GOOG Options History — September 2015

In September 2015, GOOG traded between $29.76 and $32.19. ATM implied volatility averaged 31.9%, placing in the 68.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 2.3% (HV 20d: 34.2%). Max pain ranged from $30.50 to $32.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.11.

Notable Days

2015-09-18: Highest Volume — 1,072,420 contracts
2015-09-02: Largest IV drop — 16.2% change
2015-09-29: Highest IV Rank — 97.9%
2015-09-28: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.89	$29.76	$32.19	$29.99	$30.33
Max Pain	$31.87	$30.50	$32.50	$30.50	$31.75
ATM IV	31.9%	27.4%	39.6%	37.3%	36.5%
Expected Move	9.7%	8.1%	11.9%	11.3%	11.2%
HV 20d	34.2%	25.5%	39.3%	38.5%	25.8%
HV 60d	42.5%	41.9%	43.7%	41.9%	43.7%
IV Rank	68.4%	51.1%	97.9%	89.2%	85.9%
IV Percentile	94.1%	86.9%	99.6%	98.8%	97.2%
Term Structure	0.4%	-2.7%	5.7%	-0.6%	-1.7%
VWIV	34.1%	28.9%	41.0%	39.0%	38.9%
Skew 25d	4.7%	3.6%	6.0%	6.0%	4.7%
Skew 10d	9.2%	7.8%	11.2%	11.2%	9.9%
Call IV 25d	29.7%	24.2%	37.5%	34.1%	34.6%
Put IV 25d	34.4%	28.8%	42.0%	40.1%	39.3%
Bid-Ask Spread %	34.14	19.21	59.00	51.66	40.31
Gamma HHI	0.06	0.02	0.38	0.02	0.03
Net GEX	16.4M	-154.2M	141.3M	-13.6M	31.2M
Net DEX	-535.1M	-2.16B	376.1M	195.1M	-79.2M
Net VEX	-12.7M	-13.8M	-11.8M	-13.5M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.51	1.44	1.02	1.25
Total Volume	653,860	385,640	1,072,420	789,500	522,020
Total OI	3,652,695.238	2,904,280	4,164,300	3,658,960	3,609,560

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
2015-09-01	$29.99	$30.50	37.3%	11.3%	38.5%	89.2%	39.0%	6.0%	-0.6%	-13.6M	195.1M	-13.5M	1.02	51.66	390,660	398,840	1,874,500	1,784,460
2015-09-02	$30.64	$30.50	31.3%	8.9%	38.4%	65.9%	31.8%	4.8%	-0.4%	4.2M	-335.8M	-13.8M	1.14	59.00	319,740	365,520	2,012,080	1,865,100
2015-09-03	$30.35	$32.50	30.8%	10.0%	38.5%	64.2%	35.8%	4.9%	-0.2%	-14.7M	-36.8M	-13.6M	1.05	21.01	346,320	364,580	2,046,200	1,934,300
2015-09-04	$30.08	$32.50	31.6%	10.1%	38.4%	67.1%	36.2%	5.3%	-0.4%	-34.0M	273.4M	-13.4M	0.94	19.21	392,260	368,920	2,104,500	1,961,140
2015-09-08	$30.73	$32.25	29.2%	9.7%	39.3%	58.1%	33.3%	5.1%	4.8%	19.5M	-515.1M	-12.8M	0.51	26.97	255,480	130,160	1,831,380	1,630,980
2015-09-09	$30.52	$32.25	27.6%	9.6%	35.6%	52.0%	34.0%	4.7%	5.7%	14.7M	-360.1M	-12.8M	1.44	25.71	240,960	347,260	1,999,500	1,864,140
2015-09-10	$31.07	$32.25	27.4%	9.2%	36.5%	51.1%	32.3%	4.7%	5.6%	38.9M	-862.3M	-13.0M	1.27	23.25	259,000	329,220	2,030,620	1,911,220
2015-09-11	$31.16	$32.25	28.0%	9.1%	36.5%	53.4%	33.1%	4.5%	5.7%	62.4M	-1.03B	-12.9M	1.06	29.33	355,500	378,560	2,065,380	1,919,340
2015-09-14	$31.10	$32.25	31.4%	9.4%	36.5%	66.3%	33.8%	4.8%	-0.1%	32.9M	-849.9M	-12.5M	1.32	28.81	197,960	262,020	1,929,660	1,803,260
2015-09-15	$31.76	$32.00	29.6%	8.6%	37.4%	59.3%	30.6%	4.7%	0.4%	84.5M	-1.58B	-12.3M	1.14	36.38	210,700	239,500	1,893,520	1,647,880
2015-09-16	$31.79	$32.00	28.8%	8.3%	37.3%	56.5%	30.4%	4.3%	1.4%	69.3M	-1.56B	-12.3M	1.42	32.20	191,600	271,620	2,032,800	1,958,860
2015-09-17	$32.19	$32.00	28.4%	8.1%	37.5%	55.0%	29.2%	4.3%	0.9%	141.3M	-2.16B	-12.1M	1.14	39.37	356,020	405,120	2,052,400	1,987,160
2015-09-18	$31.52	$32.00	29.6%	8.5%	37.6%	59.5%	29.4%	4.1%	0.1%	-154.2M	-959.7M	-11.8M	1.11	34.18	508,380	564,040	2,092,100	2,072,200
2015-09-21	$31.77	$31.75	28.9%	8.2%	32.7%	57.0%	28.9%	4.6%	-1.2%	32.4M	-844.9M	-12.0M	0.97	40.75	257,000	250,100	1,507,960	1,396,320
2015-09-22	$30.92	$31.75	33.3%	9.8%	32.3%	73.6%	33.6%	4.4%	-1.7%	-6.7M	-218.9M	-12.1M	1.22	33.49	243,620	297,620	1,579,480	1,441,700
2015-09-23	$31.22	$31.75	32.6%	9.3%	32.4%	71.0%	32.2%	4.4%	-1.3%	23.5M	-494.0M	-12.7M	1.15	37.70	243,260	279,240	1,740,100	1,539,920
2015-09-24	$31.32	$31.75	34.2%	10.3%	25.5%	77.3%	35.5%	4.3%	-2.7%	35.6M	-625.9M	-12.8M	0.81	34.20	422,720	340,520	1,781,620	1,558,620
2015-09-25	$30.58	$31.75	34.7%	10.4%	26.5%	79.1%	35.8%	3.6%	-1.9%	-14.6M	70.3M	-12.5M	1.09	33.39	445,860	486,560	1,897,940	1,611,480
2015-09-28	$29.76	$31.75	39.1%	11.9%	27.9%	96.0%	41.0%	5.7%	-2.0%	-7.6M	361.6M	-12.0M	1.06	31.74	386,600	409,980	1,742,460	1,496,080
2015-09-29	$29.81	$31.75	39.6%	11.8%	27.5%	97.9%	40.9%	4.5%	-2.1%	358.2K	376.1M	-12.5M	1.11	38.31	330,180	365,840	1,894,300	1,604,380
2015-09-30	$30.33	$31.75	36.5%	11.2%	25.8%	85.9%	38.9%	4.7%	-1.7%	31.2M	-79.2M	-12.7M	1.25	40.31	231,800	290,220	1,956,240	1,653,320