MSFT Options History — August 2007 In August 2007, MSFT traded between $27.81 and $30.00. ATM implied volatility averaged 24.6%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.4% (HV 20d: 23.2%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.63.
Notable Days 2007-08-10 : Highest Volume — 124,963 contracts2007-08-27 : Largest IV spike — 29.4% change2007-08-10 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $28.67 $27.81 $30.00 $29.30 $28.73 Max Pain $28.91 $27.50 $30.00 $30.00 $27.50 ATM IV 24.6% 16.3% 31.5% 23.6% 22.7% Expected Move 6.8% 4.7% 8.5% 6.8% 6.5% HV 20d 23.2% 21.3% 25.7% 21.3% 23.5% HV 60d 19.6% 17.4% 21.0% 17.4% 20.6% IV Rank 59.9% 8.3% 100.0% 58.0% 46.9% IV Percentile 82.6% 7.4% 100.0% 86.9% 77.2% Term Structure 0.7% -1.5% 3.7% 0.1% 0.3% VWIV 23.4% 17.2% 29.5% 24.6% 20.4% Skew 25d 3.2% 1.9% 4.5% 4.0% 3.1% Skew 10d 6.5% 1.8% 12.3% 12.3% 6.3% Call IV 25d 22.6% 16.5% 28.8% 25.3% 19.4% Put IV 25d 25.8% 19.8% 32.2% 29.3% 22.4% Bid-Ask Spread % 2.78 2.15 4.17 2.61 2.35 Gamma HHI 0.32 0.25 0.37 0.33 0.34 Net GEX 42.8M 27.1M 64.0M 52.0M 45.5M Net DEX -1.46B -2.15B -1.03B -1.82B -1.56B Net VEX -21.0M -22.1M -20.2M -22.1M -20.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.28 1.28 0.28 0.57 Total Volume 57,585.304 17,161 124,963 76,167 23,467 Total OI 3,469,411.391 3,324,882 3,587,111 3,467,281 3,436,075
Daily Data (23 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 2007-08-01 $29.30 $30.00 23.6% 6.8% 21.3% 58.0% 24.6% 4.0% 0.1% 52.0M -1.82B -22.1M 0.28 2.61 N/A N/A 59,578 16,589 2,049,481 1,417,800 2007-08-02 $29.52 $30.00 22.7% 6.5% 21.5% 52.0% 23.1% 2.4% -0.2% 57.4M -2.03B -21.3M 0.42 3.43 N/A N/A 33,947 14,189 2,045,536 1,421,726 2007-08-03 $28.96 $30.00 25.6% 7.3% 22.4% 71.2% 25.8% 2.0% -1.5% 49.7M -1.66B -21.3M 0.66 2.15 N/A N/A 40,345 26,507 2,046,849 1,427,039 2007-08-06 $29.54 $30.00 23.0% 6.4% 23.7% 54.3% 22.8% 3.0% 0.1% 60.1M -1.95B -21.6M 0.92 2.80 N/A N/A 27,678 25,386 2,067,431 1,439,247 2007-08-07 $29.55 $30.00 22.9% 6.1% 22.8% 53.1% 21.7% 3.3% 0.8% 57.5M -1.87B -21.2M 0.37 2.79 N/A N/A 36,242 13,405 2,055,674 1,447,717 2007-08-08 $30.00 $30.00 20.1% 5.9% 23.3% 34.3% 20.9% 3.7% 0.4% 64.0M -2.15B -21.6M 0.54 3.43 N/A N/A 34,008 18,269 2,061,919 1,447,446 2007-08-09 $28.92 $30.00 25.8% 6.9% 25.7% 73.0% 24.8% 4.0% -0.1% 47.0M -1.55B -21.4M 0.86 3.30 N/A N/A 59,313 50,950 2,069,203 1,454,519 2007-08-10 $28.71 $30.00 31.3% 8.2% 25.7% 100.0% 26.7% 4.5% -0.6% 41.6M -1.39B -22.0M 0.50 2.55 N/A N/A 83,180 41,783 2,079,430 1,477,013 2007-08-13 $28.63 $30.00 31.5% 7.7% 25.5% 100.0% 25.8% 3.3% -0.3% 40.6M -1.36B -21.9M 0.45 2.98 N/A N/A 40,382 18,303 2,108,796 1,478,315 2007-08-14 $28.27 $30.00 31.4% 7.8% 23.6% 99.6% 26.3% 3.4% -0.2% 35.0M -1.14B -21.2M 0.33 2.82 N/A N/A 27,828 9,141 2,080,433 1,474,508 2007-08-15 $28.10 $30.00 29.7% 8.0% 23.4% 89.0% 27.1% 3.8% -0.2% 31.4M -1.17B -20.7M 0.75 2.86 N/A N/A 21,606 16,132 2,084,650 1,451,065 2007-08-16 $27.81 $30.00 29.8% 8.5% 21.7% 89.7% 29.5% 3.4% 0.8% 27.1M -1.03B -21.4M 1.12 3.42 N/A N/A 38,981 43,466 2,090,066 1,460,853 2007-08-17 $28.25 $30.00 25.6% 7.3% 23.0% 64.4% 25.1% 2.7% 2.4% 32.6M -1.19B -21.1M 0.77 4.17 N/A N/A 39,063 30,199 2,086,576 1,452,482 2007-08-20 $28.26 $27.50 24.1% 6.9% 22.9% 55.2% 23.0% 3.7% 2.3% 34.7M -1.26B -20.7M 0.38 2.37 N/A N/A 54,731 20,804 1,925,584 1,399,298 2007-08-21 $28.07 $27.50 23.5% 6.7% 22.8% 51.9% 23.1% 3.1% 2.0% 33.8M -1.17B -21.0M 0.70 2.15 N/A N/A 43,406 30,547 1,963,721 1,412,561 2007-08-22 $28.22 $27.50 22.4% 6.4% 23.0% 44.7% 22.0% 2.4% 2.0% 36.0M -1.24B -20.7M 0.73 2.52 N/A N/A 28,909 21,118 1,970,430 1,419,894 2007-08-23 $28.30 $27.50 22.3% 6.4% 21.9% 44.1% 21.5% 3.9% 1.0% 37.4M -1.27B -20.5M 1.28 2.23 N/A N/A 22,731 29,088 1,971,351 1,425,387 2007-08-24 $28.81 $27.50 16.3% 4.7% 22.1% 8.3% 17.2% 3.4% 3.7% 44.7M -1.58B -20.5M 0.56 2.69 N/A N/A 33,339 18,824 1,979,583 1,429,821 2007-08-27 $28.49 $27.50 21.1% 6.1% 22.4% 37.4% 19.9% 2.3% 1.7% 40.5M -1.39B -20.3M 0.47 2.45 N/A N/A 11,645 5,516 1,983,394 1,425,378 2007-08-28 $27.93 $27.50 23.6% 6.8% 22.9% 52.1% 23.2% 2.7% 0.9% 32.9M -1.09B -20.4M 0.81 2.50 N/A N/A 24,292 19,726 1,982,963 1,428,452 2007-08-29 $28.59 $27.50 23.2% 6.6% 24.3% 49.6% 21.5% 3.1% 0.7% 41.7M -1.44B -20.4M 0.54 2.25 N/A N/A 30,079 16,187 1,993,034 1,434,211 2007-08-30 $28.45 $27.50 22.8% 6.5% 24.1% 47.7% 22.2% 1.9% 1.1% 40.6M -1.39B -20.5M 0.42 3.09 N/A N/A 16,636 6,947 2,001,111 1,438,440 2007-08-31 $28.73 $27.50 22.7% 6.5% 23.5% 46.9% 20.4% 3.1% 0.3% 45.5M -1.56B -20.2M 0.57 2.35 N/A N/A 14,951 8,516 1,999,072 1,437,003
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