MSFT Options History — January 2007

In January 2007, MSFT traded between $29.64 and $31.21. ATM implied volatility averaged 21.0%. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.2% (HV 20d: 19.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2007-01-19: Highest Volume — 271,699 contracts
  • 2007-01-11: Largest IV spike — 39.6% change
  • 2007-01-25: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.53$29.64$31.21$29.86$30.86
Max Pain$29.50$25.00$30.00$25.00$30.00
ATM IV21.0%16.0%28.9%16.8%18.7%
Expected Move6.3%4.8%8.3%4.8%5.4%
HV 20d19.7%19.0%20.9%20.9%19.0%
Term Structure-2.1%-6.2%3.8%3.8%-1.0%
VWIV21.7%16.9%29.2%17.0%18.5%
Skew 25d1.4%-3.9%3.6%2.3%-0.8%
Skew 10d3.6%-6.3%13.6%2.3%-1.9%
Call IV 25d21.5%14.0%29.5%14.0%19.3%
Put IV 25d22.9%16.3%31.1%16.3%18.5%
Bid-Ask Spread %4.172.896.645.093.62
Gamma HHI0.360.290.470.430.32
Net GEX102.6M47.7M174.7M159.3M61.3M
Net DEX-4.62B-6.60B-2.83B-5.11B-3.05B
Net VEX-18.3M-19.5M-16.5M-19.5M-18.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.210.920.540.58
Total Volume126,124.4559,856271,69997,360168,549
Total OI4,095,965.62,720,4165,020,3604,858,2453,011,208

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$29.86$25.0016.8%4.8%0.0%0.0%17.0%2.3%3.8%159.3M-5.11B-19.5M0.545.09N/AN/A63,06234,2982,967,6011,890,644
2007-01-04$29.81$25.0016.8%4.8%0.0%0.0%16.9%2.3%3.8%158.4M-5.05B-19.2M0.554.65N/AN/A56,05031,0802,960,3711,897,847
2007-01-05$29.64$30.0017.4%6.2%0.0%0.0%21.8%2.4%-1.9%157.1M-4.78B-19.5M0.454.83N/AN/A57,54625,7822,967,8821,908,516
2007-01-08$29.93$30.0017.2%6.1%0.0%0.0%21.0%3.4%-1.1%163.1M-5.19B-19.1M0.336.64N/AN/A74,18124,1682,959,7791,917,797
2007-01-09$29.96$30.0016.2%6.3%0.0%0.0%20.8%2.0%-1.3%164.1M-5.18B-19.1M0.304.85N/AN/A71,31621,2552,964,1021,931,907
2007-01-10$29.66$30.0016.0%6.6%0.0%0.0%23.3%0.9%-2.5%174.7M-4.79B-19.3M0.755.13N/AN/A45,50634,2672,976,0191,940,529
2007-01-11$30.70$30.0022.4%6.4%0.0%0.0%22.1%2.7%-2.9%128.2M-6.13B-17.7M0.303.81N/AN/A156,70846,4702,969,0011,947,428
2007-01-12$31.21$30.0023.0%6.6%0.0%0.0%23.5%0.6%-3.5%115.1M-6.59B-17.8M0.213.40N/AN/A177,97537,3162,981,7561,952,064
2007-01-16$31.16$30.0025.3%7.3%0.0%0.0%23.6%1.3%-4.6%117.1M-6.49B-17.4M0.352.89N/AN/A90,71531,8272,970,0811,967,507
2007-01-17$31.10$30.0024.9%7.1%0.0%0.0%24.5%1.8%-4.4%107.5M-6.60B-16.5M0.853.36N/AN/A55,29747,2662,993,9011,991,078
2007-01-18$31.00$30.0024.1%6.9%0.0%0.0%24.0%1.7%-4.1%108.6M-6.38B-17.8M0.343.03N/AN/A59,27520,4373,000,7362,019,624
2007-01-19$31.11$30.0023.9%6.9%0.0%0.0%22.9%3.4%-4.8%67.2M-6.46B-17.3M0.353.62N/AN/A201,15370,5462,984,4832,004,520
2007-01-22$30.72$30.0024.4%7.0%0.0%0.0%23.7%3.6%-4.4%47.7M-2.96B-17.8M0.723.98N/AN/A52,79738,1731,655,3591,065,057
2007-01-23$30.74$30.0023.7%6.8%0.0%0.0%22.6%3.3%-3.4%49.1M-2.99B-17.5M0.923.68N/AN/A38,49735,5271,663,9121,064,607
2007-01-24$31.09$30.0025.7%7.4%0.0%0.0%25.0%2.9%-4.8%51.9M-3.12B-17.7M0.633.19N/AN/A60,61538,3291,677,2801,071,882
2007-01-25$30.45$30.0028.9%8.3%20.9%0.0%29.2%1.6%-6.2%50.8M-2.86B-18.7M0.465.01N/AN/A161,69475,1141,710,9481,084,278
2007-01-26$30.60$30.0018.1%5.2%20.2%0.0%18.4%-1.0%1.6%55.9M-3.00B-18.5M0.506.15N/AN/A115,37257,5011,784,0831,130,150
2007-01-29$30.53$30.0018.1%5.2%19.6%0.0%18.3%-2.9%-0.1%56.9M-2.86B-18.8M0.623.11N/AN/A53,53233,4371,800,1281,141,848
2007-01-30$30.48$30.0017.6%5.0%19.1%0.0%17.9%-3.9%-0.3%57.9M-2.83B-18.9M0.633.38N/AN/A36,61923,2371,828,3721,165,027
2007-01-31$30.86$30.0018.7%5.4%19.0%0.0%18.5%-0.8%-1.0%61.3M-3.05B-18.9M0.583.62N/AN/A106,50662,0431,838,0211,173,187