MSFT Options History — December 2007

In December 2007, MSFT traded between $32.77 and $36.61. ATM implied volatility averaged 24.2%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.2% (HV 20d: 27.5%). Max pain ranged from $27.50 to $32.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.40.

Notable Days

2007-12-13: Highest Volume — 173,295 contracts
2007-12-13: Largest IV spike — 9.8% change
2007-12-03: Highest IV Rank — 53.9%
2007-12-03: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.96	$32.77	$36.61	$32.92	$35.60
Max Pain	$28.50	$27.50	$32.50	$32.50	$27.50
ATM IV	24.2%	21.0%	26.7%	26.7%	24.2%
Expected Move	7.0%	6.0%	7.6%	7.6%	6.9%
HV 20d	27.5%	25.2%	31.3%	26.6%	26.5%
HV 60d	31.1%	29.7%	32.0%	29.7%	32.0%
IV Rank	42.7%	27.7%	53.9%	53.9%	42.6%
IV Percentile	73.0%	52.4%	87.9%	87.9%	75.2%
Term Structure	2.3%	0.2%	5.7%	1.3%	5.2%
VWIV	24.7%	20.5%	27.1%	26.6%	24.3%
Skew 25d	1.2%	-1.1%	3.0%	1.9%	1.8%
Skew 10d	2.5%	0.2%	6.3%	2.0%	1.5%
Call IV 25d	24.7%	21.6%	27.1%	26.6%	24.2%
Put IV 25d	25.9%	22.4%	28.5%	28.5%	26.0%
Bid-Ask Spread %	2.54	1.70	3.43	2.83	2.36
Gamma HHI	0.27	0.23	0.34	0.24	0.24
Net GEX	91.4M	71.8M	114.1M	71.8M	83.0M
Net DEX	-5.21B	-6.12B	-3.71B	-3.73B	-5.44B
Net VEX	-20.0M	-21.7M	-18.5M	-21.4M	-19.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.15	0.66	0.44	0.33
Total Volume	103,614.25	52,980	173,295	108,940	55,467
Total OI	4,338,098.15	4,147,799	4,487,002	4,248,510	4,233,472

Daily Data (20 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
2007-12-03	$32.92	$32.50	26.7%	7.6%	26.6%	53.9%	26.6%	1.9%	1.3%	71.8M	-3.73B	-21.4M	0.44	2.83	N/A	N/A	75,800	33,140	2,516,167	1,732,343
2007-12-04	$32.77	$32.50	25.5%	7.3%	26.6%	48.5%	25.9%	1.2%	1.9%	73.1M	-3.71B	-21.7M	0.56	2.13	N/A	N/A	47,974	26,816	2,549,723	1,743,642
2007-12-05	$34.15	$32.50	25.9%	7.4%	31.3%	50.4%	25.9%	-1.1%	1.0%	87.9M	-4.78B	-21.1M	0.50	2.31	N/A	N/A	98,822	49,117	2,554,871	1,753,143
2007-12-06	$34.55	$32.50	24.8%	7.1%	30.7%	45.5%	25.1%	0.4%	0.5%	94.5M	-5.00B	-21.0M	0.32	2.44	N/A	N/A	59,461	19,266	2,563,376	1,773,815
2007-12-07	$34.53	$27.50	24.3%	7.3%	29.6%	43.3%	26.2%	0.5%	1.2%	92.8M	-5.03B	-20.7M	0.34	3.13	N/A	N/A	39,493	13,487	2,566,671	1,771,971
2007-12-10	$34.76	$27.50	25.0%	7.1%	27.6%	46.2%	25.4%	1.0%	1.6%	98.1M	-5.18B	-20.4M	0.29	2.71	N/A	N/A	64,273	18,436	2,569,343	1,775,579
2007-12-11	$34.10	$27.50	23.4%	7.0%	28.3%	38.8%	25.0%	0.4%	1.7%	88.2M	-4.73B	-20.0M	0.30	3.35	N/A	N/A	110,007	32,922	2,568,134	1,779,838
2007-12-12	$34.47	$27.50	23.3%	7.1%	26.2%	38.3%	26.1%	0.7%	1.4%	95.7M	-4.92B	-20.4M	0.53	3.06	N/A	N/A	52,581	27,767	2,593,045	1,793,448
2007-12-13	$35.22	$27.50	25.6%	7.3%	26.6%	48.8%	26.3%	2.8%	1.2%	102.2M	-5.40B	-20.4M	0.31	2.92	N/A	N/A	132,009	41,286	2,585,442	1,801,907
2007-12-14	$35.31	$27.50	25.3%	7.2%	26.4%	47.4%	25.3%	3.0%	1.0%	106.0M	-5.58B	-19.8M	0.56	3.43	N/A	N/A	102,423	57,662	2,602,205	1,813,621
2007-12-17	$34.39	$27.50	26.2%	7.5%	28.1%	51.6%	27.1%	1.5%	0.2%	93.7M	-4.78B	-20.3M	0.37	2.32	N/A	N/A	70,299	26,243	2,605,012	1,842,596
2007-12-18	$34.74	$27.50	25.4%	7.3%	28.3%	47.9%	25.6%	2.5%	0.8%	111.3M	-5.11B	-20.4M	0.66	1.79	N/A	N/A	54,313	35,773	2,630,243	1,853,165
2007-12-19	$34.79	$27.50	23.9%	6.9%	27.6%	41.4%	24.9%	1.5%	1.5%	114.1M	-5.12B	-19.9M	0.45	2.21	N/A	N/A	54,963	24,466	2,612,107	1,866,273
2007-12-20	$35.52	$27.50	23.6%	6.8%	28.2%	40.0%	23.6%	1.3%	1.6%	105.4M	-5.77B	-19.6M	0.40	2.75	N/A	N/A	72,879	28,910	2,616,705	1,870,297
2007-12-21	$36.06	$27.50	22.4%	6.4%	28.5%	34.2%	22.2%	1.4%	2.5%	82.3M	-6.11B	-19.0M	0.39	1.79	N/A	N/A	60,991	24,024	2,608,661	1,875,487
2007-12-24	$36.58	$27.50	21.0%	6.0%	25.2%	27.7%	22.0%	0.3%	5.7%	83.5M	-6.12B	-18.6M	0.27	3.04	N/A	N/A	77,115	20,540	2,406,484	1,741,315
2007-12-26	$36.61	$27.50	21.6%	6.2%	25.2%	30.7%	22.2%	0.5%	5.5%	80.2M	-6.12B	-18.5M	0.40	1.70	N/A	N/A	55,689	22,206	2,429,262	1,748,803
2007-12-27	$35.97	$27.50	23.3%	6.7%	25.9%	38.3%	20.5%	0.8%	5.3%	84.7M	-5.77B	-18.9M	0.35	2.47	N/A	N/A	113,871	40,041	2,441,304	1,752,025
2007-12-28	$36.12	$27.50	23.1%	6.6%	25.8%	37.5%	23.1%	1.1%	5.3%	80.3M	-5.76B	-19.2M	0.15	1.99	N/A	N/A	114,443	17,310	2,452,818	1,767,650
2007-12-31	$35.60	$27.50	24.2%	6.9%	26.5%	42.6%	24.3%	1.8%	5.2%	83.0M	-5.44B	-19.4M	0.33	2.36	N/A	N/A	41,634	13,833	2,466,857	1,766,615