MSFT Options History — January 2008 In January 2008, MSFT traded between $31.93 and $35.37. ATM implied volatility averaged 34.4%, placing in the 77.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 7.1% (HV 20d: 27.3%). Max pain ranged from $27.50 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.51.
Notable Days 2008-01-24 : Highest Volume — 561,399 contracts2008-01-25 : Largest IV drop — 31.8% change2008-01-16 : Highest IV Rank — 100.0%2008-01-24 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $33.51 $31.93 $35.37 $35.22 $32.60 Max Pain $33.45 $27.50 $35.00 $27.50 $32.50 ATM IV 34.4% 26.4% 46.7% 26.4% 27.7% Expected Move 10.0% 7.6% 13.4% 7.6% 7.9% HV 20d 27.3% 23.6% 29.9% 25.6% 29.8% HV 60d 31.9% 27.5% 34.0% 32.2% 27.7% IV Rank 77.4% 39.5% 100.0% 52.8% 40.2% IV Percentile 95.6% 84.1% 100.0% 86.9% 84.1% Term Structure -5.2% -11.7% 4.4% 4.4% -1.1% VWIV 35.1% 26.6% 46.4% 26.6% 28.5% Skew 25d 2.3% 0.1% 4.9% 1.8% 2.0% Skew 10d 4.0% 0.0% 10.0% 1.7% 3.5% Call IV 25d 34.6% 26.4% 44.6% 27.0% 27.6% Put IV 25d 36.8% 28.5% 49.5% 28.9% 29.6% Bid-Ask Spread % 2.74 2.00 4.60 2.92 2.43 Gamma HHI 0.23 0.15 0.31 0.24 0.23 Net GEX 62.8M 27.5M 85.7M 82.6M 45.4M Net DEX -3.12B -5.33B -849.9M -5.21B -1.09B Net VEX -19.9M -20.9M -19.1M -19.6M -20.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.12 0.90 0.44 0.50 Total Volume 162,401.476 50,468 561,399 107,563 108,845 Total OI 3,726,604.476 2,349,263 4,523,333 4,243,637 2,786,449
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 2008-01-02 $35.22 $27.50 26.4% 7.6% 25.6% 52.8% 26.6% 1.8% 4.4% 82.6M -5.21B -19.6M 0.44 2.92 N/A N/A 74,792 32,771 2,471,725 1,771,912 2008-01-03 $35.37 $27.50 26.6% 7.6% 25.4% 53.6% 26.7% 2.1% 4.2% 85.7M -5.33B -19.4M 0.90 2.00 N/A N/A 34,900 31,324 2,495,991 1,788,521 2008-01-04 $34.38 $35.00 29.8% 9.5% 23.8% 68.6% 33.9% 0.1% -5.5% 79.2M -4.50B -20.2M 0.56 2.61 N/A N/A 78,014 43,612 2,493,140 1,804,904 2008-01-07 $34.61 $35.00 32.7% 9.6% 23.6% 81.7% 33.9% 1.3% -6.0% 81.4M -4.65B -20.1M 0.74 2.33 N/A N/A 61,255 45,215 2,510,987 1,820,582 2008-01-08 $33.45 $35.00 34.4% 10.1% 26.5% 89.5% 35.2% 1.0% -6.4% 74.0M -3.84B -20.0M 0.47 3.44 N/A N/A 95,419 44,472 2,521,288 1,840,668 2008-01-09 $34.44 $35.00 31.7% 9.8% 28.6% 77.0% 34.6% 2.5% -6.3% 78.6M -4.52B -20.0M 0.57 2.31 N/A N/A 80,654 45,886 2,520,930 1,848,918 2008-01-10 $34.33 $35.00 34.8% 10.0% 27.7% 91.6% 35.3% 2.9% -7.1% 81.3M -4.44B -19.8M 0.51 2.46 N/A N/A 50,207 25,686 2,540,368 1,860,302 2008-01-11 $33.91 $35.00 35.4% 10.2% 27.8% 94.4% 35.8% 2.1% -7.5% 77.6M -4.18B -19.7M 0.77 2.50 N/A N/A 28,559 21,909 2,549,765 1,852,996 2008-01-14 $34.39 $35.00 35.9% 10.3% 27.1% 96.5% 36.7% 3.0% -7.5% 80.8M -4.47B -19.6M 0.34 2.13 N/A N/A 67,516 22,843 2,545,277 1,860,930 2008-01-15 $34.00 $35.00 36.0% 10.3% 27.3% 97.1% 36.5% 1.3% -7.9% 79.6M -4.22B -19.4M 0.12 2.96 N/A N/A 200,005 24,560 2,561,002 1,868,985 2008-01-16 $33.23 $35.00 38.6% 11.1% 26.9% 100.0% 38.5% 1.2% -8.6% 69.2M -3.79B -19.9M 0.64 4.60 N/A N/A 100,824 64,574 2,634,695 1,871,076 2008-01-17 $33.11 $35.00 40.4% 11.6% 26.5% 100.0% 40.5% 0.9% -9.3% 64.5M -3.67B -20.0M 0.44 3.47 N/A N/A 85,417 37,959 2,631,381 1,891,952 2008-01-18 $33.01 $35.00 39.9% 11.4% 26.5% 97.7% 39.2% 3.0% -9.3% 63.0M -3.71B -19.5M 0.36 2.52 N/A N/A 125,092 45,051 2,631,252 1,886,862 2008-01-22 $31.99 $35.00 42.1% 12.1% 26.9% 100.0% 42.6% 3.6% -10.4% 27.5M -849.9M -19.1M 0.49 2.35 N/A N/A 162,070 79,373 1,427,463 921,800 2008-01-23 $31.93 $32.50 45.4% 13.0% 25.8% 100.0% 46.4% 4.6% -11.7% 29.7M -916.9M -19.5M 0.64 2.80 N/A N/A 130,457 83,718 1,478,677 951,353 2008-01-24 $33.25 $32.50 46.7% 13.4% 29.9% 100.0% 46.1% 4.9% -8.5% 36.0M -1.44B -20.8M 0.41 3.31 N/A N/A 399,347 162,052 1,519,972 985,635 2008-01-25 $32.94 $32.50 31.8% 9.1% 29.9% 53.2% 31.6% 3.8% -1.6% 50.5M -1.41B -20.9M 0.41 2.39 N/A N/A 267,291 110,836 1,708,353 1,051,433 2008-01-28 $32.72 $32.50 30.4% 8.7% 29.5% 48.7% 30.8% 1.8% -1.4% 47.7M -1.24B -20.6M 0.49 2.48 N/A N/A 92,681 45,637 1,725,568 1,068,330 2008-01-29 $32.60 $32.50 28.6% 8.2% 29.3% 43.0% 29.6% 2.4% -1.0% 44.7M -1.15B -20.2M 0.45 2.59 N/A N/A 51,503 23,163 1,709,233 1,074,734 2008-01-30 $32.20 $32.50 27.5% 7.9% 29.3% 39.5% 28.3% 1.1% -0.9% 38.8M -925.9M -19.5M 0.51 2.90 N/A N/A 82,811 42,131 1,708,253 1,065,032 2008-01-31 $32.60 $32.50 27.7% 7.9% 29.8% 40.2% 28.5% 2.0% -1.1% 45.4M -1.09B -20.1M 0.50 2.43 N/A N/A 72,487 36,358 1,721,311 1,065,138
« Dec 2007 | All History | Feb 2008 » Home MSFT History January 2008