MSFT Options History — May 2007

In May 2007, MSFT traded between $30.17 and $31.11. ATM implied volatility averaged 17.0%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.8% (HV 20d: 16.2%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2007-05-14: Highest Volume — 249,109 contracts
  • 2007-05-29: Largest IV spike — 12.2% change
  • 2007-05-14: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.75$30.17$31.11$30.40$30.69
Max Pain$29.66$27.50$30.00$27.50$30.00
ATM IV17.0%15.0%19.1%16.6%16.4%
Expected Move4.9%4.3%5.2%4.8%4.7%
HV 20d16.2%13.0%17.8%17.5%13.8%
HV 60d19.3%17.2%20.6%20.6%17.5%
Term Structure1.4%0.4%2.6%0.6%1.4%
VWIV16.7%14.8%17.9%16.7%15.9%
Skew 25d0.8%-1.5%2.4%0.9%-1.5%
Skew 10d5.2%2.4%8.0%4.2%4.5%
Call IV 25d16.9%16.1%18.3%18.3%17.7%
Put IV 25d17.7%16.1%19.6%19.2%16.2%
Bid-Ask Spread %1.661.062.991.301.43
Gamma HHI0.340.290.410.410.33
Net GEX69.4M62.9M77.2M76.3M66.4M
Net DEX-3.18B-3.43B-2.77B-3.06B-3.04B
Net VEX-19.9M-20.6M-16.2M-20.2M-19.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.051.840.420.73
Total Volume66,593.22727,581249,10986,09440,988
Total OI3,308,483.7272,520,5783,444,8863,280,1273,319,073

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$30.40$27.5016.6%4.8%17.5%0.0%16.7%0.9%0.6%76.3M-3.06B-20.2M0.421.30N/AN/A60,80325,2911,955,1561,324,971
2007-05-02$30.61$27.5016.6%4.8%17.6%0.0%16.6%0.6%0.8%77.2M-3.20B-20.2M0.401.47N/AN/A47,86719,1081,970,5471,330,277
2007-05-03$30.97$27.5016.8%4.8%16.5%0.0%16.7%-0.1%0.4%73.7M-3.40B-19.8M0.661.93N/AN/A65,38342,9721,969,6441,337,622
2007-05-04$30.56$30.0016.7%4.9%17.6%0.0%17.0%2.1%1.9%72.0M-3.15B-20.6M0.591.48N/AN/A74,29244,1781,989,5701,362,170
2007-05-07$30.71$30.0018.0%5.1%17.6%0.0%17.8%1.9%1.3%71.2M-3.21B-20.5M0.531.73N/AN/A52,63328,0492,004,1681,378,729
2007-05-08$30.75$30.0019.1%5.2%17.3%0.0%17.4%1.8%1.2%72.6M-3.27B-20.5M0.821.78N/AN/A19,53616,0782,017,4661,386,826
2007-05-09$30.78$30.0018.2%5.1%16.5%0.0%17.5%1.7%1.1%72.7M-3.29B-20.4M1.212.23N/AN/A21,45426,0532,012,5721,393,860
2007-05-10$30.58$30.0017.8%5.1%16.4%0.0%17.6%2.4%1.3%71.1M-3.15B-20.2M0.452.28N/AN/A45,92020,7832,014,0251,399,432
2007-05-11$30.89$30.0017.3%4.9%16.6%0.0%16.8%1.2%1.4%73.4M-3.38B-20.2M0.301.49N/AN/A21,6706,4102,039,6481,405,238
2007-05-14$30.97$30.0018.1%5.2%16.6%0.0%17.9%1.4%0.6%70.7M-2.77B-16.2M0.051.35N/AN/A236,43312,6761,640,160880,418
2007-05-15$30.90$30.0017.6%5.0%16.7%0.0%17.0%1.0%1.4%62.9M-3.28B-19.7M0.751.74N/AN/A35,30226,5521,976,4461,410,308
2007-05-16$31.07$30.0017.4%5.0%16.1%0.0%16.9%1.1%1.3%66.3M-3.43B-19.6M0.601.50N/AN/A36,04221,7921,984,2031,398,176
2007-05-17$30.98$30.0017.7%5.1%16.3%0.0%17.4%0.6%1.3%64.2M-3.35B-19.9M0.461.51N/AN/A30,94814,1731,985,2561,403,382
2007-05-18$30.83$30.0016.6%4.8%16.3%0.0%16.5%0.5%2.0%65.8M-3.31B-20.3M1.842.99N/AN/A27,33250,2472,008,1101,414,801
2007-05-21$31.05$30.0017.1%4.9%15.8%0.0%16.6%0.8%1.6%69.6M-3.37B-19.3M0.561.40N/AN/A22,94212,9221,920,3451,343,888
2007-05-22$30.69$30.0016.4%4.7%16.7%0.0%16.4%-0.0%1.6%68.6M-3.14B-19.8M0.661.66N/AN/A16,59310,9881,925,4351,348,262
2007-05-23$30.58$30.0016.0%4.6%16.8%0.0%15.9%-0.2%1.9%65.7M-2.97B-19.9M0.471.69N/AN/A19,8029,3311,925,7971,351,729
2007-05-24$30.17$30.0015.7%4.5%17.8%0.0%15.7%0.7%1.8%65.8M-2.79B-20.5M0.661.54N/AN/A52,56334,6071,966,5861,351,740
2007-05-25$30.48$30.0015.0%4.3%13.4%0.0%14.8%-0.3%2.6%65.4M-2.92B-20.2M0.501.06N/AN/A30,15615,1771,945,5551,360,686
2007-05-29$30.79$30.0016.8%4.8%13.6%0.0%16.8%-0.2%1.3%66.8M-3.12B-19.9M0.631.82N/AN/A19,16512,1351,951,2501,367,125
2007-05-30$31.11$30.0016.5%4.7%13.0%0.0%16.0%0.8%2.5%68.1M-3.31B-19.6M0.761.15N/AN/A21,38616,3191,946,7821,369,208
2007-05-31$30.69$30.0016.4%4.7%13.8%0.0%15.9%-1.5%1.4%66.4M-3.04B-19.7M0.731.43N/AN/A23,74717,2411,944,3141,374,759