MSFT Options History — February 2008 In February 2008, MSFT traded between $27.20 and $30.45. ATM implied volatility averaged 30.9%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 3.8% (HV 20d: 34.6%). 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 19 of 20 days. Put/call ratio averaged 0.72.
Notable Days 2008-02-01 : Highest Volume — 448,034 contracts2008-02-11 : Largest IV spike — 28.6% change2008-02-11 : Highest IV Rank — 74.8%2008-02-07 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $28.46 $27.20 $30.45 $30.45 $27.20 Max Pain $29.45 $27.50 $32.50 $32.50 $29.00 ATM IV 30.9% 25.6% 38.7% 29.6% 29.5% Expected Move 8.5% 7.3% 9.6% 8.5% 8.4% HV 20d 34.6% 30.4% 37.8% 37.3% 32.2% HV 60d 30.4% 29.7% 31.3% 30.8% 30.0% IV Rank 50.1% 33.6% 74.8% 46.3% 45.7% IV Percentile 86.7% 69.4% 98.0% 89.3% 83.7% Term Structure 0.8% -0.3% 2.0% -0.3% 1.8% VWIV 29.9% 26.0% 33.1% 30.7% 30.4% Skew 25d 2.1% -1.4% 3.6% -1.4% 0.6% Skew 10d 4.0% -2.0% 7.0% -2.0% 2.3% Call IV 25d 29.5% 25.8% 32.8% 32.0% 30.1% Put IV 25d 31.6% 26.9% 35.3% 30.6% 30.8% Bid-Ask Spread % 2.58 1.80 3.96 2.01 2.48 Gamma HHI 0.12 0.11 0.17 0.17 0.12 Net GEX 19.8M 8.6M 36.8M 20.3M 8.6M Net DEX 223.2M -260.0M 542.0M -260.0M 446.7M Net VEX -18.5M -19.5M -17.9M -18.7M -18.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.33 2.45 0.55 0.43 Total Volume 184,632.25 69,233 448,034 448,034 142,819 Total OI 3,186,790.6 2,795,464 3,555,570 2,795,464 3,230,312
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 2008-02-01 $30.45 $32.50 29.6% 8.5% 37.3% 46.3% 30.7% -1.4% -0.3% 20.3M -260.0M -18.7M 0.55 2.01 N/A N/A 288,587 159,447 1,722,063 1,073,401 2008-02-04 $30.19 $31.00 30.5% 8.4% 36.5% 49.0% 28.9% 2.0% 0.2% 23.5M -189.4M -19.0M 0.51 3.96 N/A N/A 130,382 66,119 1,851,552 1,127,261 2008-02-05 $29.07 $31.00 37.1% 9.0% 37.8% 69.6% 31.7% 0.9% 0.5% 16.4M 197.7M -18.5M 0.69 3.03 N/A N/A 143,057 98,172 1,899,365 1,152,929 2008-02-06 $28.52 $31.00 35.5% 9.2% 36.8% 64.7% 32.7% 2.3% 0.1% 14.4M 393.3M -18.1M 0.91 2.90 N/A N/A 111,985 102,017 1,925,436 1,169,997 2008-02-07 $28.12 $30.00 35.7% 9.6% 34.1% 65.2% 33.0% 2.3% 0.4% 11.0M 542.0M -18.0M 0.53 2.36 N/A N/A 194,462 103,063 1,954,615 1,208,508 2008-02-08 $28.56 $29.00 30.1% 9.1% 35.3% 47.7% 31.9% 3.4% 0.9% 21.4M 286.3M -18.8M 0.78 2.51 N/A N/A 138,586 108,136 2,047,019 1,239,354 2008-02-11 $28.21 $29.00 38.7% 9.5% 35.3% 74.8% 33.1% 3.1% 0.5% 16.4M 466.3M -18.4M 0.51 2.20 N/A N/A 140,695 71,538 2,081,357 1,287,630 2008-02-12 $28.34 $29.00 34.8% 9.0% 34.6% 62.5% 32.0% 2.9% 0.9% 24.7M 353.2M -18.9M 0.33 3.33 N/A N/A 125,960 41,404 2,146,523 1,314,843 2008-02-13 $28.96 $29.00 31.8% 8.6% 36.3% 53.2% 29.9% 3.4% 0.8% 36.8M 44.2M -19.5M 0.53 2.31 N/A N/A 116,948 61,504 2,148,825 1,322,206 2008-02-14 $28.50 $29.00 29.6% 8.5% 36.0% 46.2% 30.2% 2.4% 1.1% 30.6M 292.3M -18.9M 0.65 3.09 N/A N/A 107,397 69,995 2,170,329 1,335,170 2008-02-15 $28.42 $29.00 29.1% 8.4% 36.0% 44.7% 29.4% 2.9% 1.3% 23.4M 423.9M -18.9M 0.57 1.80 N/A N/A 67,419 38,700 2,178,733 1,376,837 2008-02-19 $28.17 $29.00 30.6% 8.8% 36.0% 49.2% 29.7% 3.5% 0.7% 17.1M 282.7M -18.3M 2.45 2.21 N/A N/A 73,645 180,320 1,801,419 1,214,701 2008-02-20 $28.22 $29.00 29.7% 8.5% 35.0% 46.5% 28.3% 3.6% 0.5% 18.8M 141.4M -18.3M 0.60 2.07 N/A N/A 73,926 44,723 1,830,800 1,182,171 2008-02-21 $28.10 $29.00 29.8% 8.5% 35.0% 46.7% 28.8% 2.6% 0.0% 19.0M 192.1M -18.4M 0.34 2.78 N/A N/A 110,188 37,189 1,870,506 1,196,010 2008-02-22 $27.68 $29.00 28.1% 8.0% 30.4% 41.2% 28.3% 2.8% 0.7% 16.8M 320.4M -18.0M 0.75 2.34 N/A N/A 76,168 57,394 1,890,816 1,191,901 2008-02-25 $27.84 $29.00 28.1% 8.1% 30.9% 41.4% 28.3% 1.2% 0.8% 16.8M 270.1M -17.9M 0.44 2.25 N/A N/A 68,559 30,041 1,900,590 1,202,587 2008-02-26 $28.38 $27.50 25.7% 7.4% 32.4% 33.7% 26.2% 1.6% 1.6% 24.5M -9.4M -18.6M 1.35 2.99 N/A N/A 69,905 94,565 1,924,421 1,203,957 2008-02-27 $28.26 $29.00 25.6% 7.3% 32.4% 33.6% 26.0% 1.1% 1.6% 19.4M 73.4M -18.7M 0.71 2.12 N/A N/A 40,437 28,796 1,936,630 1,235,021 2008-02-28 $27.93 $29.00 27.6% 7.9% 32.4% 39.8% 27.8% 0.9% 2.0% 16.1M 196.4M -18.6M 0.70 2.93 N/A N/A 46,056 32,341 1,948,037 1,241,980 2008-02-29 $27.20 $29.00 29.5% 8.4% 32.2% 45.7% 30.4% 0.6% 1.8% 8.6M 446.7M -18.2M 0.43 2.48 N/A N/A 99,858 42,961 1,967,630 1,262,682
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