MSFT Options History — June 2008

In June 2008, MSFT traded between $27.12 and $29.07. ATM implied volatility averaged 29.6%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.2% (HV 20d: 28.4%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.67.

Notable Days

2008-06-13: Highest Volume — 285,023 contracts
2008-06-11: Largest IV spike — 22.0% change
2008-06-12: Highest IV Rank — 61.1%
2008-06-12: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.04	$27.12	$29.07	$27.80	$27.51
Max Pain	$29.00	$29.00	$29.00	$29.00	$29.00
ATM IV	29.6%	24.1%	34.9%	26.8%	31.8%
Expected Move	8.8%	6.9%	10.0%	7.7%	9.1%
HV 20d	28.4%	21.7%	32.2%	22.4%	31.6%
HV 60d	31.0%	30.4%	31.5%	31.3%	30.6%
IV Rank	44.1%	26.5%	61.1%	35.9%	50.9%
IV Percentile	71.3%	36.1%	90.1%	58.3%	83.7%
Term Structure	-1.1%	-4.5%	5.3%	4.1%	-2.4%
VWIV	30.9%	24.3%	34.3%	28.9%	32.4%
Skew 25d	3.5%	2.3%	5.3%	4.2%	2.3%
Skew 10d	6.9%	3.8%	11.0%	6.7%	4.0%
Call IV 25d	29.7%	23.7%	32.9%	26.4%	32.0%
Put IV 25d	33.2%	26.1%	37.3%	30.6%	34.3%
Bid-Ask Spread %	2.92	1.87	4.26	2.60	1.87
Gamma HHI	0.11	0.09	0.13	0.09	0.11
Net GEX	9.2M	-9.2M	35.5M	785.8K	5.6M
Net DEX	115.0M	-600.1M	639.2M	426.7M	389.6M
Net VEX	-19.6M	-21.0M	-18.4M	-18.9M	-19.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.36	1.60	0.61	0.48
Total Volume	119,352.667	62,810	285,023	199,424	64,844
Total OI	3,637,091.571	3,416,802	3,849,243	3,495,114	3,564,127

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
2008-06-02	$27.80	$29.00	26.8%	7.7%	22.4%	35.9%	28.9%	4.2%	4.1%	785.8K	426.7M	-18.9M	0.61	2.60	N/A	N/A	123,598	75,826	1,945,001	1,550,113
2008-06-03	$27.31	$29.00	29.1%	8.3%	23.1%	42.7%	28.4%	3.2%	2.0%	-5.1M	639.2M	-18.4M	0.91	2.84	N/A	N/A	81,359	73,889	1,937,175	1,568,113
2008-06-04	$27.54	$29.00	26.4%	7.6%	21.7%	34.0%	27.7%	4.3%	5.3%	-2.9M	496.3M	-18.8M	0.65	2.89	N/A	N/A	57,625	37,215	1,961,521	1,590,963
2008-06-05	$28.30	$29.00	24.1%	6.9%	23.7%	26.5%	24.3%	2.3%	5.0%	6.8M	98.5M	-19.4M	0.36	3.10	N/A	N/A	77,684	28,217	1,977,739	1,605,604
2008-06-06	$27.49	$29.00	27.9%	9.4%	25.6%	38.7%	33.0%	4.5%	-2.3%	-3.3M	465.4M	-19.2M	0.47	3.49	N/A	N/A	67,568	32,092	1,997,036	1,612,364
2008-06-09	$27.71	$29.00	26.0%	9.3%	25.8%	32.7%	32.4%	4.5%	-2.9%	-1.7M	345.4M	-19.3M	0.74	3.27	N/A	N/A	59,462	44,296	1,997,328	1,616,608
2008-06-10	$27.89	$29.00	25.7%	9.2%	24.6%	30.9%	30.9%	5.0%	-3.0%	-307.3K	253.7M	-19.5M	0.36	3.11	N/A	N/A	99,546	35,894	2,030,608	1,634,164
2008-06-11	$27.12	$29.00	31.4%	9.8%	26.0%	49.5%	34.3%	4.3%	-2.9%	-9.2M	599.5M	-19.2M	0.54	4.26	N/A	N/A	77,275	41,713	2,055,564	1,639,706
2008-06-12	$28.24	$29.00	34.9%	10.0%	30.5%	61.1%	34.3%	5.3%	-4.5%	14.1M	-104.2M	-20.5M	0.43	2.95	N/A	N/A	157,017	68,213	2,079,095	1,658,961
2008-06-13	$29.07	$29.00	30.3%	8.7%	31.7%	46.1%	30.9%	3.3%	-2.1%	31.1M	-600.1M	-21.0M	0.59	2.49	N/A	N/A	179,398	105,625	2,103,932	1,686,460
2008-06-16	$28.93	$29.00	30.6%	8.8%	31.4%	46.8%	31.1%	2.5%	-1.9%	24.4M	-431.2M	-20.5M	0.85	3.14	N/A	N/A	60,183	51,379	2,115,858	1,719,771
2008-06-17	$28.80	$29.00	30.1%	8.6%	30.8%	45.5%	31.0%	2.5%	-1.9%	27.4M	-382.8M	-20.4M	0.40	3.90	N/A	N/A	60,917	24,381	2,113,400	1,717,655
2008-06-18	$28.46	$29.00	30.6%	8.8%	29.9%	47.1%	31.0%	3.1%	-1.6%	14.2M	-143.9M	-20.3M	1.60	3.25	N/A	N/A	25,473	40,648	2,127,206	1,715,258
2008-06-19	$28.93	$29.00	29.8%	8.6%	29.8%	44.4%	30.0%	2.9%	-1.9%	35.5M	-441.2M	-20.3M	0.62	3.47	N/A	N/A	48,996	30,245	2,125,598	1,714,429
2008-06-20	$28.23	$29.00	30.8%	8.8%	31.0%	47.6%	30.6%	2.6%	-1.9%	6.4M	12.9M	-19.7M	0.61	2.71	N/A	N/A	89,389	54,538	2,125,348	1,723,895
2008-06-23	$27.97	$29.00	31.1%	8.9%	30.7%	48.8%	31.6%	2.7%	-2.5%	10.0M	104.0M	-19.5M	0.97	2.33	N/A	N/A	59,197	57,508	1,893,828	1,522,974
2008-06-24	$27.73	$29.00	31.8%	9.1%	30.4%	50.8%	32.4%	3.4%	-2.7%	8.5M	228.1M	-19.4M	0.90	2.94	N/A	N/A	42,069	37,955	1,916,732	1,549,440
2008-06-25	$28.35	$29.00	28.5%	8.2%	31.3%	40.1%	29.6%	3.1%	-0.1%	15.6M	-78.8M	-19.8M	0.62	2.50	N/A	N/A	47,456	29,491	1,919,051	1,558,186
2008-06-26	$27.75	$29.00	32.5%	9.3%	32.2%	53.3%	32.1%	3.5%	-2.6%	8.2M	251.6M	-19.4M	0.56	2.11	N/A	N/A	40,158	22,652	1,929,529	1,574,527
2008-06-27	$27.63	$29.00	32.1%	9.2%	32.2%	52.1%	32.0%	3.0%	-1.9%	6.9M	287.2M	-19.4M	0.74	2.18	N/A	N/A	54,852	40,563	1,929,529	1,574,527
2008-06-30	$27.51	$29.00	31.8%	9.1%	31.6%	50.9%	32.4%	2.3%	-2.4%	5.6M	389.6M	-19.4M	0.48	1.87	N/A	N/A	43,740	21,104	1,965,360	1,598,767