GOOG Options History — November 2015

In November 2015, GOOG traded between $35.92 and $37.80. ATM implied volatility averaged 18.9%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 8.1% (HV 20d: 27.1%). Max pain ranged from $32.88 to $35.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2015-11-20: Highest Volume — 1,295,400 contracts
  • 2015-11-13: Largest IV spike — 8.0% change
  • 2015-11-13: Highest IV Rank — 27.0%
  • 2015-11-13: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.77$35.92$37.80$36.03$37.13
Max Pain$34.08$32.88$35.00$32.88$35.00
ATM IV18.9%17.4%21.1%18.3%18.3%
Expected Move5.5%5.0%6.1%5.4%5.4%
HV 20d27.1%15.7%33.1%32.0%16.3%
HV 60d29.7%25.8%32.9%32.9%25.8%
IV Rank18.6%12.6%27.0%16.1%15.9%
IV Percentile28.5%11.9%45.2%23.4%20.2%
Term Structure0.3%-0.3%0.6%0.4%0.2%
VWIV19.5%17.7%21.3%19.3%18.3%
Skew 25d2.7%1.5%3.5%2.6%3.0%
Skew 10d5.6%3.8%7.1%7.1%5.8%
Call IV 25d17.9%16.7%19.5%17.4%16.7%
Put IV 25d20.6%18.9%22.7%20.0%19.7%
Bid-Ask Spread %60.8545.5167.2862.0767.14
Gamma HHI0.110.040.710.060.04
Net GEX69.1M-490.8M195.5M104.9M60.4M
Net DEX-3.04B-4.70B-2.09B-2.77B-2.40B
Net VEX-12.8M-13.8M-11.6M-11.6M-12.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.681.421.220.91
Total Volume515,615308,1001,295,400448,100410,480
Total OI3,533,5902,999,3403,904,2603,307,6403,088,440

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$36.03$32.8818.3%5.4%32.0%16.1%19.3%2.6%0.4%104.9M-2.77B-11.6M1.2262.07201,620246,4801,637,3801,670,260
2015-11-03$36.23$33.0018.1%5.4%32.0%15.4%19.1%2.4%0.4%131.4M-2.97B-11.8M1.3367.28173,760230,3801,674,7201,714,860
2015-11-04$36.38$33.0018.7%5.6%31.7%17.6%19.9%2.8%0.4%145.0M-3.15B-11.7M1.1564.50219,200251,5801,710,3201,771,100
2015-11-05$36.61$33.5018.8%5.6%31.5%18.1%20.0%2.4%0.2%182.7M-3.41B-11.8M1.0745.51338,080362,0801,742,2601,849,600
2015-11-06$36.69$33.5017.9%5.4%31.6%14.5%19.6%2.6%0.1%181.9M-3.40B-12.9M0.9857.64200,740197,0601,803,8001,840,200
2015-11-09$36.24$33.7519.0%5.6%32.3%18.9%19.7%2.6%0.6%74.9M-2.68B-13.0M1.2362.91190,980234,7601,637,2001,628,460
2015-11-10$36.40$33.7518.8%5.5%32.2%18.1%19.9%2.6%0.4%69.6M-2.96B-13.3M0.8059.70233,400186,3801,777,8601,865,860
2015-11-11$36.55$33.7518.8%5.5%32.1%18.1%19.2%2.6%0.6%100.0M-3.17B-13.2M0.8866.25195,600172,5201,824,6201,904,020
2015-11-12$36.56$33.7519.6%5.8%31.9%21.0%19.5%2.7%0.6%81.3M-3.11B-13.3M1.0160.56248,840250,6401,851,8201,962,840
2015-11-13$35.92$34.0021.1%6.1%32.8%27.0%21.2%3.1%0.5%-26.8M-2.09B-13.8M1.3960.51319,120442,0801,897,5202,006,740
2015-11-16$36.45$34.0020.5%5.9%33.1%24.8%21.3%3.5%-0.1%95.4M-2.82B-13.3M0.8961.05162,920145,1801,705,7801,678,020
2015-11-17$36.31$34.2520.8%6.0%30.8%25.9%20.8%3.2%-0.2%102.3M-2.87B-13.2M1.1361.64167,360188,9601,825,0001,823,700
2015-11-18$37.06$34.2520.2%5.8%30.8%23.5%20.3%2.9%-0.3%179.8M-3.73B-13.0M0.9263.01257,860238,0201,844,4001,852,660
2015-11-19$36.93$34.2519.4%5.6%30.9%20.5%19.3%3.0%0.4%195.5M-3.67B-12.7M1.1960.95221,720264,8201,877,2401,886,740
2015-11-20$37.74$35.0018.9%5.4%15.9%18.4%19.2%2.8%0.2%186.7M-4.70B-12.3M1.0963.56619,060676,3401,901,9401,940,980
2015-11-23$37.80$35.0018.1%5.2%15.7%15.3%18.5%2.5%0.3%92.3M-3.09B-12.5M1.4256.82255,260361,3001,495,5801,503,760
2015-11-24$37.41$35.0018.6%5.5%16.0%17.3%19.6%2.6%0.5%-28.7M-2.42B-13.4M0.6860.09301,980203,9801,576,3801,707,640
2015-11-25$37.45$35.0017.6%5.1%16.0%13.3%17.7%2.8%0.5%-55.2M-2.64B-13.4M0.8557.40217,860185,7601,698,2401,872,760
2015-11-27$37.51$35.0017.4%5.0%16.0%12.6%18.0%1.5%-0.0%-490.8M-2.81B-13.0M0.8058.38298,400239,7401,732,1201,888,980
2015-11-30$37.13$35.0018.3%5.4%16.3%15.9%18.3%3.0%0.2%60.4M-2.40B-12.9M0.9167.14215,400195,0801,526,7401,561,700