MSFT Options History — March 2007 In March 2007, MSFT traded between $26.72 and $28.52. ATM implied volatility averaged 18.1%. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 5.2% (HV 20d: 23.3%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.61.
Notable Days 2007-03-19 : Highest Volume — 138,145 contracts2007-03-13 : Largest IV spike — 16.8% change2007-03-05 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $27.69 $26.72 $28.52 $28.09 $27.87 Max Pain $27.50 $27.50 $27.50 $27.50 $27.50 ATM IV 18.1% 16.1% 22.3% 20.5% 16.6% Expected Move 5.2% 4.6% 6.2% 5.9% 4.8% HV 20d 23.3% 20.6% 25.8% 22.1% 20.6% HV 60d 20.9% 19.9% 21.4% 20.1% 20.7% Term Structure 1.9% -0.4% 3.8% -0.4% 3.4% VWIV 18.5% 16.3% 21.4% 21.1% 16.7% Skew 25d 0.8% -1.0% 2.4% -1.0% 0.0% Skew 10d 2.7% 1.4% 4.9% 3.3% 2.7% Call IV 25d 19.6% 17.2% 24.2% 22.9% 18.7% Put IV 25d 20.4% 17.3% 24.0% 21.9% 18.8% Bid-Ask Spread % 1.54 1.06 2.47 1.66 1.30 Gamma HHI 0.36 0.32 0.41 0.39 0.33 Net GEX 42.3M 28.1M 63.9M 41.2M 53.1M Net DEX -1.52B -2.11B -887.1M -1.70B -1.71B Net VEX -21.1M -22.1M -20.5M -22.1M -21.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.31 0.98 0.64 0.52 Total Volume 70,491.773 31,496 138,145 110,632 31,795 Total OI 3,347,734.909 3,212,802 3,395,947 3,298,600 3,381,011
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 2007-03-01 $28.09 $27.50 20.5% 5.9% 22.1% 0.0% 21.1% -1.0% -0.4% 41.2M -1.70B -22.1M 0.64 1.66 N/A N/A 67,355 43,277 2,005,965 1,292,635 2007-03-02 $27.76 $27.50 20.7% 5.9% 22.1% 0.0% 20.8% -0.2% -0.3% 37.4M -1.50B -21.6M 0.82 1.42 N/A N/A 27,282 22,466 2,029,357 1,299,896 2007-03-05 $27.55 $27.50 22.3% 6.2% 22.0% 0.0% 21.4% 2.4% -0.1% 33.4M -1.39B -21.9M 0.76 1.68 N/A N/A 38,666 29,249 2,031,773 1,299,560 2007-03-06 $27.83 $27.50 20.2% 5.9% 21.8% 0.0% 20.5% 1.9% 0.6% 35.5M -1.54B -21.5M 0.56 2.47 N/A N/A 45,900 25,718 2,039,572 1,305,085 2007-03-07 $27.61 $27.50 18.9% 5.7% 21.9% 0.0% 20.1% 1.5% 1.1% 32.6M -1.39B -21.7M 0.32 1.64 N/A N/A 34,390 10,842 2,050,047 1,302,737 2007-03-08 $27.32 $27.50 17.3% 5.3% 22.1% 0.0% 19.2% 1.5% 1.5% 28.6M -1.22B -21.2M 0.64 1.64 N/A N/A 76,635 48,697 2,066,301 1,294,985 2007-03-09 $27.28 $27.50 16.3% 5.2% 22.1% 0.0% 18.1% 1.4% 2.1% 28.1M -1.23B -21.4M 0.80 1.63 N/A N/A 38,652 30,935 2,092,741 1,303,206 2007-03-12 $27.44 $27.50 17.6% 5.2% 22.2% 0.0% 19.0% 1.1% 2.0% 29.7M -1.33B -21.3M 0.98 1.06 N/A N/A 19,322 18,954 2,090,992 1,302,221 2007-03-13 $26.72 $27.50 20.5% 5.6% 23.7% 0.0% 19.7% 1.4% 1.4% 30.1M -887.1M -20.9M 0.60 1.33 N/A N/A 68,880 41,177 2,071,161 1,291,103 2007-03-14 $27.40 $27.50 18.6% 5.6% 25.8% 0.0% 20.0% 1.6% 1.1% 29.2M -1.34B -21.3M 0.47 1.62 N/A N/A 67,142 31,283 2,089,457 1,285,593 2007-03-15 $27.28 $27.50 18.7% 5.4% 25.1% 0.0% 19.0% 1.1% 1.6% 31.7M -1.26B -20.8M 0.45 1.88 N/A N/A 32,454 14,655 2,100,979 1,292,317 2007-03-16 $27.33 $27.50 18.3% 5.3% 25.1% 0.0% 18.7% 1.1% 2.0% 28.1M -1.29B -21.0M 0.89 1.23 N/A N/A 40,442 36,048 2,112,173 1,266,893 2007-03-19 $27.83 $27.50 16.1% 4.6% 25.0% 0.0% 16.3% 0.8% 3.0% 44.2M -1.53B -20.7M 0.31 1.29 N/A N/A 105,670 32,475 1,972,568 1,240,234 2007-03-20 $27.84 $27.50 16.2% 4.6% 24.9% 0.0% 16.6% 0.7% 2.2% 54.1M -1.65B -21.0M 0.45 1.09 N/A N/A 30,752 13,816 2,044,026 1,258,142 2007-03-21 $28.52 $27.50 17.9% 5.1% 25.6% 0.0% 17.5% 0.4% 2.7% 63.9M -2.11B -20.8M 0.49 1.66 N/A N/A 67,216 32,824 2,053,791 1,249,005 2007-03-22 $28.27 $27.50 17.3% 5.0% 25.8% 0.0% 17.1% -0.1% 2.8% 63.0M -2.00B -20.6M 0.56 2.47 N/A N/A 20,172 11,352 2,072,341 1,258,493 2007-03-23 $28.02 $27.50 16.7% 4.8% 25.3% 0.0% 17.1% 0.5% 3.4% 55.2M -1.75B -20.5M 0.54 1.14 N/A N/A 40,702 21,899 2,062,086 1,260,986 2007-03-26 $28.22 $27.50 17.3% 5.0% 25.4% 0.0% 17.4% 0.0% 3.2% 58.6M -1.88B -21.1M 0.85 1.70 N/A N/A 34,037 28,840 2,074,950 1,272,039 2007-03-27 $27.72 $27.50 16.7% 4.8% 21.3% 0.0% 16.8% 0.5% 3.8% 49.0M -1.57B -20.9M 0.52 1.31 N/A N/A 62,123 32,609 2,082,859 1,281,310 2007-03-28 $27.64 $27.50 17.0% 4.9% 20.9% 0.0% 17.6% 0.1% 2.8% 51.6M -1.57B -20.7M 0.54 1.16 N/A N/A 27,761 14,859 2,110,053 1,278,987 2007-03-29 $27.75 $27.50 16.7% 4.8% 21.0% 0.0% 16.9% 0.3% 2.8% 51.2M -1.65B -20.5M 0.63 1.45 N/A N/A 19,330 12,166 2,100,713 1,279,825 2007-03-30 $27.87 $27.50 16.6% 4.8% 20.6% 0.0% 16.7% 0.0% 3.4% 53.1M -1.71B -21.0M 0.52 1.30 N/A N/A 20,889 10,906 2,101,109 1,279,902
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