GOOGL Options History — November 2015 In November 2015, GOOGL traded between $37.05 and $38.87. ATM implied volatility averaged 19.0%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 4.4% (HV 20d: 23.4%). Max pain ranged from $33.25 to $35.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.86.
Notable Days 2015-11-20 : Highest Volume — 1,593,740 contracts2015-11-13 : Largest IV spike — 10.0% change2015-11-13 : Highest IV Rank — 22.2%2015-11-13 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $37.99 $37.05 $38.87 $37.37 $38.14 Max Pain $34.50 $33.25 $35.75 $34.25 $35.75 ATM IV 19.0% 17.3% 21.3% 18.2% 18.4% Expected Move 5.5% 5.0% 6.2% 5.3% 5.4% HV 20d 23.4% 15.8% 28.1% 26.8% 16.4% HV 60d 27.4% 23.4% 30.6% 30.6% 23.5% IV Rank 12.8% 6.2% 22.2% 9.7% 10.6% IV Percentile 26.6% 8.3% 45.2% 20.2% 19.4% Term Structure 0.3% -0.3% 0.8% 0.5% 0.3% VWIV 19.7% 17.3% 21.3% 19.7% 19.1% Skew 25d 2.7% 2.2% 3.4% 2.7% 2.9% Skew 10d 5.4% 4.4% 6.5% 5.5% 5.3% Call IV 25d 17.9% 16.3% 19.6% 17.4% 17.0% Put IV 25d 20.6% 18.5% 22.8% 20.1% 19.9% Bid-Ask Spread % 56.74 42.18 67.04 62.45 65.23 Gamma HHI 0.09 0.06 0.20 0.09 0.06 Net GEX 199.2M 31.7M 307.8M 204.8M 129.6M Net DEX -5.36B -6.92B -4.53B -5.14B -4.53B Net VEX -12.3M -13.1M -11.7M -12.7M -11.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.52 1.50 0.76 0.71 Total Volume 665,297 297,840 1,593,740 594,160 482,360 Total OI 5,110,101 4,427,220 5,549,620 4,960,840 4,627,140
Daily Data (20 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-11-02 $37.37 $34.25 18.2% 5.3% 26.8% 9.7% 19.7% 2.7% 0.5% 204.8M -5.14B -12.7M 0.76 62.45 N/A N/A 337,760 256,400 2,564,680 2,396,160 2015-11-03 $37.58 $34.50 18.5% 5.4% 26.7% 10.8% 19.3% 2.6% 0.6% 233.1M -5.46B -12.3M 0.61 67.04 N/A N/A 334,220 203,360 2,627,740 2,468,540 2015-11-04 $37.75 $34.50 18.5% 5.5% 26.5% 11.0% 19.4% 2.3% 0.5% 265.2M -5.60B -13.1M 0.52 64.58 N/A N/A 557,800 289,200 2,695,860 2,540,000 2015-11-05 $38.07 $33.25 18.7% 5.6% 26.3% 11.7% 19.7% 2.3% 0.2% 293.6M -6.29B -11.9M 0.62 42.18 N/A N/A 519,040 321,240 2,711,440 2,598,640 2015-11-06 $38.08 $33.50 17.9% 5.4% 26.4% 8.4% 19.3% 2.3% 0.0% 307.8M -6.13B -12.3M 0.69 51.68 N/A N/A 272,580 187,880 2,493,940 2,579,840 2015-11-09 $37.74 $33.50 19.1% 5.6% 27.0% 13.3% 20.4% 2.5% 0.8% 163.2M -5.42B -12.4M 0.93 50.61 N/A N/A 154,560 143,280 2,344,660 2,409,380 2015-11-10 $37.89 $34.00 18.9% 5.5% 26.9% 12.3% 20.2% 2.5% 0.5% 177.2M -5.29B -12.5M 1.02 44.46 N/A N/A 259,740 264,420 2,578,880 2,534,300 2015-11-11 $38.05 $34.00 18.5% 5.6% 26.7% 10.8% 20.1% 2.8% 0.8% 210.0M -5.60B -12.1M 1.16 60.35 N/A N/A 191,800 223,220 2,654,220 2,601,900 2015-11-12 $37.83 $34.00 19.3% 5.7% 26.5% 14.3% 20.1% 2.6% 0.7% 171.1M -5.26B -12.4M 0.78 51.63 N/A N/A 372,100 291,420 2,719,620 2,649,800 2015-11-13 $37.05 $34.50 21.3% 6.2% 28.0% 22.2% 21.0% 3.4% 0.5% 31.7M -4.65B -12.9M 1.18 51.75 N/A N/A 421,520 497,780 2,797,560 2,698,760 2015-11-16 $37.52 $34.50 20.6% 5.9% 28.1% 19.4% 21.3% 3.3% 0.0% 139.5M -5.00B -12.6M 0.71 55.32 N/A N/A 229,720 162,500 2,402,000 2,534,740 2015-11-17 $37.37 $34.50 20.9% 6.0% 24.9% 20.7% 21.2% 3.2% -0.2% 142.5M -4.59B -12.7M 0.82 56.69 N/A N/A 282,000 230,540 2,669,240 2,637,880 2015-11-18 $38.04 $34.50 20.2% 5.8% 24.8% 17.8% 20.5% 2.9% -0.3% 237.9M -5.61B -12.7M 0.60 58.03 N/A N/A 367,260 219,620 2,717,680 2,675,440 2015-11-19 $38.01 $34.50 19.6% 5.6% 24.8% 15.3% 19.6% 3.0% -0.0% 297.2M -5.65B -12.0M 0.68 58.49 N/A N/A 385,340 263,300 2,767,920 2,712,880 2015-11-20 $38.87 $35.00 19.0% 5.5% 16.2% 13.1% 19.2% 2.8% -0.0% 280.2M -6.92B -11.9M 0.52 58.07 N/A N/A 1,051,640 542,100 2,805,860 2,743,760 2015-11-23 $38.84 $35.00 18.1% 5.2% 15.8% 9.2% 18.4% 2.5% 0.1% 175.9M -5.35B -11.8M 0.78 57.35 N/A N/A 291,720 227,800 2,166,420 2,260,800 2015-11-24 $38.48 $35.00 18.8% 5.5% 16.4% 12.2% 19.5% 2.9% 0.1% 140.5M -4.90B -12.2M 1.11 60.51 N/A N/A 412,220 456,020 2,248,380 2,349,560 2015-11-25 $38.51 $35.50 17.8% 5.1% 16.4% 7.9% 19.1% 2.7% 0.4% 162.0M -4.82B -12.0M 1.48 58.28 N/A N/A 333,840 493,540 2,541,100 2,499,840 2015-11-27 $38.60 $35.75 17.3% 5.0% 16.0% 6.2% 17.3% 2.2% 0.1% 221.5M -4.98B -11.7M 1.50 60.02 N/A N/A 309,700 465,400 2,625,200 2,550,260 2015-11-30 $38.14 $35.75 18.4% 5.4% 16.4% 10.6% 19.1% 2.9% 0.3% 129.6M -4.53B -11.9M 0.71 65.23 N/A N/A 282,300 200,060 2,244,460 2,382,680
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