MSFT Options History — October 2008 In October 2008, MSFT traded between $21.18 and $26.48. ATM implied volatility averaged 65.0%, placing in the 72.4% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 17.4% (HV 20d: 82.5%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.84.
Notable Days 2008-10-23 : Highest Volume — 399,638 contracts2008-10-10 : Largest IV spike — 34.8% change2008-10-06 : Highest IV Rank — 100.0%2008-10-10 : Largest Expected Move — 24.8%Monthly Statistics Metric Avg Min Max Open Close Price $23.50 $21.18 $26.48 $26.48 $22.33 Max Pain $24.52 $23.00 $27.00 $27.00 $23.00 ATM IV 65.0% 45.6% 97.4% 45.6% 57.3% Expected Move 18.3% 13.1% 24.8% 13.1% 16.4% HV 20d 82.5% 54.5% 99.8% 55.8% 97.2% HV 60d 55.2% 41.8% 65.6% 42.1% 64.8% IV Rank 72.4% 47.4% 100.0% 81.7% 47.6% IV Percentile 97.8% 93.3% 100.0% 97.2% 93.3% Term Structure -8.0% -24.5% 1.3% -1.0% 1.3% VWIV 63.8% 43.8% 83.8% 43.8% 56.2% Skew 25d 19.2% 7.5% 28.8% 7.5% 9.7% Skew 10d 36.9% 14.4% 66.7% 14.4% 20.7% Call IV 25d 54.5% 41.4% 69.7% 41.4% 51.2% Put IV 25d 73.7% 48.9% 95.9% 48.9% 61.0% Bid-Ask Spread % 4.92 2.93 7.77 4.03 4.03 Gamma HHI 0.11 0.09 0.32 0.09 0.10 Net GEX -7.8M -38.4M 8.9M 8.9M -7.0M Net DEX 1.19B 258.4M 1.80B 258.4M 1.23B Net VEX -16.7M -19.4M -14.0M -19.4M -17.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.29 1.58 1.11 0.88 Total Volume 228,856.087 79,046 399,638 79,046 93,516 Total OI 4,205,354.957 3,756,859 4,630,394 3,965,791 4,630,394
Daily Data (23 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 2008-10-01 $26.48 $27.00 45.6% 13.1% 55.8% 81.7% 43.8% 7.5% -1.0% 8.9M 258.4M -19.4M 1.11 4.03 N/A N/A 37,508 41,538 2,174,605 1,791,186 2008-10-02 $26.25 $27.00 48.6% 13.9% 55.4% 90.5% 49.5% 8.0% -2.5% 7.5M 342.4M -19.4M 0.56 5.06 N/A N/A 86,722 48,395 2,186,146 1,802,634 2008-10-03 $26.32 $27.00 46.7% 13.4% 54.5% 85.0% 45.4% 8.4% -0.9% 7.7M 321.2M -19.4M 0.44 5.28 N/A N/A 63,982 28,460 2,219,557 1,810,831 2008-10-06 $24.91 $25.00 54.5% 14.3% 57.6% 100.0% 51.0% 13.8% -5.4% -7.6M 1.02B -17.8M 0.45 6.42 N/A N/A 141,088 63,733 2,223,648 1,821,354 2008-10-07 $23.23 $24.00 60.2% 17.3% 62.4% 100.0% 59.1% 18.3% -9.1% -13.1M 1.58B -15.9M 0.70 7.77 N/A N/A 143,584 100,546 2,264,092 1,829,394 2008-10-08 $23.01 $25.00 61.5% 18.9% 62.0% 100.0% 63.5% 23.5% -10.2% -12.3M 1.60B -15.9M 0.68 7.52 N/A N/A 125,803 85,809 2,291,693 1,861,030 2008-10-09 $22.30 $25.00 72.3% 20.3% 60.6% 100.0% 71.9% 25.0% -13.8% -11.7M 1.73B -14.8M 1.26 5.47 N/A N/A 123,292 154,896 2,272,795 1,850,414 2008-10-10 $21.50 $25.00 97.4% 24.8% 60.8% 100.0% 83.8% 27.1% -24.5% -11.2M 1.80B -14.3M 0.87 6.75 N/A N/A 205,307 177,610 2,306,224 1,885,241 2008-10-13 $25.50 $24.00 68.2% 17.4% 88.6% 61.8% 66.1% 25.8% -10.2% 928.0K 586.6M -18.7M 0.61 6.22 N/A N/A 158,720 97,223 2,365,850 1,948,672 2008-10-14 $24.10 $24.00 70.2% 18.3% 90.1% 64.4% 70.9% 24.5% -11.6% -11.7M 1.24B -16.9M 0.98 4.71 N/A N/A 132,679 129,682 2,395,727 1,955,998 2008-10-15 $22.66 $24.00 78.0% 21.1% 90.5% 74.5% 70.9% 26.9% -13.6% -14.1M 1.64B -16.1M 1.10 5.81 N/A N/A 90,836 99,502 2,421,899 1,999,802 2008-10-16 $24.19 $24.00 69.2% 19.8% 93.2% 63.1% 70.9% 28.8% -14.7% -13.1M 1.19B -17.8M 0.70 5.19 N/A N/A 132,731 92,359 2,460,618 2,037,457 2008-10-17 $23.93 $24.00 78.7% 22.6% 93.3% 75.5% 77.5% 28.0% -18.7% -38.4M 1.20B -18.1M 0.71 3.41 N/A N/A 177,279 125,410 2,498,122 2,066,302 2008-10-20 $24.72 $25.00 60.1% 17.2% 94.0% 51.1% 67.8% 25.4% -6.5% -431.5K 750.0M -17.6M 1.39 3.70 N/A N/A 94,187 130,650 2,006,251 1,750,608 2008-10-21 $23.36 $25.00 69.0% 19.8% 96.0% 62.8% 65.4% 25.0% -10.2% -6.5M 1.19B -16.1M 1.58 3.40 N/A N/A 76,519 120,994 2,047,378 1,816,113 2008-10-22 $21.53 $25.00 80.2% 23.0% 99.6% 77.4% 79.5% 20.1% -12.4% -9.3M 1.55B -15.0M 1.18 4.40 N/A N/A 110,870 131,152 2,082,590 1,881,126 2008-10-23 $22.32 $24.00 74.0% 21.2% 99.8% 69.3% 73.3% 16.2% -10.3% -8.6M 1.41B -15.6M 0.68 4.38 N/A N/A 238,587 161,051 2,115,520 1,902,874 2008-10-24 $21.96 $24.00 65.6% 18.8% 98.8% 58.4% 67.3% 16.6% -2.7% -8.5M 1.49B -15.3M 1.05 2.93 N/A N/A 157,873 165,485 2,209,432 1,972,089 2008-10-27 $21.18 $24.00 65.2% 18.7% 94.7% 57.9% 61.3% 15.5% -3.6% -12.7M 1.78B -14.0M 0.66 3.82 N/A N/A 141,747 93,445 2,234,204 2,024,047 2008-10-28 $23.10 $23.00 57.2% 16.4% 97.2% 47.4% 56.5% 19.3% -2.3% -7.0M 1.20B -16.3M 0.77 3.65 N/A N/A 120,315 92,320 2,281,825 2,075,957 2008-10-29 $23.00 $23.00 58.3% 16.7% 97.2% 48.8% 57.6% 14.6% -1.3% -6.1M 1.18B -16.5M 0.29 5.03 N/A N/A 234,881 67,176 2,300,255 2,091,224 2008-10-30 $22.63 $23.00 57.8% 16.6% 97.2% 48.1% 57.8% 13.1% -0.2% -5.5M 1.13B -17.2M 0.60 4.30 N/A N/A 105,328 62,900 2,439,553 2,120,433 2008-10-31 $22.33 $23.00 57.3% 16.4% 97.2% 47.6% 56.2% 9.7% 1.3% -7.0M 1.23B -17.0M 0.88 4.03 N/A N/A 49,752 43,764 2,484,775 2,145,619
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