GOOG Options History — July 2016

In July 2016, GOOG traded between $34.70 and $38.54. ATM implied volatility averaged 25.0%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.3% (HV 20d: 18.8%). Max pain ranged from $35.00 to $36.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-07-29: Highest Volume — 1,567,960 contracts
  • 2016-07-29: Largest IV drop — 43.7% change
  • 2016-07-07: Highest IV Rank — 48.9%
  • 2016-07-28: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.29$34.70$38.54$35.02$38.54
Max Pain$35.31$35.00$36.50$35.00$36.50
ATM IV25.0%14.6%28.3%27.3%14.6%
Expected Move6.9%4.2%8.4%4.2%4.2%
HV 20d18.8%12.7%21.3%20.6%15.9%
HV 60d19.2%16.8%21.0%20.5%17.9%
IV Rank35.9%0.0%48.9%44.6%0.0%
IV Percentile51.1%0.0%61.9%59.9%0.0%
Term Structure-1.5%-2.3%0.0%-1.2%0.0%
VWIV24.4%15.0%29.4%15.4%15.0%
Skew 25d3.7%1.6%4.8%4.0%1.6%
Skew 10d7.3%2.9%9.5%9.5%2.9%
Call IV 25d23.4%13.9%26.5%26.5%13.9%
Put IV 25d27.1%15.6%30.6%30.5%15.6%
Bid-Ask Spread %31.6620.4066.8166.8146.20
Gamma HHI0.170.040.640.640.34
Net GEX183.7M23.3M605.7M507.2M358.5M
Net DEX-1.21B-3.82B172.9M-678.4M-3.82B
Net VEX-17.8M-18.3M-16.2M-18.1M-16.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.611.750.720.68
Total Volume600,552384,0201,567,960731,1401,567,960
Total OI3,776,3913,345,2404,272,4803,924,1804,272,480

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$35.02$35.0027.3%4.2%20.6%44.6%15.4%4.0%-1.2%507.2M-678.4M-18.1M0.7266.81425,320305,8202,151,7001,772,480
2016-07-05$34.70$35.0027.8%7.2%20.6%46.6%25.4%3.4%-1.2%23.3M172.9M-17.6M0.8920.61211,340188,3201,928,3201,660,320
2016-07-06$34.90$35.0028.1%7.3%20.8%48.2%25.2%4.1%-1.5%73.1M-66.6M-17.8M0.7527.52302,500226,9201,991,3601,700,260
2016-07-07$34.74$35.0028.3%7.4%19.8%48.9%25.9%4.8%-1.5%54.7M143.5M-17.9M0.6123.94280,340169,8802,053,6601,756,320
2016-07-08$35.28$35.0026.5%6.9%20.8%41.3%24.2%4.0%-1.8%436.9M-826.4M-17.7M0.6121.99392,720239,5002,120,8601,776,080
2016-07-11$35.81$35.0025.8%6.9%21.1%38.7%24.2%4.1%-1.4%118.7M-891.6M-17.5M0.6620.40296,300195,5801,941,2401,676,320
2016-07-12$36.05$35.0025.0%6.7%21.2%35.3%23.5%3.2%-1.4%155.5M-1.19B-17.6M0.7324.87390,920283,7802,019,4601,724,680
2016-07-13$35.88$35.0025.3%6.8%21.3%36.6%25.3%3.8%-1.8%113.2M-989.5M-18.3M1.0527.86226,100237,7402,137,7401,847,860
2016-07-14$36.05$35.0025.1%6.8%21.3%35.5%24.3%4.4%-1.7%143.2M-1.20B-18.2M0.8827.11241,800213,5602,175,6201,907,420
2016-07-15$35.98$35.0024.5%6.7%20.9%33.1%23.4%3.8%-1.8%322.0M-1.12B-18.0M0.7628.73300,420229,5802,190,1201,937,420
2016-07-18$36.73$35.0024.6%6.9%19.3%33.7%24.1%4.0%-1.3%117.1M-1.40B-17.9M0.7529.12374,960282,2201,741,0401,604,200
2016-07-19$36.74$35.0025.6%7.2%19.3%37.7%25.0%3.8%-1.6%115.7M-1.43B-18.3M0.8428.13219,460185,0201,833,0801,717,760
2016-07-20$37.07$35.0024.4%7.0%19.5%32.7%25.0%4.5%-1.7%195.8M-1.85B-18.1M1.0929.92269,460294,0001,893,3001,760,360
2016-07-21$36.93$35.3824.5%7.1%19.6%33.1%25.2%3.9%-1.7%102.1M-1.60B-18.1M1.0931.50212,420230,5201,926,5201,857,600
2016-07-22$37.10$35.5024.4%7.2%19.6%32.9%26.0%4.0%-1.7%605.7M-1.91B-17.8M1.1735.18250,460293,7401,956,0001,887,700
2016-07-25$36.97$35.7524.0%7.4%14.8%31.1%26.7%4.0%-1.0%59.0M-1.29B-17.8M1.7534.89139,640244,3801,770,1801,713,640
2016-07-26$36.92$35.7524.8%7.7%13.3%34.5%27.7%3.4%-1.4%53.3M-1.23B-17.6M1.3833.79166,620229,9601,812,1001,783,460
2016-07-27$37.06$36.0024.7%7.8%12.7%34.1%27.9%2.6%-1.4%56.6M-1.45B-17.9M1.0639.71225,620238,4001,857,3801,855,960
2016-07-28$37.33$36.2525.9%8.4%12.7%38.9%29.4%2.4%-2.3%63.2M-1.66B-18.2M0.6934.99724,520503,2401,907,4201,908,400
2016-07-29$38.54$36.5014.6%4.2%15.9%0.0%15.0%1.6%0.0%358.5M-3.82B-16.2M0.6846.20934,760633,2002,217,9402,054,540