GOOG Options History — December 2015

In December 2015, GOOG traded between $36.93 and $38.86. ATM implied volatility averaged 23.0%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.6% (HV 20d: 20.5%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.27.

Notable Days

2015-12-04: Highest Volume — 1,342,160 contracts
2015-12-28: Largest IV spike — 23.7% change
2015-12-31: Highest IV Rank — 72.0%
2015-12-11: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.77	$36.93	$38.86	$38.35	$38.00
Max Pain	$33.50	$32.00	$35.00	$35.00	$35.00
ATM IV	23.0%	17.9%	32.9%	18.0%	32.9%
Expected Move	5.9%	5.1%	7.5%	5.4%	5.8%
HV 20d	20.5%	18.3%	22.1%	19.3%	18.9%
HV 60d	25.6%	23.9%	26.5%	26.4%	24.2%
IV Rank	34.3%	14.8%	72.0%	14.9%	72.0%
IV Percentile	51.2%	15.9%	91.3%	17.1%	91.3%
Term Structure	2.0%	-0.5%	8.6%	0.4%	-0.4%
VWIV	21.2%	18.1%	26.4%	19.5%	20.1%
Skew 25d	3.0%	1.9%	4.3%	1.9%	3.4%
Skew 10d	6.0%	4.4%	8.8%	5.0%	8.3%
Call IV 25d	21.8%	17.2%	31.5%	17.3%	31.5%
Put IV 25d	24.8%	19.2%	34.9%	19.2%	34.9%
Bid-Ask Spread %	61.59	53.65	70.56	60.11	66.15
Gamma HHI	0.09	0.04	0.39	0.05	0.33
Net GEX	66.4M	-165.6M	206.8M	130.7M	206.8M
Net DEX	-2.35B	-3.83B	-1.00B	-3.50B	-1.49B
Net VEX	-15.6M	-17.3M	-13.1M	-13.1M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.80	1.77	0.95	0.86
Total Volume	827,161.818	482,080	1,342,160	612,540	911,900
Total OI	3,953,369.091	3,221,480	4,656,020	3,327,240	3,939,980

Daily Data (22 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
2015-12-01	$38.35	$35.00	18.0%	5.4%	19.3%	14.9%	19.5%	1.9%	0.4%	130.7M	-3.50B	-13.1M	0.95	60.11	313,640	298,900	1,635,700	1,691,540
2015-12-02	$38.14	$35.00	18.6%	5.6%	19.5%	17.3%	19.5%	2.5%	0.4%	117.1M	-3.36B	-13.7M	1.45	58.12	360,360	523,780	1,746,280	1,932,760
2015-12-03	$37.69	$32.00	20.2%	6.0%	20.1%	23.3%	21.5%	2.7%	0.6%	19.2M	-2.49B	-14.5M	1.64	54.49	454,980	748,080	1,869,780	2,125,780
2015-12-04	$38.29	$32.00	17.9%	5.4%	20.7%	14.8%	19.6%	2.0%	0.5%	-165.6M	-3.83B	-14.0M	1.50	58.19	537,140	805,020	2,028,460	2,246,020
2015-12-07	$38.16	$32.75	18.9%	5.6%	20.8%	18.5%	20.3%	2.5%	0.4%	102.6M	-2.96B	-15.7M	1.31	53.65	228,100	297,760	1,801,100	1,886,260
2015-12-08	$38.16	$32.25	19.4%	5.7%	20.1%	20.5%	20.9%	2.2%	0.5%	83.6M	-3.06B	-15.8M	1.17	60.67	332,560	388,040	1,921,800	2,139,180
2015-12-09	$37.42	$32.50	21.6%	6.3%	21.6%	28.8%	22.9%	2.9%	0.5%	-13.4M	-1.98B	-16.4M	1.04	61.22	448,780	468,680	1,947,220	2,211,240
2015-12-10	$37.40	$32.75	21.4%	6.3%	21.6%	27.9%	22.7%	3.0%	0.8%	-5.1M	-2.07B	-16.7M	1.12	61.92	437,720	489,040	2,096,760	2,323,020
2015-12-11	$36.93	$33.00	25.9%	7.5%	22.1%	45.5%	26.4%	3.3%	0.1%	-101.3M	-1.00B	-17.3M	1.23	59.81	589,740	725,720	2,183,620	2,472,400
2015-12-14	$37.38	$33.00	24.6%	7.1%	21.4%	40.5%	25.5%	3.3%	1.6%	57.2M	-2.12B	-16.9M	0.80	57.64	379,000	303,820	2,013,400	2,273,460
2015-12-15	$37.23	$33.25	23.4%	6.7%	20.9%	35.6%	24.0%	3.2%	1.6%	65.3M	-2.00B	-16.7M	1.01	60.89	325,040	327,960	2,089,760	2,295,620
2015-12-16	$37.90	$33.25	20.5%	5.9%	21.6%	24.5%	21.4%	3.0%	1.4%	167.2M	-2.99B	-16.2M	1.10	66.56	367,500	404,900	2,112,280	2,320,460
2015-12-17	$37.58	$33.50	21.1%	5.9%	20.8%	26.8%	20.8%	2.8%	2.1%	95.0M	-2.44B	-15.9M	1.20	70.56	325,360	391,960	2,137,600	2,393,420
2015-12-18	$37.09	$33.50	22.7%	6.4%	21.3%	32.8%	22.3%	3.4%	0.8%	30.3M	-1.47B	-15.7M	1.15	65.05	543,340	624,980	2,165,380	2,410,780
2015-12-21	$37.36	$33.50	23.1%	6.2%	20.0%	34.5%	21.8%	4.3%	8.2%	37.0M	-1.53B	-15.8M	1.15	53.92	229,300	264,240	1,528,660	1,692,820
2015-12-22	$37.47	$33.50	21.7%	5.6%	20.0%	29.0%	20.4%	3.4%	8.3%	101.7M	-1.72B	-15.7M	1.49	60.31	193,580	288,500	1,618,060	1,744,340
2015-12-23	$37.48	$33.75	21.2%	5.3%	19.7%	27.2%	19.0%	3.8%	8.6%	130.7M	-1.77B	-15.4M	1.48	63.96	299,060	443,300	1,652,400	1,790,340
2015-12-24	$37.42	$34.25	23.1%	5.1%	19.7%	34.5%	18.1%	2.6%	8.6%	108.7M	-1.74B	-15.6M	1.42	64.73	237,740	338,740	1,741,820	1,946,780
2015-12-28	$38.13	$34.25	28.5%	5.5%	20.8%	55.4%	19.4%	4.2%	0.3%	138.5M	-2.30B	-15.3M	1.63	65.30	324,920	528,160	1,613,060	1,765,580
2015-12-29	$38.86	$34.25	30.1%	5.4%	21.3%	61.4%	19.3%	3.2%	-0.5%	151.2M	-3.25B	-15.4M	1.50	64.57	423,780	637,560	1,697,620	1,898,400
2015-12-30	$38.55	$34.75	31.8%	5.6%	18.3%	67.8%	20.7%	3.1%	-0.1%	3.4M	-2.61B	-15.8M	1.77	67.12	228,860	406,020	1,792,800	2,080,380
2015-12-31	$38.00	$35.00	32.9%	5.8%	18.9%	72.0%	20.1%	3.4%	-0.4%	206.8M	-1.49B	-15.6M	0.86	66.15	489,840	422,060	1,817,600	2,122,380