GOOG Options History — October 2016

In October 2016, GOOG traded between $38.60 and $40.61. ATM implied volatility averaged 26.2%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 11.7% (HV 20d: 14.5%). Max pain ranged from $38.50 to $39.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2016-10-28: Highest Volume — 1,424,620 contracts
  • 2016-10-28: Largest IV drop — 30.4% change
  • 2016-10-11: Highest IV Rank — 57.2%
  • 2016-10-26: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.44$38.60$40.61$38.60$39.23
Max Pain$38.95$38.50$39.50$38.50$39.50
ATM IV26.2%18.0%28.6%26.8%18.3%
Expected Move7.0%4.3%8.7%4.4%5.7%
HV 20d14.5%13.3%15.6%15.6%15.1%
HV 60d12.9%12.4%13.6%13.2%12.7%
IV Rank48.6%19.6%57.2%50.6%20.6%
IV Percentile66.7%23.0%77.4%69.0%26.2%
Term Structure-1.5%-2.3%-0.0%-0.9%-0.0%
VWIV24.6%15.2%30.2%15.4%19.7%
Skew 25d3.4%2.1%4.5%3.3%2.8%
Skew 10d5.5%3.4%7.1%5.0%5.3%
Call IV 25d24.5%16.6%26.7%24.3%16.8%
Put IV 25d28.0%19.6%30.8%27.6%19.6%
Bid-Ask Spread %48.9820.6464.2254.0764.22
Gamma HHI0.090.030.300.050.05
Net GEX111.7M15.5M233.3M17.4M15.5M
Net DEX-1.20B-2.28B-408.3M-408.3M-512.3M
Net VEX-18.3M-18.9M-17.7M-18.0M-18.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.541.290.860.69
Total Volume600,885.714392,2001,424,620439,340588,440
Total OI4,175,369.5243,693,6004,615,5003,693,6004,195,240

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$38.60$38.5026.8%4.4%15.6%50.6%15.4%3.3%-0.9%17.4M-408.3M-18.0M0.8654.07236,520202,8201,787,6601,905,940
2016-10-04$38.84$38.5026.1%4.3%15.3%48.3%15.2%3.4%-1.0%90.2M-768.4M-18.2M0.6255.77317,800195,7001,888,4201,971,240
2016-10-05$38.80$38.5027.3%4.4%15.3%52.3%15.7%2.1%-1.2%124.7M-888.8M-18.7M0.9956.04218,580217,4802,014,8001,999,380
2016-10-06$38.89$38.7527.2%7.1%15.3%52.2%24.4%2.4%-0.9%162.9M-864.3M-18.9M0.8520.64247,800209,7202,068,2002,063,580
2016-10-07$38.73$38.7526.8%7.1%13.7%50.6%24.7%3.7%-1.5%126.5M-531.3M-18.3M0.8024.66363,540290,9202,081,4002,091,280
2016-10-10$39.38$38.7526.7%7.0%14.6%50.2%24.5%4.3%-1.6%131.4M-1.27B-18.3M1.2125.64264,920319,9001,917,8002,005,780
2016-10-11$39.13$38.7528.6%7.5%13.6%57.2%26.6%4.5%-2.1%101.2M-1.01B-18.9M1.2924.75243,320314,6602,004,4602,073,340
2016-10-12$39.35$38.7526.9%7.2%13.5%51.1%25.1%4.5%-1.5%164.1M-1.32B-18.7M0.7451.03273,840203,3202,045,5202,124,460
2016-10-13$38.89$38.7527.7%7.4%13.7%53.7%26.3%3.6%-2.3%43.6M-618.4M-18.3M0.6053.43343,200205,1002,161,3802,139,000
2016-10-14$38.96$38.7526.2%7.2%13.3%48.6%24.9%3.2%-1.7%222.3M-755.3M-18.0M0.6254.44363,580226,7402,218,8802,155,320
2016-10-17$39.03$38.7526.9%7.6%13.3%51.1%26.7%4.1%-1.8%102.2M-886.1M-17.9M0.6155.19285,280175,0602,081,8402,054,460
2016-10-18$39.86$38.7528.3%8.0%15.1%56.1%27.0%3.9%-1.8%207.1M-2.04B-18.3M0.6356.33502,800315,9602,148,7002,095,220
2016-10-19$40.14$39.2528.2%8.1%15.2%55.7%27.4%4.2%-2.0%197.5M-2.28B-18.5M0.5755.16425,020242,7002,204,8002,201,920
2016-10-20$39.85$39.2527.4%7.9%14.7%52.6%28.3%3.5%-2.2%140.8M-1.79B-18.5M0.6353.81317,760198,6402,247,5202,275,300
2016-10-21$39.91$39.2527.5%8.1%14.7%53.1%28.0%3.3%-2.3%233.3M-1.89B-18.3M0.5455.37384,260207,6402,291,9002,305,560
2016-10-24$40.61$39.2525.6%7.9%14.5%46.6%28.0%3.0%-1.3%55.5M-1.91B-17.7M0.7347.06326,760237,0801,878,5801,959,460
2016-10-25$40.34$39.2526.6%8.4%14.4%50.1%29.6%3.0%-1.7%49.7M-1.71B-18.6M0.7948.87219,360172,8401,993,1202,051,720
2016-10-26$40.00$39.2527.3%8.7%14.7%52.5%30.2%2.8%-1.8%42.5M-1.40B-18.4M0.7348.08237,480172,3002,037,3402,087,360
2016-10-27$39.89$39.2525.8%8.3%14.6%47.2%29.0%2.9%-1.6%39.2M-1.29B-18.5M0.7060.29544,860380,2802,092,6002,146,780
2016-10-28$39.81$39.5018.0%5.4%14.6%19.6%19.6%3.0%-0.0%77.0M-1.12B-17.8M0.6763.68853,760570,8602,298,8402,316,660
2016-10-31$39.23$39.5018.3%5.7%15.1%20.6%19.7%2.8%-0.0%15.5M-512.3M-18.0M0.6964.22348,400240,0402,105,3802,089,860