GOOGL Options History — December 2015 In December 2015, GOOGL traded between $37.48 and $39.72. ATM implied volatility averaged 23.1%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.1% (HV 20d: 20.0%). Max pain ranged from $30.00 to $36.25. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.37.
Notable Days 2015-12-04 : Highest Volume — 1,609,960 contracts2015-12-28 : Largest IV spike — 25.4% change2015-12-31 : Highest IV Rank — 69.5%2015-12-11 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $38.56 $37.48 $39.72 $39.19 $38.97 Max Pain $32.01 $30.00 $36.25 $35.75 $32.50 ATM IV 23.1% 18.1% 32.8% 18.3% 32.8% Expected Move 5.9% 5.2% 7.5% 5.3% 5.8% HV 20d 20.0% 18.4% 21.5% 18.4% 19.8% HV 60d 23.2% 21.7% 24.0% 23.8% 21.9% IV Rank 29.7% 9.5% 69.5% 10.0% 69.5% IV Percentile 50.9% 14.7% 90.9% 17.9% 90.9% Term Structure 2.0% -1.0% 9.3% 0.1% -0.6% VWIV 21.0% 18.2% 26.5% 19.5% 20.1% Skew 25d 3.2% 2.1% 4.1% 2.1% 4.1% Skew 10d 6.1% 4.2% 7.7% 5.0% 7.6% Call IV 25d 21.7% 17.1% 31.2% 17.5% 31.2% Put IV 25d 24.9% 19.2% 35.3% 19.5% 35.3% Bid-Ask Spread % 64.07 52.25 73.70 61.79 73.70 Gamma HHI 0.07 0.05 0.12 0.07 0.06 Net GEX 131.3M -84.1M 268.6M 227.0M 93.9M Net DEX -4.20B -5.75B -2.71B -5.75B -3.96B Net VEX -13.0M -14.1M -12.1M -12.1M -13.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.58 2.17 0.58 1.24 Total Volume 980,725.455 591,900 1,609,960 730,740 1,107,940 Total OI 5,297,356.364 4,610,000 5,886,620 4,794,380 5,231,720
Daily Data (22 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 2015-12-01 $39.19 $35.75 18.3% 5.3% 18.4% 10.0% 19.5% 2.1% 0.1% 227.0M -5.75B -12.1M 0.58 61.79 N/A N/A 461,720 269,020 2,308,760 2,485,620 2015-12-02 $38.95 $36.25 18.6% 5.5% 18.6% 11.1% 19.6% 2.5% 0.4% 208.9M -5.24B -12.3M 1.09 57.93 N/A N/A 561,660 614,720 2,576,320 2,638,760 2015-12-03 $38.51 $30.00 20.4% 6.0% 19.1% 18.9% 21.7% 2.8% 0.6% 137.6M -4.41B -13.2M 1.95 52.25 N/A N/A 530,300 1,031,680 2,644,700 2,723,920 2015-12-04 $38.94 $30.25 18.1% 5.4% 19.3% 9.5% 18.8% 2.1% 0.5% 268.6M -5.15B -12.3M 2.17 58.25 N/A N/A 508,400 1,101,560 2,704,800 2,878,860 2015-12-07 $38.65 $30.75 18.9% 5.6% 19.5% 12.7% 20.3% 2.5% 0.5% 142.2M -4.64B -13.0M 1.28 56.02 N/A N/A 259,480 332,420 2,344,200 2,687,460 2015-12-08 $38.78 $31.25 19.6% 5.8% 19.2% 15.4% 20.7% 3.5% 0.3% 174.2M -4.73B -12.9M 1.82 58.95 N/A N/A 318,720 580,780 2,631,620 2,870,860 2015-12-09 $38.02 $31.25 21.5% 6.4% 20.6% 23.2% 22.5% 3.1% 0.6% 71.8M -3.54B -13.7M 1.29 62.39 N/A N/A 509,220 658,700 2,685,620 2,956,700 2015-12-10 $37.95 $31.25 21.6% 6.3% 20.6% 23.7% 22.6% 3.0% 0.4% 44.9M -3.48B -13.4M 1.71 60.91 N/A N/A 315,660 538,620 2,758,840 2,998,740 2015-12-11 $37.48 $31.25 25.8% 7.5% 20.9% 40.7% 26.5% 4.1% 0.5% -84.1M -2.71B -14.1M 1.45 57.55 N/A N/A 486,640 708,000 2,787,800 3,045,920 2015-12-14 $38.14 $31.50 24.6% 7.1% 20.4% 35.7% 25.2% 3.4% 1.7% 74.3M -3.79B -13.7M 1.28 58.38 N/A N/A 370,080 472,820 2,648,220 2,901,260 2015-12-15 $38.03 $31.50 23.4% 6.7% 20.0% 30.8% 23.6% 3.3% 1.9% 84.2M -3.81B -13.6M 1.38 60.28 N/A N/A 337,780 467,360 2,754,140 2,945,800 2015-12-16 $38.84 $31.50 20.6% 5.9% 21.2% 19.6% 20.8% 3.1% 1.0% 194.1M -5.05B -12.9M 1.04 70.50 N/A N/A 463,220 481,660 2,792,040 2,971,760 2015-12-17 $38.59 $31.50 21.2% 6.0% 20.5% 21.8% 21.0% 2.8% 1.7% 182.6M -4.71B -12.7M 1.43 71.25 N/A N/A 335,580 479,520 2,828,140 3,000,740 2015-12-18 $37.93 $31.50 22.6% 6.4% 21.5% 27.6% 22.4% 3.5% 1.1% 31.6M -3.51B -12.8M 1.28 68.49 N/A N/A 552,920 708,420 2,863,820 3,022,800 2015-12-21 $38.02 $32.00 23.0% 6.2% 19.8% 29.5% 21.5% 4.1% 8.5% 67.7M -3.00B -13.5M 1.27 60.76 N/A N/A 357,120 451,780 2,304,020 2,305,980 2015-12-22 $38.29 $32.00 22.0% 5.6% 20.0% 25.2% 19.8% 3.7% 7.8% 131.8M -3.52B -12.7M 1.45 66.01 N/A N/A 296,980 431,580 2,385,540 2,368,040 2015-12-23 $38.40 $32.25 21.4% 5.3% 19.8% 22.7% 18.8% 3.9% 8.6% 152.7M -3.54B -13.1M 1.37 69.29 N/A N/A 358,160 489,140 2,429,180 2,402,480 2015-12-24 $38.29 $32.50 22.8% 5.2% 19.8% 28.3% 18.2% 2.5% 9.3% 86.4M -3.49B -12.5M 1.90 69.83 N/A N/A 215,680 409,480 2,498,500 2,473,040 2015-12-28 $39.09 $32.50 28.5% 5.4% 21.2% 52.0% 19.2% 3.9% 0.3% 151.8M -4.23B -12.5M 1.10 70.63 N/A N/A 471,540 519,460 2,342,900 2,349,800 2015-12-29 $39.72 $32.50 29.9% 5.4% 21.3% 57.5% 19.1% 3.6% -0.3% 238.8M -5.23B -12.4M 0.82 71.49 N/A N/A 629,820 517,500 2,467,060 2,436,960 2015-12-30 $39.50 $32.50 32.4% 5.6% 19.3% 67.7% 19.7% 3.9% -1.0% 208.5M -4.95B -12.4M 1.15 72.99 N/A N/A 401,560 461,560 2,569,840 2,518,560 2015-12-31 $38.97 $32.50 32.8% 5.8% 19.8% 69.5% 20.1% 4.1% -0.6% 93.9M -3.96B -13.2M 1.24 73.70 N/A N/A 494,880 613,060 2,660,080 2,571,640
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