MSFT Options History — October 2007 In October 2007, MSFT traded between $29.45 and $36.81. ATM implied volatility averaged 23.9%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.8% (HV 20d: 19.1%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.40.
Notable Days 2007-10-26 : Highest Volume — 823,892 contracts2007-10-11 : Largest IV spike — 29.3% change2007-10-23 : Highest IV Rank — 100.0%2007-10-24 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $31.22 $29.45 $36.81 $29.77 $36.81 Max Pain $30.22 $30.00 $32.50 $30.00 $32.50 ATM IV 23.9% 17.2% 33.0% 19.1% 26.9% Expected Move 7.1% 5.1% 9.5% 5.5% 7.7% HV 20d 19.1% 12.8% 38.2% 15.8% 38.2% HV 60d 21.2% 19.0% 28.1% 20.6% 28.1% IV Rank 52.5% 13.3% 100.0% 25.2% 66.3% IV Percentile 73.4% 19.9% 100.0% 50.8% 93.3% Term Structure -1.4% -6.7% 5.5% 4.8% -2.6% VWIV 24.9% 17.8% 31.6% 19.3% 28.2% Skew 25d 1.9% -0.1% 3.3% 1.7% -0.1% Skew 10d 2.9% 1.3% 5.9% 2.2% 2.8% Call IV 25d 25.0% 19.8% 31.5% 20.9% 28.4% Put IV 25d 26.9% 21.7% 34.1% 22.6% 28.2% Bid-Ask Spread % 2.30 1.37 3.74 1.37 2.69 Gamma HHI 0.37 0.20 0.47 0.42 0.20 Net GEX 81.8M 65.0M 103.0M 73.4M 82.0M Net DEX -3.25B -6.55B -2.05B -2.32B -6.55B Net VEX -18.6M -19.9M -16.9M -18.7M -18.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.19 0.84 0.26 0.38 Total Volume 172,302.913 35,134 823,892 57,192 432,165 Total OI 3,667,171.783 3,416,497 4,025,706 3,565,961 4,025,706
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 2007-10-01 $29.77 $30.00 19.1% 5.5% 15.8% 25.2% 19.3% 1.7% 4.8% 73.4M -2.32B -18.7M 0.26 1.37 N/A N/A 45,436 11,756 2,093,886 1,472,075 2007-10-02 $29.70 $30.00 19.5% 5.6% 15.9% 27.5% 19.7% 1.4% 4.8% 71.8M -2.26B -18.8M 0.84 1.70 N/A N/A 21,229 17,805 2,106,832 1,473,915 2007-10-03 $29.45 $30.00 18.6% 5.3% 15.6% 21.7% 18.6% 1.9% 5.0% 68.1M -2.05B -18.9M 0.57 1.66 N/A N/A 30,268 17,137 2,106,823 1,484,000 2007-10-04 $29.71 $30.00 17.7% 5.1% 15.0% 16.8% 17.8% 2.0% 5.5% 77.4M -2.26B -18.9M 0.64 1.77 N/A N/A 22,579 14,464 2,118,994 1,488,522 2007-10-05 $29.84 $30.00 17.2% 6.5% 13.5% 13.3% 21.7% 3.1% -0.1% 81.2M -2.41B -18.5M 0.42 2.63 N/A N/A 24,794 10,340 2,116,245 1,489,973 2007-10-08 $29.84 $30.00 17.9% 6.6% 13.5% 17.9% 23.2% 2.0% -1.4% 82.0M -2.36B -18.4M 0.29 1.82 N/A N/A 28,025 8,031 2,114,368 1,490,759 2007-10-09 $30.10 $30.00 18.7% 6.5% 12.8% 22.8% 22.7% 1.5% -1.3% 88.3M -2.61B -18.1M 0.42 1.97 N/A N/A 67,422 28,142 2,125,693 1,489,820 2007-10-10 $30.23 $30.00 18.2% 6.4% 12.8% 19.9% 22.2% 2.0% -1.3% 90.0M -2.72B -18.1M 0.47 2.24 N/A N/A 32,008 15,054 2,138,678 1,498,930 2007-10-11 $29.91 $30.00 23.6% 6.8% 13.4% 52.2% 23.7% 2.0% -1.6% 82.1M -2.45B -18.2M 0.68 2.85 N/A N/A 66,067 44,690 2,141,768 1,504,886 2007-10-12 $30.17 $30.00 24.0% 6.9% 13.5% 54.7% 25.3% 2.9% -2.1% 88.5M -2.66B -18.5M 0.44 2.64 N/A N/A 37,878 16,751 2,166,040 1,514,338 2007-10-15 $30.04 $30.00 25.5% 7.3% 12.9% 63.6% 25.3% 2.3% -2.6% 89.5M -2.61B -18.6M 0.28 2.31 N/A N/A 41,148 11,728 2,174,992 1,512,105 2007-10-16 $30.32 $30.00 25.6% 7.3% 13.0% 64.3% 25.6% 2.2% -3.0% 90.7M -2.77B -18.4M 0.19 1.92 N/A N/A 93,269 17,470 2,178,493 1,508,451 2007-10-17 $31.08 $30.00 26.2% 7.5% 14.5% 67.9% 25.6% 2.1% -3.5% 83.3M -3.34B -18.4M 0.48 3.74 N/A N/A 94,610 45,066 2,199,393 1,515,866 2007-10-18 $31.16 $30.00 26.6% 7.6% 13.8% 70.2% 26.2% 2.0% -3.4% 83.9M -3.26B -18.5M 0.22 2.66 N/A N/A 61,491 13,307 2,180,811 1,533,697 2007-10-19 $30.17 $30.00 28.1% 8.0% 18.9% 79.3% 28.3% 1.7% -3.8% 103.0M -2.69B -18.8M 0.23 2.07 N/A N/A 129,148 29,646 2,181,655 1,536,445 2007-10-22 $30.51 $30.00 30.3% 8.7% 18.6% 92.8% 30.3% 1.8% -5.4% 65.0M -2.57B -19.0M 0.38 1.96 N/A N/A 120,958 45,405 2,011,626 1,404,871 2007-10-23 $30.90 $30.00 31.7% 9.1% 18.3% 100.0% 31.6% 1.4% -6.3% 71.4M -2.87B -19.4M 0.31 2.46 N/A N/A 107,944 33,862 2,072,236 1,422,404 2007-10-24 $31.25 $30.00 33.0% 9.5% 18.5% 100.0% 31.6% 3.3% -6.7% 75.3M -3.14B -19.9M 0.32 2.86 N/A N/A 150,458 47,789 2,125,842 1,442,469 2007-10-25 $31.99 $30.00 29.0% 8.3% 19.8% 78.1% 29.9% 2.0% -4.4% 82.2M -3.63B -19.7M 0.32 2.17 N/A N/A 371,178 119,348 2,153,156 1,458,101 2007-10-26 $35.03 $30.00 23.8% 6.8% 36.5% 49.2% 25.0% 0.9% -1.2% 83.9M -5.87B -16.9M 0.36 2.50 N/A N/A 606,720 217,172 2,274,350 1,516,819 2007-10-29 $34.57 $30.00 23.3% 6.7% 37.3% 46.4% 24.0% 0.4% 0.3% 86.7M -5.59B -18.2M 0.38 2.45 N/A N/A 228,780 86,999 2,293,513 1,537,515 2007-10-30 $35.57 $32.50 25.3% 7.3% 37.8% 57.6% 25.8% 2.6% -1.1% 81.8M -5.81B -18.7M 0.34 2.38 N/A N/A 222,581 74,849 2,327,723 1,620,167 2007-10-31 $36.81 $32.50 26.9% 7.7% 38.2% 66.3% 28.2% -0.1% -2.6% 82.0M -6.55B -18.2M 0.38 2.69 N/A N/A 312,539 119,626 2,383,536 1,642,170
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