GOOGL Options History — September 2016

In September 2016, GOOGL traded between $39.34 and $40.82. ATM implied volatility averaged 17.7%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.8% (HV 20d: 11.9%). Max pain ranged from $39.00 to $39.63. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2016-09-22: Highest Volume — 1,023,320 contracts
2016-09-26: Largest IV spike — 30.5% change
2016-09-29: Highest IV Rank — 47.3%
2016-09-13: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.09	$39.34	$40.82	$39.55	$40.34
Max Pain	$39.42	$39.00	$39.63	$39.00	$39.50
ATM IV	17.7%	13.0%	25.8%	14.3%	24.8%
Expected Move	4.8%	3.2%	6.8%	3.8%	4.0%
HV 20d	11.9%	5.9%	15.6%	7.0%	15.6%
HV 60d	15.6%	14.2%	17.0%	16.6%	14.3%
IV Rank	18.6%	2.0%	47.3%	6.7%	43.8%
IV Percentile	22.5%	0.4%	64.7%	6.3%	61.5%
Term Structure	3.0%	-1.8%	10.0%	0.3%	-1.8%
VWIV	17.1%	11.1%	23.8%	13.4%	14.7%
Skew 25d	3.1%	2.4%	4.6%	2.6%	3.0%
Skew 10d	6.1%	4.1%	8.4%	5.5%	4.1%
Call IV 25d	16.1%	11.9%	24.2%	13.1%	23.5%
Put IV 25d	19.2%	14.3%	27.8%	15.8%	26.5%
Bid-Ask Spread %	47.02	33.54	78.35	74.89	51.63
Gamma HHI	0.08	0.04	0.38	0.05	0.05
Net GEX	242.9M	-32.4M	587.1M	137.6M	180.4M
Net DEX	-1.91B	-3.08B	-729.1M	-1.43B	-1.97B
Net VEX	-17.5M	-18.1M	-16.9M	-17.7M	-17.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.55	0.96	0.96	0.55
Total Volume	651,636.19	425,960	1,023,320	425,960	563,120
Total OI	4,156,017.143	3,487,460	4,780,920	4,312,800	4,107,660

Daily Data (21 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
2016-09-01	$39.55	$39.00	14.3%	3.8%	7.0%	6.7%	13.4%	2.6%	0.3%	137.6M	-1.43B	-17.7M	0.96	74.89	N/A	N/A	217,560	208,400	2,279,420	2,033,380
2016-09-02	$39.80	$39.00	13.0%	3.2%	5.9%	2.0%	11.1%	2.4%	0.4%	274.5M	-1.85B	-17.4M	0.94	78.35	N/A	N/A	331,140	311,680	2,295,420	2,063,700
2016-09-06	$40.35	$39.25	14.2%	5.8%	7.8%	6.3%	20.4%	2.7%	1.1%	383.9M	-2.80B	-17.4M	0.72	33.54	N/A	N/A	558,620	400,780	2,127,920	1,947,560
2016-09-07	$40.36	$39.25	14.4%	5.8%	7.7%	7.0%	20.5%	2.6%	0.9%	402.1M	-2.81B	-17.7M	0.57	39.76	N/A	N/A	392,500	224,200	2,266,260	2,095,180
2016-09-08	$40.21	$39.25	13.8%	5.5%	7.8%	4.7%	19.7%	2.6%	1.0%	339.7M	-2.37B	-17.4M	0.63	36.06	N/A	N/A	355,740	225,760	2,357,820	2,146,240
2016-09-09	$39.53	$39.50	16.3%	6.3%	9.7%	13.5%	21.6%	3.3%	0.7%	-32.4M	-729.1M	-17.1M	0.88	35.52	N/A	N/A	517,660	454,100	2,429,080	2,176,740
2016-09-12	$39.97	$39.50	15.9%	6.0%	10.6%	12.3%	21.3%	3.4%	4.9%	213.4M	-1.85B	-16.9M	0.93	40.19	N/A	N/A	311,960	289,200	2,232,560	2,053,260
2016-09-13	$39.34	$39.50	18.1%	6.8%	11.9%	20.2%	23.8%	4.2%	5.5%	14.0M	-833.9M	-16.9M	0.80	37.69	N/A	N/A	338,460	270,000	2,313,140	2,112,340
2016-09-14	$39.58	$39.50	17.1%	6.2%	12.0%	16.5%	21.1%	4.6%	4.5%	134.1M	-1.29B	-17.2M	0.83	40.53	N/A	N/A	295,780	245,180	2,414,440	2,151,180
2016-09-15	$40.10	$39.50	16.9%	5.8%	12.8%	15.9%	20.8%	3.5%	4.0%	420.4M	-2.45B	-17.1M	0.84	51.84	N/A	N/A	418,180	349,640	2,423,920	2,177,800
2016-09-16	$39.85	$39.50	14.9%	4.4%	13.0%	8.9%	15.4%	3.0%	0.4%	191.6M	-1.62B	-16.9M	0.80	51.84	N/A	N/A	393,080	316,160	2,491,380	2,289,540
2016-09-19	$39.83	$39.50	14.3%	4.1%	12.9%	6.7%	14.4%	2.8%	9.6%	129.4M	-1.30B	-16.9M	0.63	46.95	N/A	N/A	326,100	206,080	1,843,300	1,644,160
2016-09-20	$40.02	$39.50	15.3%	4.4%	12.9%	10.2%	15.2%	2.9%	9.2%	210.7M	-1.64B	-17.6M	0.71	46.30	N/A	N/A	311,460	220,420	1,954,620	1,710,720
2016-09-21	$40.21	$39.50	14.4%	4.1%	13.0%	7.0%	14.6%	2.8%	9.7%	301.9M	-1.87B	-17.8M	0.58	46.40	N/A	N/A	393,440	226,540	2,035,620	1,809,240
2016-09-22	$40.82	$39.50	15.8%	4.0%	13.9%	12.0%	14.7%	2.6%	9.2%	579.3M	-3.08B	-17.8M	0.58	45.49	N/A	N/A	647,560	375,760	2,043,580	1,869,280
2016-09-23	$40.76	$39.50	18.1%	4.1%	13.8%	20.3%	14.1%	2.5%	10.0%	587.1M	-2.96B	-18.1M	0.62	46.73	N/A	N/A	416,960	256,520	2,112,380	1,997,400
2016-09-26	$40.12	$39.50	23.7%	4.6%	15.1%	39.9%	16.3%	3.3%	-1.3%	109.8M	-1.53B	-17.9M	0.76	43.90	N/A	N/A	311,860	235,680	1,865,880	1,754,400
2016-09-27	$40.56	$39.50	24.4%	4.3%	15.5%	42.5%	15.3%	3.4%	-1.4%	218.7M	-2.15B	-17.9M	0.71	45.37	N/A	N/A	309,980	220,800	1,955,900	1,820,480
2016-09-28	$40.45	$39.50	25.6%	4.2%	15.3%	46.7%	15.2%	3.1%	-1.3%	193.5M	-1.98B	-17.9M	0.64	46.82	N/A	N/A	365,540	232,120	2,016,360	1,865,700
2016-09-29	$40.20	$39.63	25.8%	4.4%	15.6%	47.3%	15.2%	3.6%	-1.6%	110.7M	-1.57B	-17.8M	0.56	47.67	N/A	N/A	410,120	228,520	2,091,300	1,900,100
2016-09-30	$40.34	$39.50	24.8%	4.0%	15.6%	43.8%	14.7%	3.0%	-1.8%	180.4M	-1.97B	-17.5M	0.55	51.63	N/A	N/A	364,300	198,820	2,186,140	1,921,520