GOOG Options History — January 2016

In January 2016, GOOG traded between $34.67 and $37.16. ATM implied volatility averaged 38.3%, placing in the 91.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 12.8% (HV 20d: 25.5%). Max pain ranged from $36.38 to $40.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.82.

Notable Days

2016-01-15: Highest Volume — 854,000 contracts
2016-01-13: Largest IV spike — 13.6% change
2016-01-13: Highest IV Rank — 100.0%
2016-01-27: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.92	$34.67	$37.16	$37.00	$36.78
Max Pain	$37.80	$36.38	$40.00	$40.00	$36.38
ATM IV	38.3%	35.6%	40.8%	37.2%	36.6%
Expected Move	10.7%	9.4%	12.1%	9.5%	11.6%
HV 20d	25.5%	19.9%	32.3%	20.8%	32.3%
HV 60d	24.7%	21.7%	27.1%	24.8%	24.0%
IV Rank	91.7%	82.5%	100.0%	88.6%	84.4%
IV Percentile	96.2%	89.7%	100.0%	96.8%	89.7%
Term Structure	-2.3%	-3.3%	-1.6%	-2.5%	-2.0%
VWIV	37.3%	33.1%	41.8%	33.1%	40.4%
Skew 25d	5.2%	4.2%	6.1%	4.9%	5.1%
Skew 10d	9.2%	5.9%	11.1%	9.3%	7.2%
Call IV 25d	35.5%	32.4%	38.4%	34.6%	34.5%
Put IV 25d	40.7%	37.9%	43.5%	39.6%	39.6%
Bid-Ask Spread %	31.82	22.34	38.97	22.34	36.45
Gamma HHI	0.05	0.03	0.25	0.04	0.05
Net GEX	19.5M	-140.2M	176.8M	-7.4M	152.6M
Net DEX	-261.5M	-1.25B	893.9M	-946.4M	-1.09B
Net VEX	-15.7M	-17.0M	-14.8M	-15.5M	-17.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.57	1.06	0.76	0.97
Total Volume	625,321.053	433,680	854,000	603,360	483,780
Total OI	3,412,581.053	2,618,320	4,174,560	3,469,560	3,334,840

Daily Data (19 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
2016-01-04	$37.00	$40.00	37.2%	9.5%	20.8%	88.6%	33.1%	4.9%	-2.5%	-7.4M	-946.4M	-15.5M	0.76	22.34	343,780	259,580	1,707,440	1,762,120
2016-01-05	$37.15	$39.75	36.5%	9.4%	19.9%	86.0%	33.1%	4.2%	-2.1%	35.7M	-1.25B	-16.0M	0.83	27.38	284,500	235,740	1,837,780	1,858,680
2016-01-06	$37.16	$39.50	37.0%	9.4%	19.9%	87.9%	33.3%	4.7%	-2.1%	37.6M	-1.24B	-16.0M	0.98	22.45	254,460	248,200	1,881,600	1,907,220
2016-01-07	$36.41	$39.00	39.7%	10.1%	21.0%	98.4%	35.1%	4.8%	-2.7%	-46.2M	-350.9M	-15.7M	0.78	28.08	354,620	276,220	1,933,380	1,960,420
2016-01-08	$35.67	$38.50	39.8%	10.3%	21.2%	98.7%	35.7%	4.2%	-2.9%	-140.2M	388.4M	-15.6M	0.75	25.95	439,140	328,720	2,016,680	1,995,760
2016-01-11	$35.86	$38.25	38.2%	10.1%	21.3%	92.5%	34.3%	4.9%	-2.2%	-31.8M	-205.1M	-15.1M	0.73	27.99	317,740	233,280	1,827,340	1,803,020
2016-01-12	$36.38	$38.00	35.6%	9.4%	21.7%	82.5%	33.1%	5.5%	-2.2%	7.5M	-898.5M	-15.3M	0.75	32.45	291,860	219,960	1,925,400	1,824,500
2016-01-13	$35.09	$38.00	40.5%	10.8%	24.5%	100.0%	36.6%	4.5%	-2.8%	-23.1M	356.7M	-14.8M	1.06	38.97	351,220	372,960	2,003,920	1,867,400
2016-01-14	$35.74	$37.75	37.7%	10.2%	25.7%	89.4%	35.3%	5.3%	-2.5%	7.3M	-243.1M	-15.4M	0.72	37.58	427,000	308,780	2,108,660	1,936,780
2016-01-15	$34.67	$37.50	40.1%	10.9%	26.4%	98.7%	38.0%	5.9%	-3.3%	-27.9M	893.9M	-14.8M	0.82	30.32	469,980	384,020	2,198,600	1,975,960
2016-01-19	$35.23	$37.50	38.8%	11.0%	27.4%	93.9%	38.2%	5.2%	-1.6%	10.1M	328.7M	-15.0M	0.79	32.94	293,880	233,120	1,355,080	1,263,240
2016-01-20	$34.95	$37.25	40.8%	11.7%	27.2%	100.0%	41.3%	6.1%	-2.5%	7.2M	467.7M	-15.2M	0.57	33.21	490,360	277,900	1,433,440	1,318,300
2016-01-21	$35.44	$37.00	39.7%	11.5%	27.6%	95.8%	39.8%	6.0%	-2.1%	65.0M	-107.4M	-16.0M	0.82	31.79	344,560	282,600	1,607,760	1,357,140
2016-01-22	$36.20	$36.75	37.4%	10.9%	28.8%	87.2%	38.0%	5.9%	-2.3%	176.8M	-741.0M	-16.5M	0.96	33.29	400,640	382,960	1,645,100	1,408,640
2016-01-25	$35.60	$36.75	39.0%	11.8%	29.3%	93.0%	40.6%	6.0%	-2.1%	22.8M	11.5M	-15.9M	0.87	34.65	254,680	221,560	1,458,860	1,317,160
2016-01-26	$35.59	$36.75	37.0%	11.4%	29.3%	85.8%	39.6%	5.7%	-1.8%	25.1M	50.0M	-15.9M	0.83	34.97	236,620	197,060	1,541,720	1,370,300
2016-01-27	$35.00	$36.75	38.9%	12.1%	28.6%	92.9%	41.8%	5.8%	-2.2%	-7.0M	458.4M	-15.5M	0.71	35.94	312,520	220,720	1,592,240	1,417,780
2016-01-28	$36.52	$36.75	37.3%	11.7%	32.2%	86.8%	41.4%	4.8%	-2.1%	107.4M	-843.8M	-16.6M	0.81	37.84	467,900	378,480	1,632,060	1,452,720
2016-01-29	$36.78	$36.38	36.6%	11.6%	32.3%	84.4%	40.4%	5.1%	-2.0%	152.6M	-1.09B	-17.0M	0.97	36.45	245,440	238,340	1,751,380	1,583,460