MSFT Options History — July 2007 In July 2007, MSFT traded between $28.99 and $31.51. ATM implied volatility averaged 23.1%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.9% (HV 20d: 18.3%). 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 2 of 21 days. Put/call ratio averaged 0.45.
Notable Days 2007-07-19 : Highest Volume — 333,011 contracts2007-07-12 : Largest IV drop — 26.0% change2007-07-11 : Highest IV Rank — 100.0%2007-07-31 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $30.15 $28.99 $31.51 $29.74 $28.99 Max Pain $29.52 $27.50 $30.00 $27.50 $30.00 ATM IV 23.1% 19.0% 29.8% 20.6% 25.8% Expected Move 6.4% 5.4% 7.4% 5.9% 7.4% HV 20d 18.3% 15.1% 21.3% 17.8% 21.2% HV 60d 16.8% 15.8% 17.8% 16.2% 17.2% IV Rank 57.7% 26.9% 100.0% 52.3% 73.2% IV Percentile 87.1% 61.4% 100.0% 88.9% 97.2% Term Structure -1.4% -5.7% 0.3% -0.9% -2.2% VWIV 22.4% 18.6% 25.8% 20.7% 25.8% Skew 25d 1.4% -0.9% 3.3% 1.2% 0.8% Skew 10d 2.6% -0.0% 6.3% 1.5% 1.3% Call IV 25d 22.6% 19.0% 26.2% 22.1% 26.2% Put IV 25d 24.0% 19.9% 27.1% 23.3% 27.1% Bid-Ask Spread % 2.00 1.06 3.10 1.06 2.66 Gamma HHI 0.37 0.29 0.44 0.41 0.35 Net GEX 66.1M 49.0M 88.3M 60.8M 49.0M Net DEX -2.65B -3.93B -1.65B -2.38B -1.65B Net VEX -20.7M -21.9M -19.3M -20.8M -21.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.20 0.93 0.20 0.35 Total Volume 96,308.619 28,890 333,011 28,890 87,747 Total OI 3,541,196.905 3,306,844 3,861,588 3,493,776 3,449,532
Daily Data (21 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 2007-07-02 $29.74 $27.50 20.6% 5.9% 17.8% 0.0% 20.7% 1.2% -0.9% 60.8M -2.38B -20.8M 0.20 1.06 N/A N/A 24,082 4,808 2,049,724 1,444,052 2007-07-03 $30.02 $27.50 20.4% 5.9% 18.2% 0.0% 20.5% 0.9% -0.9% 65.7M -2.58B -20.7M 0.45 1.20 N/A N/A 21,690 9,709 2,053,839 1,444,477 2007-07-05 $29.99 $27.50 22.3% 6.4% 17.9% 52.3% 22.3% 0.4% -2.0% 63.6M -2.55B -20.6M 0.46 1.07 N/A N/A 33,399 15,395 2,053,008 1,444,638 2007-07-06 $29.97 $30.00 22.1% 5.8% 15.9% 51.3% 20.9% 2.1% -0.7% 66.7M -2.54B -20.5M 0.66 2.09 N/A N/A 32,778 21,468 2,064,481 1,449,559 2007-07-09 $29.87 $27.50 23.9% 5.8% 15.1% 64.1% 21.1% 2.1% -0.8% 68.9M -2.51B -20.2M 0.53 2.16 N/A N/A 32,994 17,513 2,079,236 1,449,051 2007-07-10 $29.33 $30.00 28.5% 6.4% 16.4% 96.8% 22.8% 2.0% -0.9% 59.5M -2.09B -20.8M 0.40 1.98 N/A N/A 111,961 45,203 2,087,323 1,458,433 2007-07-11 $29.49 $30.00 29.8% 6.4% 16.4% 100.0% 22.5% 2.2% -0.9% 62.1M -2.23B -21.3M 0.62 2.15 N/A N/A 45,389 28,162 2,130,363 1,481,781 2007-07-12 $30.07 $30.00 22.1% 6.3% 16.7% 47.8% 21.9% 3.3% -0.2% 72.6M -2.76B -21.0M 0.41 1.77 N/A N/A 49,180 20,410 2,162,426 1,494,251 2007-07-13 $29.82 $30.00 22.9% 6.6% 16.8% 53.5% 23.2% 1.2% -2.0% 65.5M -2.50B -21.4M 0.35 1.82 N/A N/A 29,693 10,264 2,154,244 1,499,046 2007-07-16 $30.03 $30.00 23.6% 6.8% 17.1% 58.1% 23.4% 2.1% -1.4% 73.0M -2.81B -20.3M 0.33 1.58 N/A N/A 70,288 22,980 2,162,202 1,495,047 2007-07-17 $30.78 $30.00 24.7% 7.1% 19.3% 65.7% 24.7% 1.9% -2.8% 82.6M -3.42B -20.0M 0.33 1.96 N/A N/A 110,501 36,123 2,190,415 1,499,233 2007-07-18 $30.92 $30.00 24.6% 7.1% 19.3% 64.8% 24.5% 1.7% -3.3% 80.5M -3.40B -20.8M 0.24 1.42 N/A N/A 83,693 19,809 2,208,755 1,512,871 2007-07-19 $31.51 $30.00 25.4% 7.3% 19.4% 70.3% 25.4% -0.9% -5.7% 88.3M -3.93B -19.3M 0.62 3.10 N/A N/A 206,139 126,872 2,219,729 1,515,269 2007-07-20 $31.16 $30.00 19.9% 5.7% 19.9% 33.2% 19.8% 0.4% -0.1% 64.0M -3.73B -19.8M 0.36 1.99 N/A N/A 136,641 49,493 2,287,883 1,573,705 2007-07-23 $31.19 $30.00 20.8% 6.0% 17.4% 39.6% 20.7% 0.0% -1.6% 66.1M -3.02B -20.2M 0.61 2.20 N/A N/A 44,220 26,914 1,927,730 1,379,114 2007-07-24 $30.80 $30.00 19.8% 5.7% 18.2% 32.5% 19.6% 1.2% 0.1% 64.7M -2.78B -20.4M 0.39 2.03 N/A N/A 60,038 23,665 1,937,756 1,383,751 2007-07-25 $30.71 $30.00 19.0% 5.4% 18.3% 26.9% 18.6% 1.2% 0.3% 65.6M -2.69B -20.7M 0.31 1.78 N/A N/A 80,512 25,164 1,957,742 1,390,140 2007-07-26 $29.98 $30.00 21.7% 6.2% 20.1% 45.1% 22.2% 2.8% -0.7% 63.3M -2.41B -21.1M 0.93 2.91 N/A N/A 55,811 52,104 2,009,995 1,393,600 2007-07-27 $29.39 $30.00 24.0% 6.9% 21.3% 61.0% 24.7% 1.2% -1.1% 52.0M -1.86B -21.9M 0.58 2.25 N/A N/A 35,418 20,393 2,022,959 1,416,086 2007-07-30 $29.40 $30.00 23.8% 6.8% 20.9% 59.4% 24.3% 1.3% -1.2% 52.6M -1.86B -21.4M 0.39 2.76 N/A N/A 67,369 26,489 2,012,701 1,418,988 2007-07-31 $28.99 $30.00 25.8% 7.4% 21.2% 73.2% 25.8% 0.8% -2.2% 49.0M -1.65B -21.5M 0.35 2.66 N/A N/A 64,802 22,945 2,035,527 1,414,005
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