MSFT Options History — November 2007 In November 2007, MSFT traded between $32.97 and $37.06. ATM implied volatility averaged 27.7%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 11.6% (HV 20d: 39.3%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.62.
Notable Days 2007-11-01 : Highest Volume — 510,746 contracts2007-11-13 : Largest IV drop — 24.2% change2007-11-12 : Highest IV Rank — 100.0%2007-11-09 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $34.51 $32.97 $37.06 $37.06 $33.60 Max Pain $33.81 $32.50 $35.00 $32.50 $32.50 ATM IV 27.7% 23.0% 36.6% 29.4% 26.6% Expected Move 7.7% 6.6% 8.9% 8.4% 7.6% HV 20d 39.3% 26.1% 45.6% 38.3% 26.1% HV 60d 28.6% 26.8% 29.8% 28.0% 29.6% IV Rank 63.0% 37.0% 100.0% 80.4% 53.5% IV Percentile 89.8% 69.1% 100.0% 95.7% 87.4% Term Structure 0.7% -1.1% 2.5% -1.1% 1.4% VWIV 27.3% 23.4% 31.4% 30.7% 26.1% Skew 25d 1.2% -2.9% 2.9% -2.8% 1.2% Skew 10d 2.7% -4.6% 7.0% -4.6% 2.4% Call IV 25d 27.2% 22.8% 33.0% 33.0% 26.0% Put IV 25d 28.4% 25.4% 32.3% 30.2% 27.2% Bid-Ask Spread % 2.55 1.57 3.22 2.15 1.79 Gamma HHI 0.21 0.17 0.24 0.19 0.24 Net GEX 76.0M 39.9M 87.3M 78.1M 78.3M Net DEX -4.68B -6.68B -2.37B -6.65B -4.17B Net VEX -21.3M -23.4M -15.6M -19.5M -21.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.38 1.34 0.38 0.57 Total Volume 159,289.81 55,715 510,746 510,746 73,684 Total OI 4,193,988.619 2,834,201 4,406,021 4,119,308 4,232,758
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 2007-11-01 $37.06 $32.50 29.4% 8.4% 38.3% 80.4% 30.7% -2.8% -1.1% 78.1M -6.65B -19.5M 0.38 2.15 N/A N/A 371,222 139,524 2,440,048 1,679,260 2007-11-02 $37.06 $32.50 26.7% 7.6% 38.4% 64.9% 27.9% -2.9% -0.8% 84.8M -6.68B -20.0M 0.39 3.02 N/A N/A 194,294 76,621 2,523,625 1,723,750 2007-11-05 $36.73 $35.00 27.3% 7.3% 38.9% 68.7% 26.0% 0.1% 0.1% 87.3M -6.40B -20.2M 0.42 2.41 N/A N/A 93,039 39,147 2,551,634 1,748,164 2007-11-06 $36.41 $35.00 26.4% 6.9% 39.4% 63.4% 24.4% 0.9% 0.5% 86.4M -6.21B -20.2M 0.65 2.36 N/A N/A 147,454 95,367 2,552,386 1,762,557 2007-11-07 $35.52 $35.00 29.3% 7.7% 41.3% 79.2% 26.9% 1.6% -0.1% 77.2M -5.44B -21.6M 0.79 3.22 N/A N/A 66,435 52,243 2,562,789 1,797,282 2007-11-08 $34.74 $35.00 28.2% 7.7% 42.1% 73.2% 27.8% 1.7% -0.2% 71.0M -4.84B -22.2M 0.72 2.90 N/A N/A 133,015 95,996 2,570,201 1,796,008 2007-11-09 $33.73 $35.00 31.8% 8.9% 44.1% 93.4% 31.4% 1.2% -1.0% 69.5M -4.03B -23.4M 0.55 3.14 N/A N/A 138,910 76,741 2,574,433 1,809,863 2007-11-12 $33.38 $35.00 36.6% 8.9% 44.4% 100.0% 30.9% 0.7% -0.2% 72.1M -3.87B -23.2M 0.38 3.21 N/A N/A 177,817 67,463 2,589,116 1,812,001 2007-11-13 $34.46 $35.00 27.8% 7.5% 45.4% 59.2% 27.2% 2.4% 1.1% 73.4M -4.58B -22.2M 0.54 2.58 N/A N/A 146,950 79,229 2,563,734 1,811,138 2007-11-14 $33.93 $32.50 29.6% 7.7% 45.4% 67.7% 27.9% 2.3% 0.6% 80.7M -4.44B -22.0M 0.39 2.80 N/A N/A 60,218 23,370 2,599,924 1,798,884 2007-11-15 $33.76 $32.50 26.4% 7.6% 45.6% 52.8% 27.6% 2.2% 1.1% 39.9M -2.37B -15.6M 1.34 2.34 N/A N/A 34,140 45,731 1,610,916 1,223,285 2007-11-16 $34.09 $32.50 24.1% 6.9% 43.5% 42.1% 25.6% 2.9% 2.0% 77.9M -4.44B -21.9M 0.69 2.36 N/A N/A 70,297 48,497 2,598,478 1,807,543 2007-11-19 $33.96 $32.50 24.4% 7.0% 43.6% 43.6% 25.0% 2.9% 2.3% 77.2M -4.33B -21.7M 0.49 2.83 N/A N/A 37,426 18,289 2,410,072 1,657,333 2007-11-20 $34.58 $32.50 23.0% 6.6% 43.8% 37.0% 23.4% 2.8% 2.5% 83.4M -4.78B -21.6M 0.51 3.01 N/A N/A 84,266 42,728 2,428,986 1,671,304 2007-11-21 $34.23 $35.00 25.2% 7.2% 44.1% 47.2% 26.0% 1.1% 1.7% 80.2M -4.58B -21.6M 1.24 2.17 N/A N/A 59,987 74,577 2,439,085 1,687,202 2007-11-23 $34.11 $35.00 26.4% 7.6% 43.6% 52.5% 27.0% 1.5% 1.4% 78.6M -4.46B -21.8M 0.40 2.60 N/A N/A 41,877 16,644 2,465,026 1,723,121 2007-11-26 $32.97 $35.00 28.6% 8.2% 31.0% 62.7% 28.8% 1.1% 1.4% 70.2M -3.73B -21.8M 0.74 1.96 N/A N/A 65,219 48,190 2,472,754 1,708,244 2007-11-27 $33.06 $35.00 28.6% 8.2% 30.8% 62.7% 28.7% 1.2% 0.6% 71.9M -3.79B -21.9M 0.50 2.95 N/A N/A 90,809 45,744 2,485,888 1,712,889 2007-11-28 $33.70 $32.50 28.8% 8.3% 29.8% 63.7% 28.1% 1.9% -0.4% 78.3M -4.30B -21.6M 0.54 1.57 N/A N/A 65,432 35,084 2,507,478 1,725,675 2007-11-29 $33.59 $32.50 27.0% 7.7% 26.4% 55.3% 26.8% 1.4% 1.1% 78.8M -4.20B -21.6M 0.72 2.24 N/A N/A 41,584 29,826 2,507,500 1,731,427 2007-11-30 $33.60 $32.50 26.6% 7.6% 26.1% 53.5% 26.1% 1.2% 1.4% 78.3M -4.17B -21.6M 0.57 1.79 N/A N/A 46,917 26,767 2,507,329 1,725,429
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