GOOG Options History — September 2016

In September 2016, GOOG traded between $37.89 and $39.35. ATM implied volatility averaged 17.6%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.5% (HV 20d: 11.0%). Max pain ranged from $37.75 to $38.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-09-09: Highest Volume — 751,560 contracts
  • 2016-09-26: Largest IV spike — 31.3% change
  • 2016-09-29: Highest IV Rank — 46.5%
  • 2016-09-13: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.69$37.89$39.35$38.45$39.00
Max Pain$38.15$37.75$38.50$38.00$38.50
ATM IV17.6%13.0%25.6%14.1%24.5%
Expected Move4.8%3.2%6.7%3.8%4.0%
HV 20d11.0%4.8%15.2%7.1%15.2%
HV 60d14.5%13.1%15.9%15.5%13.3%
IV Rank18.2%2.0%46.5%6.1%42.7%
IV Percentile22.7%0.8%64.7%6.3%59.1%
Term Structure3.1%-1.4%10.2%0.3%-1.4%
VWIV17.1%11.0%23.6%13.3%14.7%
Skew 25d3.1%2.3%4.2%2.8%4.2%
Skew 10d5.9%4.3%7.8%5.8%7.4%
Call IV 25d16.0%11.8%24.2%13.0%22.4%
Put IV 25d19.1%14.2%27.8%15.8%26.6%
Bid-Ask Spread %47.5029.0478.7368.7851.47
Gamma HHI0.090.050.400.060.40
Net GEX78.6M-119.4M337.8M-20.6M337.8M
Net DEX-974.0M-1.80B-83.7M-933.3M-899.0M
Net VEX-17.7M-18.5M-16.9M-17.3M-18.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.801.231.070.81
Total Volume484,095.238308,820751,560384,000515,580
Total OI3,841,100.9523,251,4404,322,3403,850,2203,990,400

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$38.45$38.0014.1%3.8%7.1%6.1%13.3%2.8%0.3%-20.6M-933.3M-17.3M1.0768.78185,760198,2401,800,6002,049,620
2016-09-02$38.55$38.0013.0%3.2%4.8%2.0%11.0%2.3%0.4%93.1M-1.14B-16.9M0.8378.73302,660251,1601,824,3602,091,360
2016-09-06$38.95$38.2514.1%5.8%6.2%5.8%19.8%2.6%1.1%104.8M-1.62B-17.1M0.8029.06285,620227,6401,752,5201,966,820
2016-09-07$38.95$38.0014.2%5.8%6.0%6.5%21.2%2.6%1.1%125.1M-1.67B-17.2M1.0929.04159,880174,8201,835,2802,042,580
2016-09-08$38.83$37.7513.7%5.6%6.1%4.5%19.4%2.8%1.0%64.0M-1.43B-17.0M0.9940.08268,840264,8601,855,9002,082,080
2016-09-09$38.11$37.7516.0%6.3%8.8%12.7%21.6%3.3%0.6%-119.4M-129.3M-17.4M1.0139.83374,640376,9201,933,9802,181,280
2016-09-12$38.46$37.7515.7%6.0%9.5%11.7%21.2%3.4%5.1%-27.1M-868.3M-17.3M0.8644.97229,840198,3001,889,3602,100,180
2016-09-13$37.89$37.7518.1%6.7%10.7%20.2%23.6%3.9%5.1%-109.6M-83.7M-17.5M0.9641.10234,500224,4801,942,4002,133,980
2016-09-14$38.18$38.0017.1%6.2%11.0%16.4%21.8%3.7%4.5%-51.0M-532.9M-17.5M1.0241.83201,600205,4002,009,0402,170,020
2016-09-15$38.64$38.2516.9%5.8%11.9%15.6%21.2%3.7%3.9%98.9M-1.37B-17.6M0.8647.17267,280229,0602,015,2802,204,640
2016-09-16$38.36$38.2514.8%4.3%12.1%8.6%15.1%3.0%0.3%77.9M-766.7M-17.1M1.0050.85290,900290,0602,072,6202,249,720
2016-09-19$38.36$38.2514.3%4.1%12.1%6.6%14.7%3.2%9.3%35.9M-486.1M-17.2M0.9048.22227,920204,5801,615,3001,636,140
2016-09-20$38.59$38.2515.2%4.3%12.1%9.7%15.2%3.0%9.4%83.9M-731.5M-17.8M0.9647.57157,420151,4001,706,4801,706,880
2016-09-21$38.80$38.2514.5%4.1%12.3%7.2%14.8%3.2%9.8%148.1M-925.5M-17.6M0.9951.25197,120195,5401,742,6801,732,180
2016-09-22$39.35$38.3815.9%4.0%13.1%12.2%15.0%2.5%9.8%253.0M-1.80B-18.1M1.2249.06256,220313,3601,817,8601,777,140
2016-09-23$39.34$38.3818.0%4.0%13.1%19.8%14.7%2.4%10.2%175.7M-1.76B-18.3M1.0048.37316,500317,7801,851,3001,897,580
2016-09-26$38.71$38.3823.7%4.5%14.5%39.7%16.7%3.2%-1.3%51.4M-597.8M-18.4M1.2347.45206,460254,9201,768,0601,806,020
2016-09-27$39.16$38.3824.2%4.2%15.0%41.4%14.7%3.0%-1.0%151.8M-1.12B-18.5M0.9046.10229,520206,6001,827,2201,890,640
2016-09-28$39.02$38.3825.5%4.2%15.0%46.2%14.4%3.0%-1.4%117.8M-921.3M-18.5M0.9447.05253,920239,4001,869,3601,921,120
2016-09-29$38.84$38.3825.6%4.4%15.1%46.5%15.8%4.0%-1.4%59.8M-675.4M-18.5M1.1649.59221,680257,6201,949,8601,953,280
2016-09-30$39.00$38.5024.5%4.0%15.2%42.7%14.7%4.2%-1.4%337.8M-899.0M-18.3M0.8151.47285,340230,2401,993,3001,997,100