GOOG Options History — January 2017

In January 2017, GOOG traded between $39.20 and $41.73. ATM implied volatility averaged 23.0%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 10.0% (HV 20d: 13.0%). Max pain ranged from $38.50 to $39.75. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-01-27: Highest Volume — 1,204,080 contracts
  • 2017-01-27: Largest IV drop — 33.2% change
  • 2017-01-03: Highest IV Rank — 53.4%
  • 2017-01-26: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.38$39.20$41.73$39.20$39.84
Max Pain$39.05$38.50$39.75$38.50$39.75
ATM IV23.0%15.2%27.6%27.6%17.0%
Expected Move6.3%4.4%7.1%5.0%5.0%
HV 20d13.0%11.0%17.0%14.6%16.4%
HV 60d18.6%17.9%19.1%18.9%18.8%
IV Rank38.1%10.6%53.4%53.4%17.6%
IV Percentile53.5%12.3%75.8%75.8%22.2%
Term Structure-1.1%-1.6%0.3%-1.5%0.3%
VWIV22.6%15.7%25.8%18.2%17.9%
Skew 25d3.5%1.9%4.7%3.7%2.1%
Skew 10d6.8%3.7%9.2%6.5%4.7%
Call IV 25d21.6%14.4%25.6%25.6%16.2%
Put IV 25d25.1%16.3%29.3%29.3%18.3%
Bid-Ask Spread %48.0432.5968.2464.2061.37
Gamma HHI0.070.040.310.040.04
Net GEX100.2M-20.6M388.1M47.1M-20.6M
Net DEX-1.64B-2.43B-274.7M-717.8M-274.7M
Net VEX-15.5M-17.5M-14.6M-16.0M-17.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.601.230.840.78
Total Volume512,852290,6801,204,080513,640617,220
Total OI3,985,7752,609,9404,671,6804,212,6803,314,560

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$39.20$38.5027.6%5.0%14.6%53.4%18.2%3.7%-1.5%47.1M-717.8M-16.0M0.8464.20278,920234,7202,031,2802,181,400
2017-01-04$39.32$38.5026.7%4.6%13.6%50.4%15.9%3.6%-1.5%69.1M-851.4M-16.0M1.1168.24142,740157,9002,093,9802,259,900
2017-01-05$39.67$39.0026.5%6.9%13.5%49.7%24.2%3.8%-1.4%148.5M-1.32B-15.9M0.8632.59227,120196,4202,124,7402,274,700
2017-01-06$40.35$39.0025.3%6.8%13.6%45.3%24.1%3.9%-1.0%107.9M-2.43B-15.7M0.8335.09343,320284,6402,163,5402,319,620
2017-01-09$40.36$39.0026.0%7.0%13.5%47.7%25.8%4.0%-1.2%104.6M-2.01B-15.5M1.0633.15178,060188,6402,078,8602,269,560
2017-01-10$40.27$39.0026.0%7.0%12.4%47.8%25.3%4.1%-1.4%102.8M-1.89B-15.4M1.0738.49158,300169,5402,114,2202,320,400
2017-01-11$40.36$39.0025.0%6.8%12.4%44.2%25.3%4.4%-1.3%123.0M-1.98B-15.4M1.1539.42135,060155,6202,150,8602,365,240
2017-01-12$40.30$39.0025.6%7.0%11.4%46.3%25.5%4.7%-1.6%125.5M-1.91B-15.5M0.8738.83220,420192,4002,182,1802,393,520
2017-01-13$40.40$39.0024.6%6.8%11.4%43.0%24.5%4.2%-1.6%388.1M-2.21B-15.3M0.9037.93262,200235,7402,245,1002,426,580
2017-01-17$40.19$39.0024.4%6.9%11.5%42.1%25.5%4.0%-1.3%106.2M-1.84B-15.0M1.0042.15185,400184,5602,190,0802,350,260
2017-01-18$40.22$39.0022.9%6.6%11.0%37.0%24.3%4.1%-1.5%113.2M-2.12B-14.7M1.1644.03148,780173,1202,233,2602,343,360
2017-01-19$40.13$39.0023.1%6.7%11.0%37.6%24.5%4.0%-1.5%91.1M-1.95B-15.0M1.0946.08173,560189,4002,267,2602,380,820
2017-01-20$40.18$39.0021.0%6.1%11.0%31.4%22.1%3.7%-1.2%61.4M-2.39B-14.6M1.2351.40234,440289,1802,295,4802,374,980
2017-01-23$40.99$39.0021.6%6.6%12.9%34.6%24.0%3.5%-1.0%49.4M-1.31B-14.7M0.6046.06363,460219,3801,364,2601,245,680
2017-01-24$41.24$39.0020.8%6.4%12.8%31.8%23.1%2.6%-0.8%80.3M-1.57B-15.1M1.0750.76193,400206,8201,480,9201,335,200
2017-01-25$41.73$39.0021.2%6.6%13.1%33.2%23.9%3.4%-1.2%99.2M-1.95B-15.7M0.9055.10227,160204,7201,544,2801,394,040
2017-01-26$41.65$39.0022.7%7.1%13.2%38.9%25.1%2.7%-1.6%103.6M-1.95B-15.8M0.8553.01499,560426,4801,626,1801,458,540
2017-01-27$41.11$39.5015.2%4.4%13.6%10.6%15.7%1.9%0.2%98.3M-1.61B-15.5M0.7960.27674,340529,7401,811,7801,691,480
2017-01-30$40.05$39.7517.6%5.2%17.0%19.9%18.3%2.3%0.1%5.2M-449.3M-15.9M0.7462.59433,680320,8801,611,6201,405,780
2017-01-31$39.84$39.7517.0%5.0%16.4%17.6%17.9%2.1%0.3%-20.6M-274.7M-17.5M0.7861.37346,320270,9001,775,6201,538,940