MSFT Options History — February 2007

In February 2007, MSFT traded between $27.87 and $30.56. ATM implied volatility averaged 17.8%. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.2% (HV 20d: 18.0%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-02-06: Highest Volume — 321,940 contracts
  • 2007-02-05: Largest IV spike — 20.0% change
  • 2007-02-27: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.19$27.87$30.56$30.56$28.17
Max Pain$29.74$27.50$30.00$30.00$30.00
ATM IV17.8%16.1%19.5%17.6%18.5%
Expected Move5.1%4.6%5.6%5.0%5.3%
HV 20d18.0%13.7%22.9%18.9%22.9%
Term Structure0.3%-1.0%1.0%0.8%0.5%
VWIV18.0%16.7%19.5%17.6%18.8%
Skew 25d0.5%-4.0%2.5%-4.0%-2.1%
Skew 10d0.4%-6.0%6.7%-6.0%4.6%
Call IV 25d18.8%17.2%23.7%21.3%21.1%
Put IV 25d19.3%17.3%22.0%17.3%19.0%
Bid-Ask Spread %1.851.163.933.371.40
Gamma HHI0.410.330.480.330.40
Net GEX60.7M40.5M85.2M58.4M40.5M
Net DEX-2.30B-2.98B-1.58B-2.98B-1.70B
Net VEX-21.0M-21.9M-20.0M-20.0M-21.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.321.630.500.78
Total Volume113,012.89548,238321,94054,21998,420
Total OI3,228,430.3683,094,0433,366,1123,105,1083,277,082

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$30.56$30.0017.6%5.0%18.9%0.0%17.6%-4.0%0.8%58.4M-2.98B-20.0M0.503.37N/AN/A36,12518,0941,901,0321,204,076
2007-02-02$30.19$30.0016.3%5.0%19.5%0.0%17.4%0.8%0.5%58.0M-2.74B-20.0M0.501.40N/AN/A56,56828,0871,902,5441,193,795
2007-02-05$29.61$30.0019.5%5.4%20.6%0.0%19.0%0.8%-0.1%54.0M-2.36B-20.5M0.552.56N/AN/A80,00143,8911,922,2871,207,568
2007-02-06$29.51$30.0018.0%5.0%20.3%0.0%17.8%0.9%0.3%57.4M-2.25B-20.6M0.322.48N/AN/A243,03078,9101,935,8241,216,118
2007-02-07$29.37$30.0018.4%5.1%20.4%0.0%18.1%1.0%0.3%62.1M-2.35B-21.4M1.172.03N/AN/A56,17165,6852,032,2061,259,640
2007-02-08$29.26$30.0017.5%5.0%20.1%0.0%17.6%1.0%0.5%61.6M-2.28B-21.3M0.601.82N/AN/A32,41019,3742,043,3171,280,931
2007-02-09$28.98$30.0018.0%5.2%15.5%0.0%18.3%0.9%0.6%54.9M-2.05B-21.2M0.631.47N/AN/A70,83144,7212,029,5601,261,889
2007-02-12$28.94$30.0018.3%5.3%13.7%0.0%19.0%1.1%0.7%58.3M-2.06B-21.5M0.351.40N/AN/A68,51123,7392,064,6151,263,372
2007-02-13$29.01$30.0017.7%5.1%13.8%0.0%17.9%0.9%1.0%63.4M-2.17B-21.3M0.421.62N/AN/A57,89824,4762,067,5861,263,790
2007-02-14$29.40$30.0017.5%5.0%15.1%0.0%17.6%0.6%0.7%79.0M-2.55B-21.1M0.621.32N/AN/A63,16239,1322,090,2431,235,579
2007-02-15$29.46$30.0017.7%5.1%15.2%0.0%17.8%1.2%0.9%85.2M-2.58B-21.2M0.491.16N/AN/A88,49543,6272,105,8891,249,580
2007-02-16$28.74$30.0019.0%5.4%16.9%0.0%18.2%1.0%0.1%58.0M-2.05B-20.9M0.501.60N/AN/A96,42748,1572,115,4671,250,645
2007-02-20$28.83$30.0018.1%5.2%16.8%0.0%18.5%1.2%-1.0%60.0M-2.18B-21.1M0.721.71N/AN/A91,00365,2991,922,8251,171,218
2007-02-21$29.35$27.5016.8%4.8%18.3%0.0%17.5%0.9%-0.3%66.7M-2.57B-20.6M0.711.35N/AN/A46,28832,7881,932,2071,189,972
2007-02-22$29.39$30.0016.1%4.6%17.7%0.0%16.7%1.5%0.4%67.7M-2.57B-20.7M0.881.43N/AN/A25,59922,6391,939,1691,200,126
2007-02-23$28.90$27.5017.2%4.9%17.2%0.0%17.5%1.1%-0.5%60.6M-2.28B-21.2M0.801.50N/AN/A58,54446,6551,954,3481,209,986
2007-02-26$29.07$30.0017.2%4.9%17.2%0.0%17.4%2.5%-0.2%64.2M-2.35B-21.3M1.631.58N/AN/A22,29736,3011,983,0661,237,986
2007-02-27$27.87$30.0019.5%5.6%22.2%0.0%19.5%-1.6%-0.3%43.6M-1.58B-21.6M1.513.93N/AN/A69,236104,6541,970,7891,253,850
2007-02-28$28.17$30.0018.5%5.3%22.9%0.0%18.8%-2.1%0.5%40.5M-1.70B-21.9M0.781.40N/AN/A55,35443,0661,987,4161,289,666