MSFT Options History — March 2008 In March 2008, MSFT traded between $26.99 and $29.42. ATM implied volatility averaged 30.6%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.6% (HV 20d: 29.0%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.81.
Notable Days 2008-03-11 : Highest Volume — 189,539 contracts2008-03-14 : Largest IV spike — 15.7% change2008-03-17 : Highest IV Rank — 69.2%2008-03-17 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $28.37 $26.99 $29.42 $26.99 $28.38 Max Pain $29.50 $27.50 $30.00 $27.50 $30.00 ATM IV 30.6% 26.8% 36.9% 31.1% 29.4% Expected Move 8.9% 8.1% 10.6% 8.9% 8.4% HV 20d 29.0% 22.8% 34.0% 23.4% 32.7% HV 60d 30.7% 29.0% 31.9% 30.0% 31.9% IV Rank 49.2% 37.2% 69.2% 50.9% 45.4% IV Percentile 84.8% 72.6% 96.8% 89.3% 77.8% Term Structure 2.0% -2.7% 6.5% 1.0% 6.5% VWIV 31.4% 28.2% 38.1% 32.0% 30.5% Skew 25d 3.7% -0.5% 5.9% -0.5% 4.4% Skew 10d 6.9% -0.8% 12.0% -0.8% 8.0% Call IV 25d 30.0% 26.6% 35.8% 32.6% 29.1% Put IV 25d 33.7% 29.8% 41.2% 32.1% 33.5% Bid-Ask Spread % 3.18 2.04 5.84 2.04 2.37 Gamma HHI 0.13 0.11 0.21 0.11 0.12 Net GEX 19.4M 4.7M 44.4M 10.2M 7.2M Net DEX -46.7M -635.9M 445.0M 445.0M 58.2M Net VEX -19.8M -20.6M -18.5M -18.5M -19.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.40 2.47 0.57 0.78 Total Volume 99,880.55 57,787 189,539 69,174 61,214 Total OI 3,334,116.9 3,064,081 3,488,118 3,354,129 3,201,562
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 2008-03-03 $26.99 $27.50 31.1% 8.9% 23.4% 50.9% 32.0% -0.5% 1.0% 10.2M 445.0M -18.5M 0.57 2.04 N/A N/A 43,934 25,240 2,081,314 1,272,815 2008-03-04 $27.59 $27.50 30.6% 8.8% 25.4% 49.2% 31.1% 0.7% 1.4% 17.1M 214.3M -19.6M 2.47 2.20 N/A N/A 47,265 116,563 2,090,913 1,279,163 2008-03-05 $28.12 $27.50 28.3% 8.1% 23.5% 42.0% 28.2% 2.3% 2.4% 21.4M 36.9M -19.4M 0.63 2.25 N/A N/A 62,172 38,867 2,060,805 1,291,423 2008-03-06 $27.57 $27.50 29.3% 8.4% 23.5% 45.1% 29.7% 2.1% 1.8% 11.5M 299.9M -19.0M 1.02 2.25 N/A N/A 33,462 34,219 2,051,953 1,295,373 2008-03-07 $27.87 $30.00 28.4% 9.1% 23.4% 42.4% 31.4% 2.8% 0.9% 15.3M 154.1M -19.2M 1.08 2.86 N/A N/A 43,413 46,808 2,064,565 1,313,954 2008-03-10 $28.05 $30.00 31.3% 9.5% 22.8% 51.5% 32.8% 2.6% 0.2% 18.4M 52.2M -19.7M 0.40 2.89 N/A N/A 41,255 16,532 2,070,060 1,337,694 2008-03-11 $29.28 $30.00 26.8% 8.5% 27.2% 37.2% 29.6% 4.1% 1.2% 41.3M -546.8M -20.6M 0.54 2.24 N/A N/A 123,239 66,300 2,081,854 1,336,411 2008-03-12 $28.63 $30.00 29.8% 8.8% 28.5% 46.7% 32.0% 3.5% 0.6% 24.2M -184.3M -20.4M 0.53 3.78 N/A N/A 81,603 43,652 2,065,892 1,364,466 2008-03-13 $28.62 $30.00 30.4% 8.7% 27.4% 48.7% 30.6% 3.5% 1.3% 27.3M -201.2M -20.2M 0.53 3.08 N/A N/A 67,379 35,406 2,076,045 1,356,327 2008-03-14 $27.96 $30.00 35.2% 10.1% 28.0% 63.8% 34.7% 4.1% -0.6% 14.6M 109.8M -20.0M 0.97 5.84 N/A N/A 88,554 86,006 2,072,445 1,368,082 2008-03-17 $28.30 $30.00 36.9% 10.6% 28.4% 69.2% 38.1% 5.5% -2.7% 20.1M -52.6M -20.2M 0.49 4.09 N/A N/A 72,899 36,087 2,094,798 1,386,128 2008-03-18 $29.42 $30.00 32.6% 9.3% 31.4% 55.5% 33.4% 5.8% -0.3% 44.4M -635.9M -20.5M 0.50 3.38 N/A N/A 96,804 48,623 2,100,652 1,387,466 2008-03-19 $28.62 $30.00 31.7% 9.1% 33.1% 52.8% 31.7% 5.9% 0.5% 25.1M -136.1M -20.0M 0.61 4.26 N/A N/A 56,406 34,657 2,089,654 1,395,632 2008-03-20 $29.18 $30.00 30.6% 8.8% 33.7% 49.4% 30.9% 5.9% 1.4% 43.4M -420.7M -20.3M 0.57 3.14 N/A N/A 47,376 27,240 2,085,748 1,397,007 2008-03-24 $29.17 $30.00 29.6% 8.5% 33.1% 46.0% 29.7% 4.3% 4.9% 14.6M -275.6M -20.1M 0.77 3.08 N/A N/A 38,811 29,909 1,792,951 1,271,130 2008-03-25 $29.14 $30.00 28.5% 8.2% 33.1% 42.7% 29.1% 4.9% 5.6% 13.6M -231.9M -20.0M 0.90 3.07 N/A N/A 43,541 39,007 1,803,316 1,288,145 2008-03-26 $28.56 $30.00 28.8% 8.2% 33.4% 43.5% 29.7% 4.6% 5.6% 8.9M -15.6M -19.8M 0.67 4.20 N/A N/A 48,691 32,486 1,824,021 1,305,386 2008-03-27 $28.05 $30.00 30.9% 8.9% 34.0% 50.4% 30.6% 3.6% 4.6% 4.7M 179.4M -19.1M 0.45 3.34 N/A N/A 49,343 22,099 1,825,240 1,319,708 2008-03-28 $27.91 $30.00 31.5% 9.0% 33.8% 52.2% 31.3% 3.6% 4.0% 4.7M 217.1M -19.2M 1.78 3.20 N/A N/A 25,352 45,197 1,857,423 1,324,817 2008-03-31 $28.38 $30.00 29.4% 8.4% 32.7% 45.4% 30.5% 4.4% 6.5% 7.2M 58.2M -19.7M 0.78 2.37 N/A N/A 34,486 26,728 1,866,921 1,334,641
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