459,3001,811,6801,879,860
2015-01-26$26.76$25.7524.3%7.3%20.8%29.1%26.2%3.2%-1.0%34.8M-730.0M-10.6M0.9753.03193,640188,3801,681,7601,668,680
2015-01-27$25.93$25.7526.5%8.1%23.4%36.5%28.3%1.9%-1.4%-9.1M32.8M-10.9M0.8446.46249,240208,1601,750,8001,755,820
2015-01-28$25.54$25.8826.9%8.3%23.8%37.6%29.4%1.7%-1.3%-21.5M365.5M-10.9M1.0346.48351,360362,5001,837,7601,793,520
2015-01-29$25.52$25.7527.1%8.4%23.8%38.4%29.4%3.5%-2.0%-19.6M404.1M-11.1M0.7647.53746,440568,7201,977,0801,882,080
2015-01-30$26.83$25.7519.6%5.7%30.0%13.6%20.4%3.0%-0.0%106.7M-1.44B-11.2M0.8548.931,054,600893,5002,267,0002,051,680