MSFT Options History — December 2008 In December 2008, MSFT traded between $18.61 and $21.01. ATM implied volatility averaged 52.9%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 18.3% (HV 20d: 71.2%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2008-12-09 : Highest Volume — 179,961 contracts2008-12-11 : Largest IV spike — 22.5% change2008-12-01 : Highest IV Rank — 58.3%2008-12-01 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $19.52 $18.61 $21.01 $18.61 $19.44 Max Pain $24.27 $21.00 $25.00 $21.00 $25.00 ATM IV 52.9% 42.9% 65.5% 65.5% 42.9% Expected Move 15.3% 12.3% 18.8% 18.8% 12.3% HV 20d 71.2% 46.1% 81.9% 80.3% 46.1% HV 60d 79.0% 76.1% 80.7% 78.3% 76.1% IV Rank 41.7% 28.1% 58.3% 58.3% 28.1% IV Percentile 82.3% 71.0% 94.0% 94.0% 71.0% Term Structure 4.4% -2.0% 10.2% -2.0% 9.7% VWIV 53.1% 42.3% 67.0% 67.0% 42.3% Skew 25d 8.5% 4.3% 12.8% 11.1% 4.7% Skew 10d 16.2% 9.2% 25.4% 18.3% 10.9% Call IV 25d 49.4% 41.0% 61.5% 61.5% 41.0% Put IV 25d 57.9% 45.7% 72.5% 72.5% 45.7% Bid-Ask Spread % 2.67 1.43 4.12 3.08 1.61 Gamma HHI 0.11 0.09 0.28 0.12 0.09 Net GEX -9.8M -24.5M -6.8M -8.4M -6.8M Net DEX 1.54B 1.12B 1.78B 1.75B 1.56B Net VEX -12.3M -14.1M -11.0M -11.4M -11.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.44 1.26 0.66 0.71 Total Volume 110,358.364 32,016 179,961 143,821 60,925 Total OI 4,497,892.773 4,335,162 4,757,325 4,342,379 4,474,370
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 2008-12-01 $18.61 $21.00 65.5% 18.8% 80.3% 58.3% 67.0% 11.1% -2.0% -8.4M 1.75B -11.4M 0.66 3.08 N/A N/A 86,642 57,179 2,444,727 1,897,652 2008-12-02 $19.15 $21.00 62.7% 18.0% 81.1% 54.6% 62.9% 11.5% -1.5% -8.5M 1.66B -12.1M 0.86 3.40 N/A N/A 54,433 47,012 2,477,452 1,908,805 2008-12-03 $19.87 $21.00 58.2% 16.7% 80.9% 48.7% 59.3% 10.7% 1.6% -8.4M 1.40B -12.8M 0.93 2.63 N/A N/A 69,565 64,608 2,483,891 1,860,126 2008-12-04 $19.11 $21.00 62.4% 17.9% 79.1% 54.2% 61.9% 10.3% 0.5% -8.7M 1.57B -12.3M 1.26 3.82 N/A N/A 40,167 50,436 2,503,178 1,898,907 2008-12-05 $19.87 $25.00 56.4% 16.9% 78.5% 46.3% 59.1% 11.2% 1.1% -9.0M 1.43B -12.8M 0.58 3.00 N/A N/A 75,381 43,425 2,516,367 1,905,026 2008-12-08 $21.01 $25.00 54.8% 15.8% 80.5% 44.2% 55.2% 12.8% 1.7% -7.4M 1.12B -13.7M 0.76 3.28 N/A N/A 87,466 66,741 2,530,920 1,909,770 2008-12-09 $20.60 $25.00 54.2% 16.3% 80.7% 43.4% 55.5% 12.2% 1.7% -7.4M 1.17B -13.9M 0.76 3.48 N/A N/A 101,994 77,967 2,543,437 1,937,556 2008-12-10 $20.61 $25.00 49.8% 15.6% 80.7% 37.6% 52.8% 11.7% 3.9% -8.2M 1.21B -14.1M 0.67 2.37 N/A N/A 88,372 59,098 2,582,881 1,980,576 2008-12-11 $19.45 $25.00 61.0% 17.5% 81.9% 52.3% 59.6% 9.6% 1.9% -9.7M 1.52B -12.9M 0.77 2.79 N/A N/A 67,455 51,679 2,618,775 1,992,975 2008-12-12 $19.36 $25.00 60.3% 17.3% 79.9% 51.5% 57.8% 9.3% 2.0% -10.2M 1.60B -12.8M 0.70 2.81 N/A N/A 55,019 38,587 2,627,962 2,008,884 2008-12-15 $19.04 $25.00 61.0% 17.5% 77.6% 52.3% 60.1% 10.1% 1.5% -10.5M 1.67B -12.2M 0.73 3.27 N/A N/A 48,304 35,042 2,627,264 2,004,589 2008-12-16 $20.11 $25.00 52.9% 15.2% 79.0% 41.8% 53.1% 10.8% 4.7% -11.0M 1.48B -12.9M 0.65 4.12 N/A N/A 92,198 59,480 2,637,418 2,011,136 2008-12-17 $19.66 $25.00 49.4% 14.2% 79.2% 37.2% 49.6% 6.7% 4.7% -12.3M 1.63B -12.5M 0.94 2.02 N/A N/A 76,822 72,339 2,648,697 2,027,512 2008-12-18 $19.30 $25.00 50.7% 14.5% 75.2% 38.9% 49.6% 6.7% 4.8% -13.6M 1.73B -12.2M 0.64 2.95 N/A N/A 52,344 33,427 2,691,782 2,053,133 2008-12-19 $19.12 $25.00 46.9% 13.4% 73.5% 33.9% 46.1% 5.9% 6.9% -24.5M 1.78B -11.5M 1.15 2.33 N/A N/A 40,071 45,893 2,708,296 2,049,029 2008-12-22 $19.18 $25.00 45.7% 13.1% 60.6% 32.3% 44.9% 6.7% 8.4% -9.4M 1.66B -11.4M 0.70 2.32 N/A N/A 48,905 34,149 2,486,878 1,848,284 2008-12-23 $19.28 $25.00 47.6% 13.7% 57.5% 34.9% 46.4% 5.2% 9.5% -9.1M 1.58B -11.8M 0.44 1.89 N/A N/A 97,753 42,877 2,505,239 1,864,579 2008-12-24 $19.17 $25.00 46.2% 13.2% 56.4% 32.4% 47.5% 5.2% 9.9% -8.1M 1.59B -11.6M 0.70 2.13 N/A N/A 20,348 14,337 2,546,487 1,870,947 2008-12-26 $19.13 $25.00 44.1% 12.6% 55.5% 29.6% 44.3% 4.3% 10.2% -7.9M 1.64B -11.3M 0.75 1.43 N/A N/A 18,297 13,719 2,547,824 1,866,937 2008-12-29 $18.96 $25.00 46.6% 13.3% 55.4% 32.9% 48.1% 5.3% 8.1% -7.8M 1.69B -11.0M 0.56 2.21 N/A N/A 66,168 36,843 2,550,942 1,864,398 2008-12-30 $19.34 $25.00 45.6% 13.1% 47.2% 31.6% 45.1% 5.2% 7.6% -7.5M 1.57B -11.1M 1.15 1.79 N/A N/A 62,389 72,028 2,586,476 1,851,557 2008-12-31 $19.44 $25.00 42.9% 12.3% 46.1% 28.1% 42.3% 4.7% 9.7% -6.8M 1.56B -11.5M 0.71 1.61 N/A N/A 35,672 25,253 2,598,994 1,875,376
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