MSFT Options History — September 2008 In September 2008, MSFT traded between $24.57 and $27.62. ATM implied volatility averaged 36.3%, placing in the 59.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.7% (HV 20d: 31.5%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.86.
Notable Days 2008-09-16 : Highest Volume — 264,556 contracts2008-09-29 : Largest IV spike — 50.1% change2008-09-17 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $26.18 $24.57 $27.62 $27.10 $26.69 Max Pain $26.90 $26.00 $27.00 $26.00 $27.00 ATM IV 36.3% 27.0% 51.9% 27.0% 42.0% Expected Move 10.5% 7.7% 14.9% 7.7% 12.0% HV 20d 31.5% 21.2% 55.8% 25.8% 55.8% HV 60d 34.4% 31.7% 42.1% 33.0% 42.1% IV Rank 59.8% 31.5% 100.0% 31.5% 71.6% IV Percentile 78.4% 42.5% 100.0% 42.5% 94.8% Term Structure -0.4% -9.3% 3.8% 2.2% 0.0% VWIV 36.8% 26.9% 49.1% 26.9% 44.2% Skew 25d 6.3% 1.6% 11.2% 3.1% 7.4% Skew 10d 12.6% 3.4% 19.9% 6.0% 13.8% Call IV 25d 34.0% 26.0% 45.6% 26.0% 39.6% Put IV 25d 40.3% 29.1% 56.8% 29.1% 47.0% Bid-Ask Spread % 4.10 2.35 7.05 3.61 4.67 Gamma HHI 0.12 0.09 0.31 0.10 0.09 Net GEX 2.8M -48.9M 33.6M 18.7M 10.3M Net DEX 464.3M -324.0M 1.28B 79.0M 181.7M Net VEX -18.9M -19.9M -17.9M -19.1M -19.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.38 1.74 0.97 0.62 Total Volume 119,685.667 51,613 264,556 99,116 76,297 Total OI 3,911,369.619 3,717,408 4,218,602 3,717,408 3,950,348
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 2008-09-02 $27.10 $26.00 27.0% 7.7% 25.8% 31.5% 26.9% 3.1% 2.2% 18.7M 79.0M -19.1M 0.97 3.61 N/A N/A 50,281 48,835 2,047,579 1,669,829 2008-09-03 $26.90 $26.00 27.4% 7.8% 23.0% 32.7% 28.7% 3.3% 2.3% 16.4M 195.6M -19.7M 1.74 3.00 N/A N/A 18,860 32,753 2,074,184 1,699,136 2008-09-04 $26.35 $27.00 29.0% 8.3% 21.5% 38.0% 29.4% 1.6% 3.6% 4.6M 447.4M -19.0M 1.32 3.04 N/A N/A 33,536 44,416 2,078,180 1,720,127 2008-09-05 $25.65 $27.00 28.8% 9.0% 22.6% 37.4% 32.3% 3.6% 1.2% -10.5M 839.4M -18.1M 1.21 2.35 N/A N/A 72,344 87,443 2,088,279 1,735,601 2008-09-08 $26.12 $27.00 29.6% 9.0% 21.2% 39.7% 32.9% 4.9% 1.0% -1.3M 670.2M -18.6M 1.12 2.47 N/A N/A 39,278 44,159 2,111,183 1,754,787 2008-09-09 $26.10 $27.00 32.0% 9.4% 21.2% 47.5% 32.7% 4.5% -0.1% 178.3K 618.6M -18.3M 0.69 3.37 N/A N/A 47,196 32,544 2,109,839 1,745,621 2008-09-10 $26.44 $27.00 30.6% 9.1% 21.6% 43.0% 31.8% 4.8% 0.1% 7.1M 411.8M -18.7M 0.84 3.91 N/A N/A 32,071 27,059 2,126,310 1,750,933 2008-09-11 $27.34 $27.00 30.2% 8.7% 25.1% 41.8% 30.9% 4.4% 0.6% 25.7M -98.4M -19.5M 0.88 3.96 N/A N/A 38,571 34,055 2,134,584 1,766,199 2008-09-12 $27.62 $27.00 29.2% 8.4% 25.4% 38.6% 30.0% 5.2% 1.8% 33.6M -324.0M -19.7M 1.13 4.70 N/A N/A 37,066 42,057 2,140,043 1,777,714 2008-09-15 $26.82 $27.00 33.4% 9.6% 27.4% 52.1% 33.8% 6.8% -1.7% 15.5M 183.2M -19.0M 0.74 4.78 N/A N/A 49,154 36,510 2,141,926 1,772,600 2008-09-16 $25.99 $27.00 36.0% 10.3% 29.4% 60.3% 36.5% 7.4% -2.2% -5.2M 741.5M -17.9M 1.15 4.74 N/A N/A 123,097 141,459 2,138,669 1,768,275 2008-09-17 $24.57 $27.00 49.0% 14.0% 34.8% 100.0% 49.1% 7.8% -9.3% -19.9M 1.28B -17.9M 0.66 5.08 N/A N/A 128,154 84,624 2,210,708 1,863,388 2008-09-18 $25.26 $27.00 46.9% 13.4% 36.7% 93.4% 47.5% 9.5% -8.3% -17.2M 1.02B -18.5M 0.97 7.03 N/A N/A 103,601 100,132 2,287,443 1,851,836 2008-09-19 $25.16 $27.00 46.8% 13.4% 36.7% 93.1% 45.7% 9.8% -8.8% -48.9M 975.0M -18.8M 0.38 5.91 N/A N/A 114,100 42,944 2,317,810 1,900,792 2008-09-22 $25.40 $27.00 43.4% 12.4% 35.6% 82.4% 41.9% 8.6% 0.5% -2.9M 770.1M -19.1M 0.59 3.08 N/A N/A 101,528 60,045 2,137,296 1,757,344 2008-09-23 $25.44 $27.00 42.3% 12.1% 35.6% 79.2% 40.4% 9.5% 1.4% -2.5M 732.9M -18.5M 0.73 2.72 N/A N/A 96,893 70,500 2,107,673 1,724,562 2008-09-24 $25.72 $27.00 38.8% 11.1% 35.8% 67.9% 39.3% 6.7% 3.4% 884.6K 570.0M -18.9M 0.43 2.87 N/A N/A 77,847 33,385 2,138,556 1,757,940 2008-09-25 $26.61 $27.00 33.1% 9.5% 37.9% 50.1% 34.7% 6.1% 3.8% 9.3M 232.6M -19.2M 0.54 3.31 N/A N/A 65,215 35,237 2,147,048 1,765,514 2008-09-26 $27.40 $27.00 34.6% 9.9% 39.1% 54.8% 35.2% 6.2% 2.4% 20.9M -179.3M -19.9M 0.46 4.52 N/A N/A 70,752 32,891 2,154,948 1,773,153 2008-09-29 $25.01 $27.00 51.9% 14.9% 50.1% 100.0% 48.4% 11.2% -2.0% 4.2M 402.9M -18.6M 0.84 7.05 N/A N/A 57,737 48,773 2,162,614 1,778,191 2008-09-30 $26.69 $27.00 42.0% 12.0% 55.8% 71.6% 44.2% 7.4% 0.0% 10.3M 181.7M -19.6M 0.62 4.67 N/A N/A 47,125 29,172 2,166,417 1,783,931
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