MSFT Options History — April 2007

In April 2007, MSFT traded between $27.74 and $30.12. ATM implied volatility averaged 20.1%. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.7% (HV 20d: 17.4%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2007-04-26: Highest Volume — 326,993 contracts
  • 2007-04-27: Largest IV drop — 41.5% change
  • 2007-04-26: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.73$27.74$30.12$27.74$29.94
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV20.1%16.8%28.8%16.8%17.0%
Expected Move5.9%4.8%8.3%4.8%4.9%
HV 20d17.4%12.7%21.5%20.5%17.4%
HV 60d20.1%19.4%21.1%20.7%20.6%
Term Structure-1.3%-6.2%3.5%3.1%0.1%
VWIV20.4%16.8%29.4%16.8%17.0%
Skew 25d1.6%-0.7%4.0%-0.2%1.2%
Skew 10d3.7%-1.3%5.9%2.1%1.8%
Call IV 25d20.3%18.3%29.6%20.4%19.5%
Put IV 25d21.9%18.0%30.2%20.2%20.7%
Bid-Ask Spread %1.481.171.811.391.54
Gamma HHI0.380.320.450.320.45
Net GEX60.2M49.2M79.8M49.2M76.6M
Net DEX-2.22B-3.02B-1.58B-1.58B-2.85B
Net VEX-20.2M-21.0M-19.4M-20.6M-20.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.311.440.570.46
Total Volume82,411.128,877326,99334,95070,988
Total OI3,375,462.73,007,4073,551,8553,385,3883,292,068

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$27.74$27.5016.8%4.8%20.5%0.0%16.8%-0.2%3.1%49.2M-1.58B-20.6M0.571.39N/AN/A22,29112,6592,102,6591,282,729
2007-04-03$27.87$27.5017.1%4.9%20.3%0.0%17.2%-0.1%3.4%50.4M-1.69B-20.5M0.881.29N/AN/A26,27823,2392,107,7331,289,431
2007-04-04$28.50$27.5017.9%5.1%21.5%0.0%18.2%-0.7%3.5%62.4M-2.13B-20.3M1.441.17N/AN/A48,75670,1442,111,8931,300,829
2007-04-05$28.55$27.5018.4%5.3%21.0%0.0%18.6%-0.1%2.6%60.5M-2.12B-20.8M0.611.24N/AN/A18,45511,3392,126,0001,331,236
2007-04-09$28.57$27.5019.4%6.3%21.0%0.0%20.7%3.0%-2.3%63.0M-2.20B-20.5M0.311.60N/AN/A22,0626,8152,126,9231,306,770
2007-04-10$28.40$27.5019.0%6.0%21.1%0.0%20.4%2.7%-1.4%59.4M-2.09B-20.0M0.951.70N/AN/A22,58021,5282,128,7111,306,791
2007-04-11$28.11$27.5017.3%5.7%18.9%0.0%18.6%4.0%-0.2%51.1M-1.85B-19.9M0.821.59N/AN/A34,22328,1912,129,5961,312,223
2007-04-12$28.54$27.5021.0%6.0%17.6%0.0%20.7%2.6%-2.2%61.8M-2.19B-19.9M0.461.39N/AN/A44,20920,1502,147,0981,323,612
2007-04-13$28.61$27.5021.5%6.2%17.4%0.0%21.3%2.7%-2.3%64.5M-2.27B-19.8M1.021.49N/AN/A29,55130,1442,167,9531,330,263
2007-04-16$28.73$27.5022.3%6.4%17.5%0.0%21.0%2.5%-3.0%66.0M-2.32B-20.1M0.721.66N/AN/A31,85322,9152,180,5961,338,793
2007-04-17$28.85$27.5019.6%5.6%16.5%0.0%21.0%2.3%-1.7%74.0M-2.44B-20.1M0.731.52N/AN/A29,59821,6562,197,1231,350,200
2007-04-18$28.60$27.5021.8%6.2%16.9%0.0%21.3%2.3%-2.8%67.2M-2.22B-19.8M0.391.54N/AN/A32,80712,7422,191,6151,359,275
2007-04-19$28.69$27.5022.1%6.3%14.6%0.0%20.4%2.6%-3.2%59.1M-2.30B-20.0M0.551.46N/AN/A21,03611,5062,189,3171,360,667
2007-04-20$29.02$27.5019.1%5.5%14.7%0.0%20.4%2.3%-2.0%52.0M-2.48B-19.4M0.421.54N/AN/A56,91924,0462,189,7001,362,155
2007-04-23$28.78$27.5021.7%6.2%14.7%0.0%22.0%1.3%-3.5%50.6M-2.07B-19.9M0.461.39N/AN/A55,03825,2461,788,6421,218,765
2007-04-24$28.79$27.5022.0%6.3%14.5%0.0%23.0%1.1%-3.6%51.6M-2.08B-20.1M0.441.21N/AN/A47,25920,7301,815,8161,234,854
2007-04-25$28.99$27.5023.2%6.6%12.8%0.0%23.8%0.9%-4.1%53.6M-2.20B-20.1M0.681.72N/AN/A56,62238,6521,835,2431,245,332
2007-04-26$29.10$27.5028.8%8.3%12.7%0.0%29.4%0.7%-6.2%51.5M-2.24B-21.0M0.581.81N/AN/A207,388119,6051,853,2771,270,281
2007-04-27$30.12$27.5016.8%4.8%17.0%0.0%17.1%0.6%0.1%79.8M-3.02B-20.8M0.401.38N/AN/A177,59071,4121,971,8711,331,214
2007-04-30$29.94$27.5017.0%4.9%17.4%0.0%17.0%1.2%0.1%76.6M-2.85B-20.8M0.461.54N/AN/A48,54222,4461,977,1681,314,900