GOOG Options History — November 2016

In November 2016, GOOG traded between $36.83 and $39.63. ATM implied volatility averaged 19.5%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.2% (HV 20d: 21.7%). Max pain ranged from $38.00 to $39.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2016-11-10: Highest Volume — 792,480 contracts
2016-11-14: Largest IV spike — 18.3% change
2016-11-14: Highest IV Rank — 42.6%
2016-11-14: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.34	$36.83	$39.63	$39.16	$38.02
Max Pain	$38.35	$38.00	$39.50	$39.50	$38.00
ATM IV	19.5%	17.2%	24.5%	19.3%	18.6%
Expected Move	5.7%	4.9%	7.0%	6.1%	5.6%
HV 20d	21.7%	15.0%	24.9%	15.0%	24.8%
HV 60d	16.5%	12.7%	18.7%	12.7%	18.7%
IV Rank	25.0%	16.8%	42.6%	24.4%	21.8%
IV Percentile	33.8%	18.7%	57.5%	34.9%	29.4%
Term Structure	-0.0%	-0.4%	0.5%	-0.0%	0.1%
VWIV	19.7%	17.8%	24.0%	21.1%	19.5%
Skew 25d	3.1%	2.5%	4.0%	4.0%	2.5%
Skew 10d	5.8%	4.2%	7.9%	5.9%	4.4%
Call IV 25d	18.1%	15.9%	22.9%	17.5%	17.6%
Put IV 25d	21.2%	18.5%	26.3%	21.5%	20.0%
Bid-Ask Spread %	59.36	48.24	69.72	66.93	68.72
Gamma HHI	0.06	0.04	0.10	0.04	0.05
Net GEX	-32.2M	-140.8M	92.1M	18.7M	-90.4M
Net DEX	110.0M	-1.36B	1.68B	-379.9M	386.9M
Net VEX	-17.5M	-18.4M	-16.6M	-18.4M	-16.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.53	1.46	0.77	0.91
Total Volume	541,206.667	346,780	792,480	567,800	440,980
Total OI	4,539,248.571	4,276,620	5,034,600	4,340,820	4,512,540

Daily Data (21 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
2016-11-01	$39.16	$39.50	19.3%	6.1%	15.0%	24.4%	21.1%	4.0%	-0.0%	18.7M	-379.9M	-18.4M	0.77	66.93	321,160	246,640	2,195,360	2,145,460
2016-11-02	$38.50	$39.25	20.5%	6.6%	16.2%	28.5%	22.6%	3.1%	-0.2%	-35.9M	324.3M	-18.2M	0.63	64.32	327,920	207,780	2,254,360	2,201,260
2016-11-03	$38.03	$38.50	21.1%	5.9%	16.7%	30.5%	19.1%	3.8%	-0.1%	-76.6M	893.3M	-17.7M	0.53	48.24	408,960	216,280	2,316,020	2,236,500
2016-11-04	$38.10	$38.50	21.3%	6.1%	16.7%	31.4%	20.1%	4.0%	-0.3%	-52.8M	645.1M	-17.9M	0.81	50.68	300,340	243,580	2,387,220	2,243,100
2016-11-07	$39.07	$38.50	18.7%	5.4%	18.1%	22.1%	18.7%	3.9%	0.5%	31.4M	-596.8M	-17.9M	0.69	53.78	271,400	188,560	2,154,620	2,140,100
2016-11-08	$39.63	$38.50	17.6%	5.2%	18.7%	18.2%	18.2%	3.6%	0.3%	92.1M	-1.36B	-17.8M	0.72	57.88	249,100	179,800	2,207,140	2,182,560
2016-11-09	$39.21	$38.50	18.1%	5.2%	19.0%	19.9%	18.4%	2.9%	0.0%	69.9M	-837.9M	-17.8M	0.79	58.04	300,280	236,700	2,236,420	2,202,820
2016-11-10	$38.04	$38.50	20.8%	6.0%	21.5%	29.7%	20.6%	2.9%	0.1%	-71.8M	633.9M	-17.9M	0.73	58.43	456,820	335,660	2,312,820	2,266,740
2016-11-11	$37.64	$38.50	20.7%	5.9%	21.8%	29.2%	20.6%	2.5%	-0.1%	-140.8M	1.18B	-17.5M	0.66	56.46	384,780	254,320	2,415,360	2,344,840
2016-11-14	$36.83	$38.50	24.5%	7.0%	22.8%	42.6%	24.0%	3.4%	-0.4%	-81.3M	1.68B	-16.8M	0.64	52.63	375,900	241,120	2,288,480	2,240,680
2016-11-15	$38.04	$38.50	21.6%	6.2%	24.6%	32.3%	21.6%	3.3%	-0.3%	-29.1M	287.4M	-18.0M	0.73	53.18	383,560	280,180	2,376,900	2,325,160
2016-11-16	$38.19	$38.00	21.2%	6.1%	24.5%	31.0%	20.8%	3.6%	-0.1%	-8.6M	21.9M	-17.7M	0.77	53.72	355,740	274,900	2,438,400	2,372,180
2016-11-17	$38.53	$38.00	20.3%	5.8%	24.8%	27.9%	20.5%	2.9%	-0.1%	27.4M	-516.4M	-17.9M	1.01	56.86	315,940	319,360	2,468,780	2,419,560
2016-11-18	$38.11	$38.00	19.4%	5.6%	24.9%	24.7%	19.6%	2.9%	-0.1%	-42.4M	245.6M	-17.8M	1.13	60.08	331,200	373,160	2,532,420	2,502,180
2016-11-21	$38.42	$38.00	17.2%	4.9%	24.2%	16.8%	17.9%	2.5%	-0.1%	-34.8M	-193.2M	-17.2M	1.46	59.15	171,620	250,580	2,052,540	2,224,080
2016-11-22	$38.41	$38.00	17.5%	5.0%	24.1%	18.0%	17.8%	2.5%	-0.2%	-64.5M	-145.6M	-17.3M	1.20	62.42	214,760	258,760	2,087,420	2,284,800
2016-11-23	$37.97	$38.00	18.0%	5.1%	24.3%	19.6%	17.9%	2.5%	0.1%	-128.2M	573.6M	-17.0M	0.71	62.33	274,840	195,840	2,116,140	2,322,740
2016-11-25	$38.08	$38.00	17.8%	5.2%	24.3%	19.1%	18.2%	2.8%	-0.1%	-10.6M	367.5M	-16.6M	0.96	65.82	185,840	177,780	2,201,080	2,362,100
2016-11-28	$38.53	$38.00	17.7%	5.2%	24.8%	18.5%	18.2%	2.5%	0.1%	-29.7M	-418.4M	-16.9M	0.84	67.09	253,400	213,020	2,051,500	2,255,260
2016-11-29	$38.57	$38.00	17.7%	5.3%	24.4%	18.7%	18.7%	2.5%	0.1%	-18.5M	-484.6M	-16.9M	1.01	69.72	172,560	174,220	2,125,020	2,321,560
2016-11-30	$38.02	$38.00	18.6%	5.6%	24.8%	21.8%	19.5%	2.5%	0.1%	-90.4M	386.9M	-16.7M	0.91	68.72	230,400	210,580	2,168,440	2,344,100