GOOG Options History — February 2015

In February 2015, GOOG traded between $26.10 and $27.93. ATM implied volatility averaged 18.3%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 9.5% (HV 20d: 27.8%). Max pain ranged from $25.75 to $26.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-02-27: Highest Volume — 1,265,120 contracts
  • 2015-02-11: Largest IV spike — 7.2% change
  • 2015-02-02: Highest IV Rank — 17.1%
  • 2015-02-02: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.89$26.10$27.93$26.42$27.93
Max Pain$26.34$25.75$26.50$25.75$26.50
ATM IV18.3%16.9%20.7%20.7%17.1%
Expected Move5.2%4.7%6.0%6.0%4.8%
HV 20d27.8%24.3%30.6%30.6%24.3%
HV 60d22.9%22.4%23.8%22.6%23.6%
IV Rank9.0%4.6%17.1%17.1%5.1%
IV Percentile28.0%10.7%49.6%49.6%13.5%
Term Structure0.1%-0.3%0.5%-0.2%-0.1%
VWIV18.5%16.7%21.4%21.4%16.8%
Skew 25d2.0%1.3%3.2%3.2%1.3%
Skew 10d4.1%2.7%6.4%6.4%2.7%
Call IV 25d17.5%16.1%19.4%19.1%16.5%
Put IV 25d19.5%17.8%22.3%22.3%17.8%
Bid-Ask Spread %53.859.1466.5051.599.14
Gamma HHI0.090.040.310.050.08
Net GEX97.0M-1.2M188.3M29.9M148.4M
Net DEX-953.2M-2.01B-116.4M-505.6M-1.95B
Net VEX-11.2M-11.5M-10.8M-11.2M-11.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.540.970.810.58
Total Volume749,986.316349,0601,265,120707,1801,265,120
Total OI3,824,804.2113,036,8004,215,3003,712,8403,573,620

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$26.42$25.7520.7%6.0%30.6%17.1%21.4%3.2%-0.2%29.9M-505.6M-11.2M0.8151.59389,880317,3001,909,8001,803,040
2015-02-03$26.44$25.7520.3%5.8%29.5%15.7%20.7%2.2%-0.3%53.2M-600.2M-11.2M0.9754.41366,080354,2202,012,9201,898,860
2015-02-04$26.10$25.8820.0%5.8%28.5%14.9%20.8%2.1%0.2%-1.2M-116.4M-11.1M0.9456.22285,120268,2002,021,2001,946,240
2015-02-05$26.38$26.2518.9%5.5%28.7%11.1%19.7%2.1%0.2%45.2M-472.1M-11.0M0.8659.71356,660306,6802,076,4401,970,560
2015-02-06$26.54$26.2518.6%5.4%28.7%10.3%19.4%1.6%0.5%187.1M-803.8M-11.5M0.7652.50607,000461,6802,140,4402,045,440
2015-02-09$26.42$26.2518.9%5.4%28.2%11.1%19.3%2.2%0.1%51.1M-476.2M-11.1M0.7661.28340,500258,0201,947,6601,807,980
2015-02-10$26.87$26.2517.7%5.3%28.4%7.3%18.6%2.4%0.5%116.4M-1.04B-11.2M0.7764.40344,680266,0602,018,5601,868,700
2015-02-11$26.79$26.5019.0%5.6%28.5%11.6%19.4%1.8%0.3%110.3M-955.2M-11.5M0.7466.28364,780270,3802,068,5801,910,900
2015-02-12$27.16$26.5018.2%5.2%28.6%8.9%18.5%1.7%0.1%188.3M-1.55B-11.3M0.6566.50528,320343,3202,121,7001,957,340
2015-02-13$27.41$26.5017.0%4.9%28.7%4.9%17.2%1.7%-0.2%172.7M-2.01B-11.4M0.5459.64713,140387,0802,204,5602,006,400
2015-02-17$27.10$26.5017.7%5.1%29.1%7.1%17.8%1.9%0.0%125.3M-1.20B-11.3M0.6963.60448,420307,6802,081,4601,904,920
2015-02-18$26.95$26.5018.1%5.2%29.2%8.4%18.2%2.0%-0.0%97.1M-954.1M-11.4M0.7561.38409,280308,4402,148,7601,975,640
2015-02-19$27.14$26.5017.5%5.0%28.4%6.5%17.8%1.8%0.4%140.0M-1.23B-11.3M0.5666.01223,820125,2402,169,6401,999,340
2015-02-20$26.95$26.5017.5%5.0%26.5%6.6%17.6%1.8%0.1%65.5M-882.6M-11.0M0.6260.68432,980266,9002,195,1602,020,140
2015-02-23$26.60$26.5017.9%5.0%26.7%7.8%17.8%2.1%0.0%21.1M-219.2M-10.8M0.7249.81330,400237,1801,546,5801,490,220
2015-02-24$26.80$26.5017.3%4.9%26.7%5.9%17.0%1.9%0.1%53.3M-465.6M-10.8M0.5649.61361,480201,7001,630,1601,547,400
2015-02-25$27.18$26.5016.9%4.7%24.3%4.6%16.7%1.9%0.0%108.6M-956.7M-11.1M0.6448.53449,900289,8801,710,2601,574,640
2015-02-26$27.80$26.5017.6%5.0%24.4%6.9%17.6%1.6%-0.1%131.7M-1.73B-11.1M0.6621.91640,480421,7401,757,3401,608,680
2015-02-27$27.93$26.5017.1%4.8%24.3%5.1%16.8%1.3%-0.1%148.4M-1.95B-11.4M0.589.14802,060463,0601,858,4601,715,160