MSFT Options History — July 2008 In July 2008, MSFT traded between $25.15 and $27.52. ATM implied volatility averaged 35.8%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 0.8% (HV 20d: 35.0%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.72.
Notable Days 2008-07-17 : Highest Volume — 557,715 contracts2008-07-10 : Largest IV drop — 22.6% change2008-07-09 : Highest IV Rank — 100.0%2008-07-15 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $25.98 $25.15 $27.52 $26.87 $25.72 Max Pain $26.77 $26.00 $29.00 $29.00 $26.00 ATM IV 35.8% 26.9% 48.4% 36.3% 30.1% Expected Move 9.9% 7.7% 12.1% 10.4% 8.6% HV 20d 35.0% 22.8% 43.1% 32.1% 40.8% HV 60d 32.1% 30.9% 33.9% 30.9% 32.8% IV Rank 61.6% 33.1% 100.0% 65.7% 43.1% IV Percentile 82.3% 47.6% 100.0% 94.0% 66.7% Term Structure -2.5% -6.2% 0.8% -4.2% 0.8% VWIV 34.8% 27.5% 42.8% 37.7% 30.4% Skew 25d 4.0% 0.5% 7.8% 3.9% 1.4% Skew 10d 8.2% 1.8% 15.8% 8.9% 1.8% Call IV 25d 33.0% 26.5% 39.5% 36.1% 29.9% Put IV 25d 37.0% 28.3% 46.3% 40.0% 31.3% Bid-Ask Spread % 3.37 2.16 4.80 2.16 2.46 Gamma HHI 0.11 0.09 0.14 0.11 0.11 Net GEX -2.0M -14.8M 19.1M -1.6M 2.6M Net DEX 809.5M -145.5M 1.37B 686.9M 681.9M Net VEX -17.6M -19.2M -16.3M -18.6M -17.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.22 1.53 0.74 0.71 Total Volume 161,518.727 66,483 557,715 151,108 91,174 Total OI 3,629,188.045 3,273,253 4,174,207 3,571,689 3,551,254
Daily Data (22 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 2008-07-01 $26.87 $29.00 36.3% 10.4% 32.1% 65.7% 37.7% 3.9% -4.2% -1.6M 686.9M -18.6M 0.74 2.16 N/A N/A 86,812 64,296 1,962,218 1,609,471 2008-07-02 $25.88 $29.00 40.5% 11.6% 34.4% 79.7% 41.2% 4.5% -5.5% -7.7M 1.07B -17.5M 1.53 2.98 N/A N/A 53,376 81,408 1,987,150 1,612,689 2008-07-03 $25.98 $29.00 38.4% 11.0% 32.6% 72.8% 39.9% 4.9% -3.9% -10.8M 1.09B -17.9M 1.21 2.25 N/A N/A 30,143 36,529 1,991,453 1,646,234 2008-07-07 $26.03 $28.00 44.1% 10.7% 31.3% 91.3% 37.5% 6.0% -3.3% -9.4M 1.04B -17.3M 1.14 3.03 N/A N/A 82,029 93,414 1,994,909 1,634,166 2008-07-08 $25.85 $27.00 46.4% 10.2% 31.1% 98.8% 37.2% 5.3% -3.7% -11.9M 1.14B -16.9M 0.47 3.40 N/A N/A 156,176 73,405 2,013,211 1,644,326 2008-07-09 $25.23 $27.00 48.4% 10.8% 31.7% 100.0% 37.5% 4.5% -3.7% -12.3M 1.31B -16.3M 0.89 3.53 N/A N/A 54,030 47,962 2,049,887 1,656,274 2008-07-10 $25.45 $27.00 37.4% 10.7% 30.8% 65.8% 37.1% 5.2% -3.4% -11.8M 1.25B -16.6M 1.18 4.33 N/A N/A 48,705 57,240 2,063,823 1,670,459 2008-07-11 $25.25 $27.00 38.8% 11.1% 26.2% 70.2% 38.8% 5.2% -3.7% -13.2M 1.30B -16.8M 0.73 4.47 N/A N/A 64,590 46,895 2,079,661 1,702,653 2008-07-14 $25.15 $27.00 40.7% 11.7% 22.8% 76.0% 40.1% 5.5% -4.9% -14.8M 1.37B -16.5M 0.71 4.38 N/A N/A 53,002 37,529 2,082,359 1,714,714 2008-07-15 $26.15 $27.00 42.3% 12.1% 28.1% 81.1% 42.8% 7.5% -6.2% -5.5M 884.1M -17.7M 0.63 4.80 N/A N/A 240,039 150,901 2,095,541 1,724,640 2008-07-16 $27.26 $26.00 39.1% 11.2% 32.6% 70.9% 39.3% 7.8% -5.4% 12.4M 176.1M -18.7M 0.39 4.34 N/A N/A 157,397 61,995 2,205,708 1,760,579 2008-07-17 $27.52 $26.00 37.4% 10.7% 32.7% 65.7% 38.3% 6.9% -4.2% 19.1M -145.5M -19.2M 0.66 4.57 N/A N/A 335,711 222,004 2,250,459 1,775,019 2008-07-18 $25.86 $26.00 30.3% 8.7% 38.4% 43.7% 31.0% 4.2% 0.8% -1.7M 1.10B -17.7M 0.76 3.70 N/A N/A 187,968 143,345 2,328,794 1,845,413 2008-07-21 $25.64 $26.00 29.8% 8.5% 37.7% 41.9% 30.3% 3.6% -2.3% -2.5M 756.4M -17.1M 0.70 2.93 N/A N/A 76,791 53,472 1,777,677 1,495,576 2008-07-22 $25.80 $26.00 26.9% 7.7% 37.9% 33.1% 27.5% 1.8% -0.3% -9.2K 679.9M -17.2M 0.32 3.12 N/A N/A 60,807 19,402 1,813,594 1,506,704 2008-07-23 $26.43 $26.00 28.0% 8.0% 39.1% 36.2% 27.8% 2.5% -0.4% 8.1M 387.2M -18.1M 0.37 2.96 N/A N/A 70,591 26,036 1,826,746 1,528,480 2008-07-24 $25.44 $26.00 30.4% 8.7% 40.0% 44.0% 30.5% 0.5% 0.1% -3.5M 779.3M -17.2M 0.44 2.64 N/A N/A 46,233 20,250 1,830,552 1,535,867 2008-07-25 $26.16 $26.00 28.7% 8.2% 41.2% 38.6% 28.7% 2.2% -0.1% 6.6M 491.9M -17.9M 0.66 3.19 N/A N/A 71,227 47,170 1,852,329 1,542,521 2008-07-28 $25.50 $26.00 32.1% 9.2% 41.9% 49.2% 31.8% 1.2% -0.8% -2.6M 797.0M -17.2M 0.65 2.75 N/A N/A 61,642 40,247 1,875,396 1,574,480 2008-07-29 $26.11 $26.00 29.9% 8.6% 43.1% 42.2% 30.1% 1.4% -0.5% 6.5M 519.5M -17.9M 0.22 3.34 N/A N/A 66,859 14,902 1,904,725 1,592,085 2008-07-30 $26.23 $26.00 30.8% 8.8% 42.4% 45.2% 30.8% 2.5% 0.5% 10.1M 440.1M -18.1M 0.68 2.72 N/A N/A 71,049 48,659 1,933,866 1,598,475 2008-07-31 $25.72 $26.00 30.1% 8.6% 40.8% 43.1% 30.4% 1.4% 0.8% 2.6M 681.9M -17.6M 0.71 2.46 N/A N/A 53,331 37,843 1,943,388 1,607,866
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