MSFT Options History — May 2008 In May 2008, MSFT traded between $28.05 and $30.45. ATM implied volatility averaged 26.4%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 7.2% (HV 20d: 33.6%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.57.
Notable Days 2008-05-12 : Highest Volume — 384,568 contracts2008-05-15 : Largest IV drop — 22.8% change2008-05-02 : Highest IV Rank — 59.8%2008-05-02 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $29.13 $28.05 $30.45 $29.40 $28.32 Max Pain $29.43 $29.00 $30.00 $29.00 $29.00 ATM IV 26.4% 21.6% 33.9% 33.1% 22.2% Expected Move 7.4% 6.2% 9.7% 9.5% 6.4% HV 20d 33.6% 21.7% 38.2% 37.3% 21.7% HV 60d 31.7% 31.3% 32.2% 31.8% 31.4% IV Rank 35.8% 21.0% 59.8% 57.3% 21.1% IV Percentile 52.1% 23.0% 88.5% 88.5% 23.0% Term Structure 1.8% -14.8% 5.1% -4.3% 4.9% VWIV 25.9% 21.8% 34.4% 33.8% 22.4% Skew 25d 1.0% -0.8% 2.1% -0.8% 0.2% Skew 10d 2.2% -0.4% 4.2% 0.3% 0.2% Call IV 25d 25.7% 21.6% 34.4% 33.7% 22.6% Put IV 25d 26.6% 22.7% 34.6% 32.9% 22.7% Bid-Ask Spread % 3.42 2.10 4.40 4.33 2.93 Gamma HHI 0.14 0.09 0.63 0.09 0.10 Net GEX 39.3M 7.6M 239.3M 30.3M 7.6M Net DEX -304.5M -1.23B 344.2M -404.9M 199.6M Net VEX -20.2M -21.9M -11.2M -21.7M -18.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.16 1.32 0.23 0.87 Total Volume 139,328.095 42,430 384,568 242,951 108,238 Total OI 3,607,846.619 2,466,292 3,934,784 3,717,356 3,449,383
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 2008-05-01 $29.40 $29.00 33.1% 9.5% 37.3% 57.3% 33.8% -0.8% -4.3% 30.3M -404.9M -21.7M 0.23 4.33 N/A N/A 197,299 45,652 2,127,037 1,590,319 2008-05-02 $29.24 $29.00 33.9% 9.7% 37.3% 59.8% 34.4% 0.1% -4.8% 33.1M -329.4M -21.8M 0.31 4.40 N/A N/A 142,942 43,873 2,195,137 1,598,278 2008-05-05 $29.08 $30.00 31.6% 7.9% 37.4% 52.4% 27.7% 0.7% 1.7% 29.7M -249.2M -21.4M 0.42 3.83 N/A N/A 229,235 97,075 2,210,704 1,600,820 2008-05-06 $29.70 $30.00 28.7% 7.5% 37.7% 43.2% 26.3% 0.8% 1.1% 47.3M -696.3M -21.9M 0.81 3.67 N/A N/A 115,411 93,252 2,239,386 1,635,776 2008-05-07 $29.21 $29.00 26.6% 7.6% 38.2% 36.7% 26.5% 0.9% 1.9% 32.3M -307.0M -21.9M 0.39 4.30 N/A N/A 114,200 44,216 2,255,905 1,676,145 2008-05-08 $29.27 $29.00 26.8% 7.6% 38.1% 37.1% 26.9% 1.2% 2.2% 30.5M -317.7M -21.8M 0.47 3.57 N/A N/A 45,572 21,615 2,253,535 1,668,741 2008-05-09 $29.39 $30.00 26.0% 7.6% 36.5% 34.8% 27.1% 1.0% 2.4% 33.4M -414.8M -21.5M 0.46 3.62 N/A N/A 56,326 25,632 2,254,728 1,661,752 2008-05-12 $29.99 $30.00 25.3% 7.0% 36.9% 32.7% 24.8% 1.2% 2.9% 55.4M -663.6M -11.2M 0.16 4.09 N/A N/A 332,072 52,496 1,466,491 999,801 2008-05-13 $29.78 $30.00 28.6% 7.0% 37.1% 42.9% 24.8% 1.4% 3.1% 49.2M -670.6M -21.8M 0.55 3.70 N/A N/A 80,550 44,279 2,237,690 1,697,094 2008-05-14 $29.93 $29.00 28.4% 7.0% 36.2% 42.5% 24.7% 1.2% 2.9% 57.5M -845.1M -21.4M 0.85 4.10 N/A N/A 72,651 61,798 2,219,033 1,681,383 2008-05-15 $30.45 $30.00 21.9% 6.3% 36.5% 22.0% 22.1% 1.2% 3.8% 71.0M -1.23B -21.2M 0.78 3.03 N/A N/A 71,506 55,925 2,203,767 1,702,328 2008-05-16 $29.99 $30.00 21.6% 6.2% 35.8% 21.0% 21.8% 1.8% 4.7% 239.3M -790.3M -21.2M 0.59 3.11 N/A N/A 98,901 58,344 2,199,879 1,694,577 2008-05-19 $29.46 $30.00 22.6% 6.5% 35.9% 24.0% 22.6% 1.0% 4.3% 24.9M -435.8M -20.5M 0.59 3.32 N/A N/A 77,243 45,547 1,850,491 1,485,968 2008-05-20 $28.76 $30.00 24.5% 7.0% 36.8% 30.0% 24.8% 0.9% 4.1% 16.4M -98.5M -20.2M 0.52 3.02 N/A N/A 84,477 44,123 1,868,372 1,490,273 2008-05-21 $28.25 $29.00 25.1% 7.2% 33.7% 31.8% 25.0% 1.2% 4.9% 10.9M 119.0M -19.9M 0.42 3.32 N/A N/A 67,756 28,534 1,892,938 1,500,997 2008-05-22 $28.47 $29.00 24.8% 7.1% 33.5% 30.9% 25.0% 1.5% 3.8% 14.6M -8.0M -20.2M 0.63 2.91 N/A N/A 29,613 18,655 1,903,826 1,498,241 2008-05-23 $28.05 $29.00 25.7% 7.4% 25.8% 34.0% 26.0% 1.2% 5.0% 8.8M 230.3M -19.7M 0.62 2.10 N/A N/A 47,003 28,981 1,907,492 1,506,810 2008-05-27 $28.44 $29.00 25.5% 7.3% 24.6% 33.3% 25.8% 2.1% 3.4% 14.5M 25.2M -19.9M 0.57 3.01 N/A N/A 28,375 16,296 1,927,404 1,516,993 2008-05-28 $28.18 $29.00 26.0% 7.5% 24.5% 33.3% 26.0% 1.7% 5.1% 10.5M 145.4M -19.5M 0.46 2.81 N/A N/A 39,585 18,212 1,925,965 1,516,597 2008-05-29 $28.31 $29.00 25.3% 7.3% 24.5% 31.1% 25.8% 0.3% -14.8% 7.8M 344.2M -15.8M 1.32 2.65 N/A N/A 18,278 24,152 1,937,039 1,515,684 2008-05-30 $28.32 $29.00 22.2% 6.4% 21.7% 21.1% 22.4% 0.2% 4.9% 7.6M 199.6M -18.9M 0.87 2.93 N/A N/A 57,860 50,378 1,923,290 1,526,093
« Apr 2008 | All History | Jun 2008 » Home MSFT History May 2008