GOOG Options History — May 2016

In May 2016, GOOG traded between $34.65 and $36.81. ATM implied volatility averaged 18.5%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.8% (HV 20d: 22.2%). Max pain ranged from $36.00 to $36.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-05-27: Highest Volume — 904,580 contracts
  • 2016-05-20: Largest IV drop — 8.1% change
  • 2016-05-03: Highest IV Rank — 19.0%
  • 2016-05-03: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.65$34.65$36.81$34.94$36.81
Max Pain$36.15$36.00$36.50$36.50$36.00
ATM IV18.5%16.6%20.8%19.9%17.4%
Expected Move5.3%4.5%6.1%5.8%4.7%
HV 20d22.2%15.8%25.6%24.5%16.0%
HV 60d19.8%19.3%21.3%21.3%19.7%
IV Rank9.5%1.8%19.0%15.3%5.1%
IV Percentile13.1%0.8%31.3%23.4%4.4%
Term Structure0.3%-0.1%0.8%0.2%-0.1%
VWIV18.4%15.4%21.0%20.1%17.4%
Skew 25d2.6%2.1%3.0%2.6%2.5%
Skew 10d5.0%3.5%6.6%4.5%6.6%
Call IV 25d17.2%15.3%19.3%18.7%16.5%
Put IV 25d19.8%17.7%22.2%21.4%19.0%
Bid-Ask Spread %55.8947.2164.1257.8259.70
Gamma HHI0.100.050.520.050.05
Net GEX127.9M-23.7M503.7M-17.6M152.7M
Net DEX-119.9M-1.98B1.23B977.8M-1.31B
Net VEX-15.7M-16.3M-14.8M-15.5M-16.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.471.660.571.66
Total Volume529,059.048269,040904,580482,120714,740
Total OI3,834,0003,243,3004,280,0603,665,7403,469,440

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$34.94$36.5019.9%5.8%24.5%15.3%20.1%2.6%0.2%-17.6M977.8M-15.5M0.5757.82307,120175,0001,836,3001,829,440
2016-05-03$34.65$36.5020.8%6.1%24.4%19.0%21.0%3.0%0.2%-23.7M1.23B-15.2M0.7960.38219,280173,7401,923,0801,858,420
2016-05-04$34.83$36.5020.2%5.9%24.1%16.6%19.9%2.8%-0.0%6.4M1.04B-15.4M0.5356.53322,280169,9601,972,4401,881,080
2016-05-05$35.00$36.2520.4%5.9%24.2%17.2%19.9%2.8%0.2%96.8M774.3M-15.5M0.5147.21325,700165,7802,060,6601,900,900
2016-05-06$35.54$36.2519.4%5.7%25.1%13.3%19.5%2.7%0.4%220.5M-235.3M-16.2M0.5047.55520,660261,6202,137,1001,916,160
2016-05-09$35.68$36.2519.1%5.6%25.2%12.2%19.5%2.5%0.5%90.0M-101.7M-16.3M0.6750.79259,720173,5201,951,8801,820,920
2016-05-10$36.16$36.2517.6%5.2%25.6%6.1%19.0%2.4%0.4%146.4M-732.0M-16.1M1.0452.36231,040240,2201,998,2001,861,100
2016-05-11$35.79$36.2518.3%5.3%25.3%9.0%18.7%2.1%0.2%73.7M-123.5M-16.1M1.0553.90219,780231,6402,028,9601,962,120
2016-05-12$35.68$36.2517.8%5.2%25.2%6.8%18.3%2.5%0.6%36.9M108.3M-16.0M0.8054.72294,560235,0802,065,3402,007,740
2016-05-13$35.54$36.2518.5%5.3%24.9%9.5%18.2%2.8%0.4%73.6M290.3M-15.9M0.7157.52261,780186,6002,130,7202,003,860
2016-05-16$35.81$36.0018.3%5.3%24.8%8.9%18.8%2.6%0.5%62.4M-102.4M-15.6M0.6657.85253,340166,9801,966,0801,871,920
2016-05-17$36.00$36.0018.5%5.3%24.5%9.6%18.7%2.6%0.7%104.6M-450.8M-15.8M0.6664.12162,300106,7402,030,0201,886,400
2016-05-18$35.31$36.0019.1%5.5%25.2%12.2%19.9%2.9%0.7%59.2M446.8M-15.3M0.5558.11313,000170,6802,172,3001,914,200
2016-05-19$35.06$36.0019.2%5.5%24.9%12.6%18.9%2.8%0.8%4.8M765.1M-15.2M0.4758.51345,900160,9202,246,6601,945,240
2016-05-20$35.48$36.0017.7%5.0%17.4%6.3%16.7%2.7%0.7%503.7M-81.4M-15.3M0.7354.10437,600319,1602,324,9801,955,080
2016-05-23$35.22$36.0018.0%5.0%17.5%7.5%17.1%3.0%0.1%28.1M100.7M-14.8M0.6757.11225,900151,4601,699,5201,543,780
2016-05-24$36.03$36.0017.1%4.7%17.9%4.2%16.8%2.7%0.2%190.9M-815.9M-15.3M0.7155.81375,040265,7601,775,1201,599,800
2016-05-25$36.24$36.0016.9%4.7%17.9%3.4%17.0%2.6%0.4%246.0M-1.21B-15.7M0.9454.22282,980266,0201,854,0601,664,180
2016-05-26$36.23$36.0016.6%4.5%15.8%1.8%16.2%2.6%0.2%308.7M-1.11B-16.0M1.0359.63252,080259,9801,905,0601,769,200
2016-05-27$36.63$36.0016.7%4.5%16.1%2.4%15.4%2.4%0.0%321.9M-1.98B-16.0M0.9555.80463,240441,3401,944,9801,829,560
2016-05-31$36.81$36.0017.4%4.7%16.0%5.1%17.4%2.5%-0.1%152.7M-1.31B-16.1M1.6659.70269,000445,7401,772,8201,696,620