GOOG Options History — September 2017

In September 2017, GOOG traded between $45.79 and $47.93. ATM implied volatility averaged 17.3%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.3% (HV 20d: 13.0%). Max pain ranged from $46.00 to $46.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2017-09-15: Highest Volume — 825,340 contracts
  • 2017-09-25: Largest IV spike — 26.0% change
  • 2017-09-29: Highest IV Rank — 77.5%
  • 2017-09-07: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.56$45.79$47.93$46.88$47.93
Max Pain$46.14$46.00$46.50$46.00$46.25
ATM IV17.3%13.7%24.8%13.9%24.8%
Expected Move4.6%3.6%5.0%3.6%4.7%
HV 20d13.0%11.2%14.3%13.7%13.5%
HV 60d16.9%15.6%19.0%19.0%15.7%
IV Rank36.1%16.4%77.5%17.2%77.5%
IV Percentile42.7%15.9%83.3%18.3%83.3%
Term Structure2.2%-0.8%8.4%0.2%-0.7%
VWIV16.2%13.2%17.5%13.2%16.6%
Skew 25d1.8%0.8%2.9%1.7%1.8%
Skew 10d3.4%0.7%6.0%3.4%4.9%
Call IV 25d16.6%13.3%24.4%13.5%24.4%
Put IV 25d18.3%14.8%26.2%15.2%26.2%
Bid-Ask Spread %51.2641.8660.3750.7459.00
Gamma HHI0.100.040.810.090.05
Net GEX67.5M-2.61B363.9M97.2M274.7M
Net DEX-3.11B-5.61B-1.56B-4.28B-5.61B
Net VEX-36.8M-38.4M-35.8M-37.7M-37.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.591.080.700.92
Total Volume564,566394,400825,340572,840727,320
Total OI5,892,8705,267,2806,507,9406,140,6806,009,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$46.88$46.0013.9%3.6%13.7%17.2%13.2%1.7%0.2%97.2M-4.28B-37.7M0.7050.74336,280236,5603,426,2002,714,480
2017-09-05$46.41$46.0016.4%4.9%14.1%30.9%17.5%2.9%0.2%164.3M-2.87B-36.7M0.7347.62323,120236,8003,312,4602,558,400
2017-09-06$46.38$46.0016.2%4.9%14.1%29.8%17.4%1.9%0.2%184.4M-2.93B-37.9M0.5945.39357,880210,6603,416,4602,621,320
2017-09-07$46.81$46.0015.7%5.0%14.3%27.3%17.5%2.1%0.5%363.9M-3.87B-37.9M0.7744.67288,820221,1003,507,7002,667,300
2017-09-08$46.32$46.2515.8%4.9%13.7%27.4%16.7%2.2%-0.1%151.7M-2.74B-37.0M0.7848.73338,280264,8403,530,7602,699,200
2017-09-11$46.43$46.5014.6%4.6%13.5%21.3%16.4%1.9%1.4%194.1M-2.93B-36.3M0.7047.23297,160209,5003,430,0202,662,400
2017-09-12$46.59$46.5013.7%4.6%13.3%16.4%16.3%1.4%2.3%263.0M-3.34B-36.4M0.7742.71305,320235,5203,508,2002,695,200
2017-09-13$46.74$46.2513.9%4.4%13.3%17.3%15.8%1.7%1.6%350.7M-3.79B-37.0M0.9045.39237,440213,7803,576,6202,731,820
2017-09-14$46.27$46.5015.0%4.8%13.8%23.4%16.9%1.5%1.4%148.5M-2.63B-36.5M0.9656.87266,120256,5203,616,0402,768,560
2017-09-15$45.99$46.5014.6%4.5%13.0%21.3%15.9%1.6%1.4%-2.61B-1.83B-36.2M1.0750.50398,580426,7603,681,1202,826,820
2017-09-18$45.79$46.0015.7%4.6%13.1%27.2%16.3%1.3%6.6%68.5M-1.56B-36.1M0.7949.19289,360228,6602,948,8202,318,460
2017-09-19$46.07$46.0014.7%4.3%13.0%21.6%15.1%1.3%7.2%137.8M-2.07B-36.0M0.7941.86220,560173,8403,036,7802,377,540
2017-09-20$46.59$46.0015.0%4.3%11.5%23.1%15.2%1.0%6.6%242.1M-2.98B-36.7M0.6754.55357,120237,7803,067,1002,396,220
2017-09-21$46.63$46.0016.0%4.2%11.4%29.0%14.5%0.8%7.4%282.5M-3.08B-36.4M0.8560.37278,920236,5003,135,9602,432,700
2017-09-22$46.44$46.0017.5%4.1%11.2%37.0%14.7%1.1%8.4%148.8M-2.61B-35.8M0.8457.50290,140244,7003,161,1602,458,560
2017-09-25$46.02$46.0022.0%4.7%11.5%62.1%16.8%2.5%-0.8%98.0M-1.89B-36.4M0.8258.93317,240260,7003,058,4202,367,220
2017-09-26$46.23$46.0022.7%4.6%11.5%65.6%16.1%2.7%-0.6%138.2M-2.34B-36.1M1.0854.80208,640224,6003,121,1002,456,400
2017-09-27$47.29$46.0023.6%4.9%13.6%70.5%17.5%1.6%-0.0%291.6M-4.20B-37.0M0.6155.36504,800306,3203,156,3002,483,040
2017-09-28$47.44$46.1324.6%4.8%13.5%76.3%17.1%2.1%0.1%362.0M-4.59B-38.4M0.9453.79269,700253,3803,350,5602,570,640
2017-09-29$47.93$46.2524.8%4.7%13.5%77.5%16.6%1.8%-0.7%274.7M-5.61B-37.9M0.9259.00378,960348,3603,386,9002,622,440