GOOG Options History — December 2016

In December 2016, GOOG traded between $37.39 and $40.08. ATM implied volatility averaged 18.9%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.0% (HV 20d: 18.9%). Max pain ranged from $38.00 to $38.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.98.

Notable Days

2016-12-09: Highest Volume — 773,200 contracts
2016-12-27: Largest IV spike — 31.3% change
2016-12-30: Highest IV Rank — 56.3%
2016-12-01: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.10	$37.39	$40.08	$37.39	$38.67
Max Pain	$38.37	$38.00	$38.50	$38.00	$38.50
ATM IV	18.9%	15.2%	28.4%	19.8%	28.4%
Expected Move	4.9%	4.3%	6.1%	6.1%	5.1%
HV 20d	18.9%	14.0%	25.3%	24.8%	14.0%
HV 60d	18.9%	18.6%	19.2%	19.0%	18.7%
IV Rank	22.8%	9.9%	56.3%	26.1%	56.3%
IV Percentile	29.9%	12.3%	80.2%	35.7%	80.2%
Term Structure	1.9%	-1.5%	9.8%	-0.1%	-1.5%
VWIV	17.4%	15.6%	21.3%	21.3%	17.4%
Skew 25d	2.6%	1.8%	4.4%	2.6%	4.4%
Skew 10d	4.9%	3.8%	6.9%	5.7%	6.9%
Call IV 25d	17.7%	13.9%	26.8%	18.8%	26.8%
Put IV 25d	20.3%	16.4%	31.2%	21.4%	31.2%
Bid-Ask Spread %	58.42	54.40	66.90	66.81	59.41
Gamma HHI	0.06	0.04	0.12	0.04	0.05
Net GEX	62.8M	-113.0M	295.7M	-113.0M	-42.3M
Net DEX	-1.03B	-2.83B	1.24B	1.24B	214.1M
Net VEX	-16.4M	-17.0M	-15.8M	-16.0M	-16.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.61	1.47	1.10	0.89
Total Volume	464,140.952	299,440	773,200	654,400	562,040
Total OI	4,566,180	3,990,540	5,101,420	4,608,700	4,442,540

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
2016-12-01	$37.39	$38.00	19.8%	6.1%	24.8%	26.1%	21.3%	2.6%	-0.1%	-113.0M	1.24B	-16.0M	1.10	66.81	310,880	343,520	2,223,400	2,385,300
2016-12-02	$37.50	$38.00	19.0%	5.9%	24.5%	23.2%	20.4%	2.7%	0.0%	-50.4M	1.05B	-16.7M	1.05	66.90	272,160	285,140	2,322,600	2,485,900
2016-12-05	$38.13	$38.25	17.7%	5.2%	25.3%	18.6%	18.4%	2.5%	0.5%	-20.6M	-63.1M	-16.4M	0.76	56.38	244,940	185,780	2,173,640	2,349,540
2016-12-06	$37.89	$38.25	17.9%	5.2%	23.6%	19.3%	18.3%	2.2%	0.3%	-34.5M	223.0M	-16.1M	0.68	57.17	257,420	175,300	2,236,620	2,383,700
2016-12-07	$38.50	$38.25	16.8%	5.1%	23.7%	15.3%	18.2%	1.9%	1.0%	57.4M	-724.4M	-16.7M	0.71	58.76	251,240	178,780	2,296,480	2,413,500
2016-12-08	$38.80	$38.25	16.7%	4.9%	23.7%	15.2%	17.5%	1.9%	0.4%	129.0M	-1.20B	-16.7M	1.05	59.42	235,360	247,360	2,325,420	2,430,740
2016-12-09	$39.44	$38.25	15.9%	4.7%	21.6%	12.2%	17.8%	1.8%	0.4%	165.5M	-2.27B	-16.6M	0.91	58.73	404,120	369,080	2,342,520	2,499,320
2016-12-12	$39.38	$38.25	16.8%	4.8%	21.1%	15.5%	17.6%	2.3%	0.1%	124.5M	-1.69B	-16.7M	0.88	54.92	209,720	183,980	2,265,980	2,430,380
2016-12-13	$39.94	$38.25	17.0%	4.9%	19.5%	16.0%	17.2%	2.0%	0.0%	232.0M	-2.64B	-16.8M	0.61	57.87	349,160	214,640	2,326,380	2,470,500
2016-12-14	$40.08	$38.50	17.4%	5.0%	16.4%	17.6%	18.0%	2.3%	-0.2%	260.5M	-2.83B	-17.0M	0.68	57.75	265,320	179,540	2,408,900	2,524,840
2016-12-15	$39.92	$38.50	16.3%	4.6%	16.6%	13.6%	16.4%	2.3%	-0.1%	295.7M	-2.58B	-16.6M	0.95	57.28	247,320	234,400	2,460,340	2,547,860
2016-12-16	$39.59	$38.50	16.1%	4.6%	16.8%	12.8%	16.5%	2.2%	0.2%	73.9M	-1.87B	-16.3M	0.86	58.00	322,800	277,840	2,498,180	2,603,240
2016-12-19	$39.60	$38.50	15.4%	4.4%	16.2%	10.7%	15.7%	2.6%	7.4%	88.2M	-1.31B	-16.2M	1.35	54.40	208,280	281,120	1,979,020	2,011,520
2016-12-20	$39.78	$38.50	15.2%	4.4%	16.0%	9.9%	16.3%	2.3%	8.0%	94.5M	-1.46B	-16.3M	1.34	56.46	132,040	177,300	2,019,220	2,118,600
2016-12-21	$39.69	$38.50	15.6%	4.5%	16.1%	11.1%	16.9%	2.3%	8.4%	88.7M	-1.35B	-16.3M	1.47	57.02	178,420	262,800	2,045,940	2,147,100
2016-12-22	$39.54	$38.50	17.6%	4.5%	15.5%	18.2%	16.2%	2.5%	9.2%	47.6M	-1.11B	-16.5M	1.03	58.36	147,780	151,660	2,094,180	2,265,600
2016-12-23	$39.42	$38.50	18.8%	4.3%	15.6%	22.5%	15.6%	2.5%	9.8%	-20.2M	-933.4M	-16.4M	1.08	60.02	165,060	178,340	2,131,680	2,299,280
2016-12-27	$39.59	$38.50	24.7%	4.4%	15.2%	43.2%	15.8%	3.8%	-1.3%	38.4M	-1.17B	-15.8M	1.06	57.62	145,580	154,840	2,022,180	2,217,080
2016-12-28	$39.20	$38.50	27.0%	4.8%	15.7%	51.4%	17.5%	4.3%	-1.5%	-27.8M	-584.3M	-15.9M	0.85	56.69	197,180	168,420	2,056,060	2,244,720
2016-12-29	$39.13	$38.50	26.9%	4.8%	14.7%	51.0%	16.6%	4.2%	-1.4%	-68.7M	-511.8M	-16.0M	1.20	56.88	177,700	212,600	2,108,320	2,281,460
2016-12-30	$38.67	$38.50	28.4%	5.1%	14.0%	56.3%	17.4%	4.4%	-1.5%	-42.3M	214.1M	-16.2M	0.89	59.41	296,900	265,140	2,133,620	2,308,920