MSFT Options History — September 2007 In September 2007, MSFT traded between $28.42 and $29.56. ATM implied volatility averaged 22.0%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.7% (HV 20d: 19.3%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.57.
Notable Days 2007-09-24 : Highest Volume — 144,222 contracts2007-09-18 : Largest IV drop — 22.7% change2007-09-17 : Highest IV Rank — 70.5%2007-09-17 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $28.93 $28.42 $29.56 $28.81 $29.46 Max Pain $29.61 $27.50 $30.00 $27.50 $30.00 ATM IV 22.0% 19.1% 26.6% 20.6% 19.1% Expected Move 6.4% 5.5% 7.6% 5.9% 5.5% HV 20d 19.3% 15.8% 22.6% 22.3% 15.8% HV 60d 20.6% 20.3% 20.9% 20.4% 20.5% IV Rank 42.3% 25.0% 70.5% 34.3% 25.0% IV Percentile 70.6% 49.5% 94.9% 65.5% 49.5% Term Structure 1.3% -1.2% 4.5% 0.1% 4.0% VWIV 22.4% 19.4% 24.7% 22.2% 19.4% Skew 25d 2.3% -1.1% 4.8% 2.2% 0.7% Skew 10d 4.9% -1.5% 9.4% 4.2% -0.5% Call IV 25d 22.1% 20.0% 25.3% 20.8% 21.0% Put IV 25d 24.4% 21.3% 28.2% 23.0% 21.7% Bid-Ask Spread % 2.13 1.28 3.47 3.00 1.47 Gamma HHI 0.35 0.32 0.40 0.34 0.40 Net GEX 49.9M 36.7M 66.0M 47.1M 66.0M Net DEX -1.68B -2.17B -1.32B -1.61B -2.09B Net VEX -19.5M -20.1M -18.8M -19.9M -18.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.11 1.15 0.54 0.76 Total Volume 51,409.211 23,192 144,222 34,433 49,844 Total OI 3,512,148.368 3,438,069 3,569,899 3,438,069 3,546,220
Daily Data (19 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 2007-09-04 $28.81 $27.50 20.6% 5.9% 22.3% 34.3% 22.2% 2.2% 0.1% 47.1M -1.61B -19.9M 0.54 3.00 N/A N/A 22,339 12,094 2,001,196 1,436,873 2007-09-05 $28.48 $27.50 23.3% 6.7% 22.6% 50.5% 22.5% 1.1% 1.0% 41.5M -1.41B -20.0M 0.49 3.16 N/A N/A 23,076 11,257 2,008,711 1,441,533 2007-09-06 $28.91 $27.50 19.8% 5.7% 22.6% 29.2% 21.0% 3.2% 1.6% 50.0M -1.72B -19.9M 0.27 3.47 N/A N/A 46,021 12,553 2,019,225 1,442,105 2007-09-07 $28.44 $30.00 24.0% 7.3% 19.3% 55.0% 24.3% 4.1% -0.8% 41.4M -1.37B -20.0M 1.11 2.45 N/A N/A 17,476 19,313 2,036,047 1,451,298 2007-09-10 $28.48 $30.00 25.0% 7.6% 19.2% 60.7% 23.6% 4.8% -0.6% 39.9M -1.37B -20.1M 0.11 2.89 N/A N/A 49,932 5,624 2,022,010 1,461,933 2007-09-11 $28.93 $30.00 20.3% 6.5% 20.0% 32.5% 24.2% 3.9% 0.8% 50.6M -1.70B -20.1M 1.09 1.63 N/A N/A 13,440 14,624 2,058,238 1,464,282 2007-09-12 $28.93 $30.00 20.2% 6.5% 19.4% 31.7% 23.9% 3.8% 0.9% 47.1M -1.64B -19.8M 0.32 2.22 N/A N/A 24,030 7,698 2,025,106 1,468,427 2007-09-13 $29.16 $30.00 22.0% 6.3% 19.3% 42.8% 22.4% 4.0% 0.9% 52.7M -1.81B -19.6M 0.24 2.46 N/A N/A 40,677 9,900 2,031,066 1,468,795 2007-09-14 $29.04 $30.00 22.1% 6.3% 18.9% 43.5% 23.6% 4.3% 0.7% 52.5M -1.73B -19.9M 0.66 1.74 N/A N/A 14,001 9,191 2,049,335 1,469,901 2007-09-17 $28.73 $30.00 26.6% 7.6% 18.7% 70.5% 24.7% 3.8% -1.2% 42.8M -1.51B -19.3M 0.83 1.69 N/A N/A 21,146 17,460 2,040,109 1,467,564 2007-09-18 $28.93 $30.00 20.6% 5.9% 18.9% 34.0% 21.8% 3.5% 1.4% 48.7M -1.61B -19.1M 1.15 1.87 N/A N/A 37,947 43,645 2,050,736 1,476,153 2007-09-19 $28.67 $30.00 24.2% 6.9% 19.0% 55.8% 22.5% 3.2% -0.0% 41.6M -1.43B -19.2M 0.54 1.89 N/A N/A 29,121 15,651 2,066,333 1,488,789 2007-09-20 $28.42 $30.00 23.0% 6.6% 19.2% 48.5% 22.1% 2.3% 0.6% 36.7M -1.32B -19.0M 0.41 2.25 N/A N/A 18,055 7,440 2,073,105 1,488,865 2007-09-21 $28.65 $30.00 21.5% 6.2% 19.4% 39.4% 21.3% 0.2% 2.1% 42.3M -1.49B -19.1M 0.62 1.73 N/A N/A 38,066 23,711 2,081,860 1,488,039 2007-09-24 $29.08 $30.00 24.0% 6.9% 19.1% 54.9% 24.1% -1.1% 1.6% 51.8M -1.79B -19.2M 0.35 1.72 N/A N/A 106,812 37,410 2,020,823 1,447,418 2007-09-25 $29.56 $30.00 21.6% 6.2% 19.4% 40.0% 21.8% 0.7% 4.3% 65.1M -2.17B -19.4M 0.42 2.16 N/A N/A 52,704 22,257 2,075,948 1,463,974 2007-09-26 $29.50 $30.00 19.7% 5.7% 17.7% 28.9% 19.9% -0.3% 4.5% 64.6M -2.11B -18.9M 0.38 1.31 N/A N/A 54,747 20,643 2,072,634 1,471,102 2007-09-27 $29.49 $30.00 19.4% 5.6% 15.9% 26.9% 19.9% -0.2% 3.7% 65.8M -2.12B -19.1M 0.48 1.28 N/A N/A 18,156 8,714 2,087,822 1,467,244 2007-09-28 $29.46 $30.00 19.1% 5.5% 15.8% 25.0% 19.4% 0.7% 4.0% 66.0M -2.09B -18.8M 0.76 1.47 N/A N/A 28,304 21,540 2,083,909 1,462,311
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