MSFT Options History — January 2009 In January 2009, MSFT traded between $17.10 and $20.76. ATM implied volatility averaged 44.9%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 6.5% (HV 20d: 51.4%). Max pain ranged from $19.00 to $25.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.86.
Notable Days 2009-01-22 : Highest Volume — 406,680 contracts2009-01-20 : Largest IV spike — 23.8% change2009-01-20 : Highest IV Rank — 48.6%2009-01-20 : Largest Expected Move — 16.8%Monthly Statistics Metric Avg Min Max Open Close Price $18.91 $17.10 $20.76 $20.33 $17.10 Max Pain $19.70 $19.00 $25.00 $25.00 $19.00 ATM IV 44.9% 37.1% 58.5% 40.7% 42.1% Expected Move 13.6% 10.6% 16.8% 11.7% 12.1% HV 20d 51.4% 38.5% 67.1% 47.0% 67.1% HV 60d 67.3% 62.7% 76.0% 75.5% 65.5% IV Rank 30.7% 20.4% 48.6% 25.2% 27.0% IV Percentile 71.4% 57.9% 88.1% 68.7% 66.3% Term Structure 0.1% -3.5% 8.1% 8.1% 4.5% VWIV 47.7% 37.5% 57.0% 41.0% 42.1% Skew 25d 9.4% 5.6% 12.6% 6.1% 6.5% Skew 10d 16.7% 7.4% 23.0% 14.1% 10.3% Call IV 25d 42.8% 34.7% 51.5% 37.6% 39.7% Put IV 25d 52.1% 40.4% 62.5% 43.7% 46.2% Bid-Ask Spread % 3.38 2.07 5.12 2.07 2.94 Gamma HHI 0.11 0.08 0.19 0.10 0.11 Net GEX -3.4M -8.5M 4.4M -5.7M -3.4M Net DEX 1.12B 356.4M 1.59B 1.33B 905.8M Net VEX -10.8M -12.0M -9.3M -11.9M -10.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.31 1.39 0.50 0.90 Total Volume 153,502.35 57,947 406,680 112,666 119,666 Total OI 3,883,825.45 2,628,524 4,767,273 4,470,208 3,183,553
Daily Data (20 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 2009-01-02 $20.33 $25.00 40.7% 11.7% 47.0% 25.2% 41.0% 6.1% 8.1% -5.7M 1.33B -11.9M 0.50 2.07 N/A N/A 75,225 37,441 2,602,777 1,867,431 2009-01-05 $20.52 $20.00 41.9% 13.1% 44.6% 26.7% 46.9% 12.2% -1.1% -4.6M 1.27B -11.8M 0.31 3.77 N/A N/A 105,934 32,358 2,636,330 1,872,516 2009-01-06 $20.76 $19.00 40.4% 13.2% 42.8% 24.8% 48.0% 12.6% -1.4% -3.7M 1.18B -12.0M 1.06 3.61 N/A N/A 91,298 96,770 2,649,681 1,876,160 2009-01-07 $19.51 $20.00 45.6% 14.5% 43.6% 31.7% 52.4% 11.3% -2.2% -7.0M 1.57B -11.3M 0.91 3.41 N/A N/A 73,705 67,180 2,665,315 1,917,050 2009-01-08 $20.12 $20.00 44.6% 15.3% 44.8% 30.3% 53.1% 12.2% -3.2% -2.4M 1.34B -11.8M 0.78 4.24 N/A N/A 98,670 77,278 2,687,105 1,914,004 2009-01-09 $19.52 $20.00 41.2% 14.9% 46.0% 25.8% 52.0% 11.3% -2.7% -5.1M 1.50B -11.3M 0.85 3.38 N/A N/A 31,382 26,565 2,727,055 1,926,214 2009-01-12 $19.47 $20.00 49.7% 15.4% 41.1% 37.1% 52.8% 10.3% -3.5% -5.2M 1.52B -11.0M 0.97 2.54 N/A N/A 50,847 49,122 2,731,594 1,918,654 2009-01-13 $19.82 $20.00 45.4% 14.4% 41.6% 31.4% 51.9% 11.7% -2.0% -2.8M 1.36B -11.4M 1.21 3.25 N/A N/A 41,018 49,576 2,741,845 1,913,473 2009-01-14 $19.09 $20.00 49.6% 15.5% 43.4% 36.9% 54.0% 11.2% -2.3% -6.3M 1.58B -10.9M 1.28 3.44 N/A N/A 58,785 75,121 2,751,871 1,919,564 2009-01-15 $19.24 $20.00 54.3% 15.6% 38.5% 43.1% 55.1% 11.8% -2.7% -8.5M 1.59B -10.9M 0.85 2.92 N/A N/A 108,070 92,148 2,764,164 1,930,947 2009-01-16 $19.71 $19.00 47.3% 13.5% 38.8% 33.8% 48.6% 10.8% 0.4% -6.4M 1.44B -11.3M 0.93 4.47 N/A N/A 82,196 76,051 2,815,238 1,952,035 2009-01-20 $18.48 $19.00 58.5% 16.8% 44.7% 48.6% 57.0% 11.0% -3.0% 2.2M 511.3M -10.5M 0.81 4.38 N/A N/A 113,183 91,652 1,452,529 1,175,995 2009-01-21 $19.38 $19.00 49.9% 14.3% 47.9% 37.3% 50.0% 10.8% 0.0% 4.4M 356.4M -11.2M 0.67 5.12 N/A N/A 156,783 105,464 1,500,519 1,211,635 2009-01-22 $17.11 $19.00 47.3% 13.6% 65.3% 33.9% 46.5% 6.1% 0.9% -1.8M 835.9M -9.3M 0.95 2.89 N/A N/A 208,714 197,966 1,584,649 1,266,772 2009-01-23 $17.20 $19.00 43.7% 12.5% 65.3% 29.1% 43.5% 6.6% 2.3% -3.1M 898.1M -9.7M 0.93 2.40 N/A N/A 86,577 80,816 1,668,613 1,371,566 2009-01-26 $17.63 $19.00 40.7% 11.7% 66.2% 25.2% 40.8% 6.7% 2.2% -2.9M 820.2M -10.1M 0.58 3.52 N/A N/A 79,548 45,961 1,685,854 1,396,234 2009-01-27 $17.66 $19.00 38.6% 11.1% 66.2% 22.3% 39.2% 5.8% 2.7% -2.5M 803.8M -10.1M 0.49 3.55 N/A N/A 62,053 30,221 1,703,391 1,408,571 2009-01-28 $18.04 $19.00 37.1% 10.6% 66.8% 20.4% 37.5% 5.6% 2.7% -383.4K 732.3M -10.5M 0.95 3.18 N/A N/A 48,899 46,316 1,728,431 1,412,795 2009-01-29 $17.59 $19.00 39.8% 11.4% 66.7% 23.9% 40.6% 6.4% 2.6% -2.0M 790.3M -10.2M 1.39 2.50 N/A N/A 41,678 57,810 1,720,485 1,423,894 2009-01-30 $17.10 $19.00 42.1% 12.1% 67.1% 27.0% 42.1% 6.5% 4.5% -3.4M 905.8M -10.0M 0.90 2.94 N/A N/A 63,119 56,547 1,734,891 1,448,662
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