MSFT Options History — November 2008 In November 2008, MSFT traded between $17.53 and $23.53. ATM implied volatility averaged 60.7%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 17.8% (HV 20d: 78.5%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.91.
Notable Days 2008-11-13 : Highest Volume — 352,185 contracts2008-11-21 : Largest IV drop — 21.4% change2008-11-20 : Highest IV Rank — 80.7%2008-11-20 : Largest Expected Move — 23.7%Monthly Statistics Metric Avg Min Max Open Close Price $20.56 $17.53 $23.53 $22.62 $20.22 Max Pain $21.42 $21.00 $23.00 $23.00 $21.00 ATM IV 60.7% 48.6% 82.7% 55.4% 54.7% Expected Move 17.4% 13.9% 23.7% 15.9% 15.7% HV 20d 78.5% 65.3% 97.9% 95.8% 75.5% HV 60d 70.3% 64.6% 76.8% 64.6% 76.8% IV Rank 51.9% 36.1% 80.7% 45.1% 44.1% IV Percentile 92.9% 86.1% 99.6% 92.5% 86.1% Term Structure -1.0% -4.1% 2.4% -1.0% 1.2% VWIV 60.2% 52.9% 77.5% 56.3% 55.6% Skew 25d 12.2% 4.8% 18.2% 8.2% 11.2% Skew 10d 25.3% 10.8% 44.2% 16.9% 21.7% Call IV 25d 55.1% 45.5% 72.8% 51.8% 48.6% Put IV 25d 67.2% 56.2% 90.6% 60.0% 59.8% Bid-Ask Spread % 3.81 3.15 6.07 3.21 3.46 Gamma HHI 0.13 0.10 0.25 0.10 0.13 Net GEX -13.4M -21.2M -2.7M -6.5M -9.2M Net DEX 1.76B 908.1M 2.34B 1.17B 1.51B Net VEX -14.0M -17.3M -11.0M -17.0M -13.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.29 1.58 1.22 1.14 Total Volume 158,387.789 53,530 352,185 67,603 53,530 Total OI 4,718,691.737 4,229,378 5,019,826 4,663,423 4,333,681
Daily Data (19 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 2008-11-03 $22.62 $23.00 55.4% 15.9% 95.8% 45.1% 56.3% 8.2% -1.0% -6.5M 1.17B -17.0M 1.22 3.21 N/A N/A 30,450 37,153 2,496,382 2,167,041 2008-11-04 $23.53 $23.00 48.6% 13.9% 93.8% 36.1% 52.9% 10.7% -1.4% -2.7M 908.1M -17.3M 1.26 3.59 N/A N/A 59,173 74,788 2,499,433 2,166,083 2008-11-05 $22.08 $23.00 54.3% 15.6% 96.5% 43.6% 53.8% 7.3% -1.1% -11.0M 1.47B -16.0M 1.38 3.15 N/A N/A 48,689 67,303 2,511,078 2,195,021 2008-11-06 $20.88 $23.00 61.2% 17.5% 97.9% 52.6% 61.3% 4.8% -2.5% -13.7M 1.75B -14.6M 0.72 3.47 N/A N/A 103,699 74,375 2,517,804 2,189,902 2008-11-07 $21.50 $21.00 54.9% 15.7% 97.7% 44.4% 54.4% 10.4% -0.6% -13.4M 1.67B -15.1M 0.53 3.37 N/A N/A 71,179 37,705 2,540,234 2,191,563 2008-11-10 $21.30 $21.00 55.3% 15.7% 74.1% 44.9% 53.1% 11.1% -0.3% -15.4M 1.75B -14.6M 1.58 3.67 N/A N/A 48,333 76,425 2,553,360 2,208,441 2008-11-11 $21.20 $21.00 56.7% 15.9% 71.9% 46.7% 53.7% 11.2% 0.0% -17.9M 1.81B -14.5M 0.82 3.64 N/A N/A 59,185 48,542 2,565,437 2,236,102 2008-11-12 $20.30 $21.00 59.1% 17.3% 70.3% 49.9% 57.3% 12.3% -0.2% -19.6M 2.01B -13.8M 1.18 3.45 N/A N/A 62,264 73,641 2,592,059 2,236,742 2008-11-13 $21.25 $21.00 60.8% 17.4% 68.0% 52.1% 62.2% 13.2% -3.5% -15.2M 1.76B -14.9M 0.80 5.63 N/A N/A 196,061 156,124 2,586,761 2,263,529 2008-11-14 $20.06 $21.00 63.6% 18.2% 70.4% 55.7% 64.4% 12.7% -3.0% -17.8M 2.10B -13.4M 0.81 3.95 N/A N/A 94,574 76,425 2,650,213 2,290,535 2008-11-17 $19.32 $21.00 70.1% 20.1% 69.3% 64.3% 66.9% 13.0% -4.1% -18.7M 2.29B -12.3M 0.76 3.23 N/A N/A 86,226 65,423 2,651,263 2,315,048 2008-11-18 $19.62 $21.00 66.6% 19.1% 67.9% 59.8% 65.9% 14.0% -1.8% -21.2M 2.22B -12.9M 0.55 3.47 N/A N/A 105,417 57,457 2,648,099 2,323,720 2008-11-19 $18.29 $21.00 74.0% 21.2% 66.4% 69.4% 75.4% 15.0% -2.2% -15.3M 2.27B -12.0M 0.58 4.30 N/A N/A 143,846 83,183 2,691,024 2,285,001 2008-11-20 $17.53 $21.00 82.7% 23.7% 65.3% 80.7% 77.5% 17.8% -3.4% -10.0M 2.34B -11.0M 0.86 6.07 N/A N/A 62,438 53,442 2,731,839 2,287,987 2008-11-21 $19.68 $21.00 65.0% 18.6% 79.5% 57.6% 64.6% 18.2% 0.3% -20.6M 2.07B -12.8M 1.27 3.96 N/A N/A 125,662 159,558 2,730,526 2,246,514 2008-11-24 $20.69 $21.00 56.1% 16.1% 80.9% 45.9% 57.3% 14.1% 2.4% -10.8M 1.46B -13.6M 1.12 3.58 N/A N/A 142,125 159,700 2,323,885 1,905,493 2008-11-25 $19.99 $21.00 58.4% 16.7% 74.7% 48.9% 57.6% 13.0% 1.6% -6.7M 1.47B -12.9M 0.29 3.56 N/A N/A 83,947 24,673 2,386,432 1,845,321 2008-11-26 $20.49 $21.00 55.4% 15.9% 75.5% 45.0% 53.2% 13.2% 1.4% -8.7M 1.46B -13.4M 0.43 3.68 N/A N/A 74,700 31,953 2,409,484 1,882,106 2008-11-28 $20.22 $21.00 54.7% 15.7% 75.5% 44.1% 55.6% 11.2% 1.2% -9.2M 1.51B -13.1M 1.14 3.46 N/A N/A 25,055 28,475 2,441,839 1,891,842
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