MSFT Options History — June 2007

In June 2007, MSFT traded between $29.47 and $30.72. ATM implied volatility averaged 18.2%. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.3% (HV 20d: 16.0%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-06-12: Highest Volume — 184,547 contracts
  • 2007-06-22: Largest IV spike — 14.0% change
  • 2007-06-29: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.09$29.47$30.72$30.59$29.47
Max Pain$27.62$27.50$30.00$30.00$27.50
ATM IV18.2%15.7%20.5%15.7%20.5%
Expected Move5.4%4.5%5.9%4.5%5.9%
HV 20d16.0%12.3%18.4%13.2%17.5%
HV 60d16.5%15.6%17.4%17.4%16.1%
Term Structure-0.3%-1.6%2.2%2.2%-0.6%
VWIV19.0%15.3%21.7%15.5%21.1%
Skew 25d1.4%-2.5%2.3%-2.5%1.2%
Skew 10d2.5%0.7%4.2%3.8%0.7%
Call IV 25d19.3%17.5%22.1%18.1%22.1%
Put IV 25d20.7%15.6%23.3%15.6%23.3%
Bid-Ask Spread %1.761.262.521.642.52
Gamma HHI0.370.330.420.340.40
Net GEX64.1M52.6M75.2M65.8M56.3M
Net DEX-2.64B-3.07B-2.16B-2.96B-2.16B
Net VEX-20.5M-21.3M-19.6M-20.0M-21.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.071.480.800.92
Total Volume61,102.28619,487184,54724,24159,489
Total OI3,414,900.193,340,4723,481,6013,340,4723,472,455

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$30.59$30.0015.7%4.5%13.2%0.0%15.5%-2.5%2.2%65.8M-2.96B-20.0M0.801.64N/AN/A13,43310,8081,953,7301,386,742
2007-06-04$30.72$27.5017.0%5.3%12.4%0.0%18.4%1.8%0.1%65.1M-3.07B-19.6M0.631.61N/AN/A11,9547,5331,953,3761,390,336
2007-06-05$30.58$27.5017.8%5.3%12.3%0.0%18.2%2.1%0.3%65.3M-2.95B-19.7M0.401.68N/AN/A55,78222,2921,956,0231,393,511
2007-06-06$30.29$27.5016.5%5.4%12.8%0.0%18.4%2.3%0.3%69.2M-2.91B-19.7M0.731.39N/AN/A24,70017,9801,988,6791,403,924
2007-06-07$29.62$27.5018.3%5.5%14.9%0.0%19.7%1.2%-0.4%58.8M-2.29B-21.1M0.322.01N/AN/A70,40822,6431,982,9021,414,660
2007-06-08$30.05$27.5016.0%5.4%15.8%0.0%19.6%1.5%0.1%68.2M-2.65B-20.6M0.201.80N/AN/A99,06519,5982,003,9931,418,206
2007-06-11$30.02$27.5017.0%5.5%15.3%0.0%19.7%0.8%-0.3%72.5M-2.61B-21.1M0.962.36N/AN/A13,85913,2462,032,0431,419,133
2007-06-12$29.85$27.5018.1%5.6%15.3%0.0%21.7%1.8%-0.8%73.2M-2.51B-20.5M0.152.20N/AN/A160,08824,4592,034,6391,418,401
2007-06-13$30.39$27.5018.6%5.4%16.8%0.0%19.7%2.0%-0.2%75.2M-2.88B-20.2M0.341.67N/AN/A66,72022,6932,038,4891,424,981
2007-06-14$30.52$27.5018.5%5.3%16.8%0.0%18.6%2.3%0.1%70.9M-2.99B-20.3M1.481.82N/AN/A26,35438,9762,037,8991,435,848
2007-06-15$30.49$27.5018.1%5.2%16.7%0.0%15.3%1.8%-0.2%68.7M-2.98B-19.9M0.072.05N/AN/A83,7066,2742,033,7991,447,802
2007-06-18$30.51$27.5018.3%5.2%16.7%0.0%18.4%1.9%-1.3%65.5M-2.87B-20.1M1.171.56N/AN/A18,73821,9931,969,8941,394,135
2007-06-19$30.46$27.5017.8%5.1%16.4%0.0%17.8%1.7%-1.6%63.8M-2.82B-20.2M0.541.58N/AN/A15,0488,1361,972,8741,412,235
2007-06-20$30.01$27.5018.3%5.3%16.8%0.0%18.2%1.0%-0.6%61.0M-2.55B-20.6M0.961.47N/AN/A17,60016,8441,972,1541,406,531
2007-06-21$30.22$27.5017.6%5.0%17.0%0.0%17.6%1.8%-1.1%63.2M-2.68B-20.3M1.061.42N/AN/A20,90522,1211,977,1301,413,403
2007-06-22$29.49$27.5020.1%5.8%18.4%0.0%20.3%1.1%-0.7%52.6M-2.19B-21.3M0.461.98N/AN/A61,12028,1961,984,0231,421,163
2007-06-25$29.49$27.5020.4%5.8%18.0%0.0%20.9%1.4%-1.0%55.1M-2.21B-21.1M0.781.70N/AN/A20,32015,8042,005,5511,416,180
2007-06-26$29.52$27.5019.9%5.7%17.5%0.0%20.2%1.1%-0.6%55.6M-2.20B-21.1M0.571.91N/AN/A25,07714,3982,008,3811,424,173
2007-06-27$29.87$27.5019.1%5.5%17.6%0.0%19.4%1.1%-0.1%59.9M-2.44B-20.8M0.501.35N/AN/A23,52811,6552,013,3771,427,630
2007-06-28$29.83$27.5019.1%5.5%17.1%0.0%19.3%1.0%-0.3%60.6M-2.44B-20.8M0.211.26N/AN/A40,9208,6852,021,0441,431,455
2007-06-29$29.47$27.5020.5%5.9%17.5%0.0%21.1%1.2%-0.6%56.3M-2.16B-21.3M0.922.52N/AN/A31,01028,4792,039,4361,433,019