GOOG Options History — August 2015

In August 2015, GOOG traded between $29.78 and $33.05. ATM implied volatility averaged 26.2%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 16.7% (HV 20d: 42.9%). Max pain ranged from $28.75 to $30.63. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2015-08-21: Highest Volume — 1,327,400 contracts
  • 2015-08-24: Largest IV spike — 28.8% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.91$29.78$33.05$31.56$30.98
Max Pain$30.05$28.75$30.63$30.50$30.50
ATM IV26.2%20.2%40.2%20.6%32.6%
Expected Move7.6%5.8%12.0%5.8%9.6%
HV 20d42.9%24.2%60.8%59.7%36.9%
HV 60d38.2%36.5%41.4%36.5%41.4%
IV Rank49.2%26.1%100.0%27.6%71.0%
IV Percentile73.8%48.4%100.0%51.6%97.6%
Term Structure-0.2%-1.8%0.5%-0.4%-0.2%
VWIV27.1%20.3%41.9%20.3%33.7%
Skew 25d2.9%1.1%5.9%1.6%5.2%
Skew 10d5.2%0.6%11.8%2.5%10.1%
Call IV 25d25.1%19.6%37.1%19.6%30.0%
Put IV 25d28.0%21.2%43.1%21.2%35.3%
Bid-Ask Spread %54.3344.7061.6361.6352.48
Gamma HHI0.050.020.080.040.02
Net GEX44.8M-64.2M106.3M28.3M12.7M
Net DEX-1.92B-3.62B151.7M-1.71B-619.4M
Net VEX-12.9M-14.4M-11.5M-11.5M-13.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.651.400.691.34
Total Volume807,271.429339,2801,327,400339,280619,660
Total OI4,045,6803,296,4404,740,2603,447,5003,500,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$31.56$30.5020.6%5.8%59.7%27.6%20.3%1.6%-0.4%28.3M-1.71B-11.5M0.6961.63201,080138,2001,898,7601,548,740
2015-08-04$31.51$30.5020.2%5.8%59.8%26.1%20.5%1.2%0.1%39.8M-1.75B-11.8M1.4059.12224,440313,3202,071,4001,822,380
2015-08-05$32.23$30.6320.3%5.8%59.3%26.3%20.4%1.1%0.4%91.7M-2.61B-12.0M1.1354.85331,840373,3402,084,4801,870,680
2015-08-06$32.15$28.7522.3%6.4%59.5%34.9%23.0%2.6%-0.4%84.3M-2.44B-12.4M1.3258.16304,260401,3202,135,4401,930,180
2015-08-07$31.72$28.7522.3%6.6%60.0%34.8%23.0%1.7%0.3%21.8M-1.83B-12.4M0.9557.49496,340473,1802,164,3201,999,740
2015-08-10$31.64$28.7522.7%6.6%59.7%36.7%23.0%1.6%0.4%24.3M-1.76B-12.0M1.0158.19343,060347,4002,069,8001,872,140
2015-08-11$33.04$30.0023.3%6.8%60.8%39.3%24.1%1.9%0.4%106.3M-3.62B-12.2M0.6747.69659,860443,7802,107,0601,761,020
2015-08-12$32.99$30.0024.6%7.1%60.8%44.9%26.1%2.1%0.1%86.0M-3.27B-13.1M1.1852.99480,180568,9002,279,6402,114,520
2015-08-13$32.87$30.0023.1%6.7%60.4%38.2%24.7%1.5%0.4%83.0M-3.09B-13.0M1.1755.48451,220526,3402,346,1802,186,180
2015-08-14$32.88$30.0022.1%6.4%25.5%34.2%23.9%1.8%0.1%70.8M-3.07B-13.2M1.0057.94428,640429,1602,413,6602,257,500
2015-08-17$33.05$30.0022.0%6.4%25.1%33.9%23.2%2.1%0.3%72.5M-3.17B-12.8M1.1759.33302,880355,4802,214,9602,068,560
2015-08-18$32.79$30.0022.5%6.5%25.2%35.7%23.1%1.7%0.5%60.8M-2.75B-12.7M1.1861.30299,520351,9802,280,3002,126,200
2015-08-19$33.05$30.2522.6%6.5%25.4%36.1%22.7%2.0%0.1%106.1M-3.27B-12.3M0.6555.15388,700254,4602,231,4001,975,620
2015-08-20$32.40$30.2525.4%7.3%24.2%48.3%26.0%2.3%0.1%-26.6M-1.93B-13.4M0.8460.87522,700440,3402,390,9002,225,460
2015-08-21$30.78$30.5031.2%9.0%28.4%72.9%31.4%3.1%-0.9%-64.2M111.7M-13.2M1.1548.40617,680709,7202,484,5202,255,740
2015-08-24$29.86$30.5040.2%12.0%30.2%100.0%41.9%5.9%-1.8%-465.0K151.7M-13.4M1.0644.70421,060444,9201,722,9601,573,480
2015-08-25$29.78$30.2538.1%11.2%30.1%92.2%39.3%4.3%-1.5%3.7M130.6M-13.6M1.2245.39288,500352,7601,846,2601,689,800
2015-08-26$31.49$30.2533.4%9.8%36.5%74.0%35.5%5.2%-0.5%46.8M-1.18B-14.4M1.0647.90398,520423,4401,908,0601,737,140
2015-08-27$31.80$30.2530.7%8.8%36.7%63.6%31.7%5.8%-0.3%82.6M-1.53B-14.1M1.1250.53445,000497,2201,987,9001,827,220
2015-08-28$31.48$30.5030.5%8.8%36.5%62.8%30.8%5.9%-0.7%10.0M-1.10B-14.0M0.9551.29452,280430,0202,057,9201,920,680
2015-08-31$30.98$30.5032.6%9.6%36.9%71.0%33.7%5.2%-0.2%12.7M-619.4M-13.7M1.3452.48264,880354,7801,793,1001,707,280