GOOGL Options History — March 2016 In March 2016, GOOGL traded between $35.57 and $38.45. ATM implied volatility averaged 24.2%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.9% (HV 20d: 21.4%). Max pain ranged from $36.00 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2016-03-18 : Highest Volume — 1,026,500 contracts2016-03-07 : Largest IV spike — 14.9% change2016-03-28 : Highest IV Rank — 58.3%2016-03-07 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $37.33 $35.57 $38.45 $37.03 $38.15 Max Pain $36.44 $36.00 $37.50 $36.00 $37.50 ATM IV 24.2% 20.6% 30.3% 20.6% 29.2% Expected Move 6.3% 4.8% 7.5% 6.0% 5.0% HV 20d 21.4% 17.0% 30.5% 30.5% 17.3% HV 60d 27.9% 26.9% 28.3% 28.0% 26.9% IV Rank 33.9% 19.0% 58.3% 19.0% 53.9% IV Percentile 51.7% 31.3% 75.4% 31.3% 71.8% Term Structure 1.6% -1.8% 4.8% 0.6% -1.8% VWIV 22.2% 17.1% 27.0% 21.5% 17.9% Skew 25d 3.8% 2.8% 5.0% 4.0% 4.2% Skew 10d 7.2% 5.4% 9.3% 7.9% 7.8% Call IV 25d 22.3% 18.6% 27.5% 18.6% 27.5% Put IV 25d 26.1% 22.6% 31.9% 22.6% 31.8% Bid-Ask Spread % 53.42 44.26 68.62 58.00 68.62 Gamma HHI 0.11 0.03 0.82 0.06 0.06 Net GEX 169.4M 2.6M 1.26B 114.8M 139.7M Net DEX -1.48B -2.95B -194.6M -1.29B -1.54B Net VEX -14.5M -15.0M -13.7M -14.4M -15.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.60 1.03 0.80 1.03 Total Volume 707,201.818 445,040 1,026,500 860,940 607,240 Total OI 3,728,712.727 2,975,640 4,296,980 3,656,040 3,632,580
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 2016-03-01 $37.03 $36.00 20.6% 6.0% 30.5% 19.0% 21.5% 4.0% 0.6% 114.8M -1.29B -14.4M 0.80 58.00 N/A N/A 479,180 381,760 1,925,620 1,730,420 2016-03-02 $36.94 $36.00 20.6% 6.1% 29.5% 19.2% 21.5% 3.9% 0.4% 109.6M -1.18B -14.5M 0.86 60.99 N/A N/A 343,320 293,980 1,971,320 1,760,420 2016-03-03 $36.55 $36.00 21.1% 6.7% 25.8% 21.3% 23.6% 3.3% 0.3% 57.8M -888.7M -14.4M 0.81 44.36 N/A N/A 409,040 329,980 2,041,880 1,802,520 2016-03-04 $36.53 $36.00 21.1% 6.7% 23.4% 21.3% 23.7% 3.5% -0.1% 18.9M -693.9M -14.5M 0.60 47.62 N/A N/A 584,040 348,980 2,131,180 1,845,960 2016-03-07 $35.63 $36.00 24.3% 7.5% 20.7% 33.9% 27.0% 3.9% 2.2% 2.6M -194.6M -14.1M 0.76 46.12 N/A N/A 424,700 322,660 1,917,960 1,715,680 2016-03-08 $35.57 $36.00 23.8% 7.5% 20.7% 32.2% 26.5% 3.6% 2.2% 12.8M -342.4M -14.2M 0.86 45.85 N/A N/A 373,400 322,120 2,046,720 1,812,800 2016-03-09 $36.18 $36.00 23.4% 7.3% 21.5% 30.5% 25.2% 3.8% 1.9% 76.5M -771.2M -14.7M 0.77 46.62 N/A N/A 359,800 275,500 2,106,000 1,886,020 2016-03-10 $36.60 $36.00 23.0% 7.2% 21.6% 28.8% 24.6% 4.1% 2.7% 157.3M -1.08B -15.0M 0.73 47.98 N/A N/A 508,700 369,120 2,152,320 1,937,720 2016-03-11 $37.22 $36.00 21.7% 6.7% 22.3% 23.5% 23.8% 4.0% 2.8% 272.7M -1.92B -14.8M 0.65 44.26 N/A N/A 583,960 379,140 2,178,540 1,996,120 2016-03-14 $37.60 $36.00 23.0% 6.7% 22.4% 28.7% 23.6% 4.1% 3.2% 130.2M -2.07B -14.8M 0.84 48.69 N/A N/A 304,000 256,440 1,988,680 1,809,180 2016-03-15 $37.48 $36.25 22.8% 6.6% 22.1% 28.0% 24.2% 3.5% 4.1% 139.5M -1.75B -14.8M 0.97 50.49 N/A N/A 309,420 300,420 2,182,740 1,978,240 2016-03-16 $37.83 $36.25 22.1% 6.3% 21.0% 25.2% 23.5% 3.9% 4.7% 200.8M -2.70B -13.7M 0.82 55.88 N/A N/A 383,320 315,840 2,198,240 2,018,600 2016-03-17 $38.14 $36.25 21.9% 6.0% 19.2% 24.5% 22.1% 3.1% 4.2% 252.7M -2.95B -14.2M 0.93 56.99 N/A N/A 389,820 361,460 2,229,480 2,052,240 2016-03-18 $37.75 $36.50 23.4% 6.2% 19.7% 30.7% 22.4% 3.3% 4.8% 1.26B -2.37B -14.2M 0.75 58.21 N/A N/A 586,440 440,060 2,254,600 2,042,380 2016-03-21 $38.11 $36.75 24.4% 5.9% 19.8% 34.7% 20.9% 3.9% 1.7% 100.2M -1.55B -14.2M 0.98 50.79 N/A N/A 244,380 240,080 1,541,800 1,433,840 2016-03-22 $37.98 $36.88 24.8% 5.7% 19.0% 36.1% 20.5% 3.8% 1.7% 108.8M -1.52B -14.5M 0.99 50.28 N/A N/A 269,120 266,460 1,640,420 1,512,480 2016-03-23 $37.89 $37.00 26.5% 6.0% 19.0% 42.9% 21.0% 2.8% 1.7% 81.7M -1.42B -14.8M 0.89 53.66 N/A N/A 304,860 271,260 1,702,760 1,575,580 2016-03-24 $37.69 $37.00 27.2% 5.9% 19.0% 45.9% 20.0% 3.7% 2.0% 69.7M -1.20B -14.8M 0.92 51.97 N/A N/A 338,940 310,480 1,753,860 1,632,520 2016-03-28 $37.67 $37.00 30.3% 5.6% 19.0% 58.3% 19.3% 4.5% -1.4% 63.9M -1.14B -14.5M 0.85 59.86 N/A N/A 240,060 204,980 1,621,700 1,526,660 2016-03-29 $38.31 $37.00 29.8% 5.3% 19.4% 56.3% 18.1% 5.0% -1.6% 133.1M -1.74B -14.7M 0.60 61.00 N/A N/A 489,420 292,360 1,687,760 1,574,420 2016-03-30 $38.45 $37.25 28.5% 4.8% 17.0% 51.0% 17.1% 3.5% -1.4% 223.2M -2.16B -14.7M 0.74 66.94 N/A N/A 425,940 316,260 1,832,660 1,649,060 2016-03-31 $38.15 $37.50 29.2% 5.0% 17.3% 53.9% 17.9% 4.2% -1.8% 139.7M -1.54B -15.0M 1.03 68.62 N/A N/A 299,580 307,660 1,916,300 1,716,280
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