MSFT Options History — February 2009 In February 2009, MSFT traded between $16.15 and $19.66. ATM implied volatility averaged 44.3%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 13.7% (HV 20d: 58.0%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.86.
Notable Days 2009-02-13 : Highest Volume — 502,882 contracts2009-02-17 : Largest IV spike — 12.3% change2009-02-23 : Highest IV Rank — 37.0%2009-02-23 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $18.18 $16.15 $19.66 $17.83 $16.15 Max Pain $18.16 $18.00 $19.00 $19.00 $18.00 ATM IV 44.3% 38.7% 49.7% 43.3% 47.7% Expected Move 12.8% 11.6% 14.2% 12.4% 13.7% HV 20d 58.0% 39.8% 68.4% 66.8% 42.2% HV 60d 60.6% 52.4% 65.6% 65.6% 52.4% IV Rank 29.9% 22.5% 37.0% 28.6% 34.5% IV Percentile 68.5% 58.7% 77.8% 67.5% 75.0% Term Structure 0.8% -1.1% 1.9% 1.4% 0.0% VWIV 45.0% 41.3% 48.9% 44.3% 47.2% Skew 25d 7.5% 4.6% 9.3% 8.4% 6.1% Skew 10d 13.6% 7.7% 17.7% 14.7% 9.3% Call IV 25d 41.4% 37.5% 46.0% 39.9% 45.1% Put IV 25d 48.8% 45.0% 53.0% 48.4% 51.2% Bid-Ask Spread % 3.06 1.80 3.92 2.50 3.07 Gamma HHI 0.14 0.10 0.38 0.11 0.13 Net GEX 2.7M -21.6M 12.5M -462.7K -2.7M Net DEX 568.0M 158.0M 919.8M 737.8M 919.8M Net VEX -10.7M -11.9M -8.8M -10.9M -8.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.06 1.50 1.02 0.42 Total Volume 142,493.158 64,844 502,882 225,316 92,013 Total OI 3,292,853.947 3,054,266 3,488,069 3,251,376 3,196,886
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 2009-02-02 $17.83 $19.00 43.3% 12.4% 66.8% 28.6% 44.3% 8.4% 1.4% -462.7K 737.8M -10.9M 1.02 2.50 N/A N/A 111,522 113,794 1,769,396 1,481,980 2009-02-03 $18.50 $18.00 42.7% 12.2% 68.4% 27.8% 42.6% 7.5% 0.9% 2.8M 584.9M -11.1M 1.06 2.88 N/A N/A 64,184 68,066 1,769,429 1,483,952 2009-02-04 $18.63 $19.00 40.3% 11.6% 68.3% 24.7% 42.7% 7.0% 1.9% 4.4M 525.7M -11.0M 0.85 2.69 N/A N/A 92,805 79,218 1,757,638 1,443,271 2009-02-05 $19.04 $19.00 40.4% 11.6% 65.5% 24.7% 42.0% 7.6% 1.8% 7.2M 388.3M -11.4M 0.76 2.69 N/A N/A 51,541 38,975 1,808,054 1,472,541 2009-02-06 $19.66 $18.00 38.7% 11.7% 65.5% 22.5% 41.3% 9.3% 1.5% 12.5M 158.0M -11.9M 0.61 3.39 N/A N/A 92,615 56,146 1,805,661 1,469,374 2009-02-09 $19.44 $18.00 43.2% 12.5% 64.8% 28.5% 42.9% 9.1% 1.3% 9.9M 294.9M -11.4M 1.41 3.39 N/A N/A 37,675 52,960 1,805,807 1,473,932 2009-02-10 $18.80 $18.00 43.8% 13.2% 65.8% 29.3% 46.6% 8.1% 0.6% 6.1M 451.5M -11.2M 0.72 3.01 N/A N/A 63,302 45,827 1,820,012 1,478,156 2009-02-11 $19.21 $18.00 40.9% 12.8% 66.0% 25.4% 44.4% 8.9% 0.9% 10.2M 299.1M -11.3M 1.50 3.14 N/A N/A 64,632 96,658 1,832,884 1,477,687 2009-02-12 $19.26 $18.00 44.3% 12.7% 64.6% 29.9% 44.7% 8.1% 0.2% 11.0M 293.3M -11.7M 0.75 3.40 N/A N/A 78,790 58,782 1,874,334 1,532,398 2009-02-13 $19.09 $18.00 42.3% 12.1% 64.6% 27.3% 42.2% 7.9% 0.9% 9.2M 381.8M -11.6M 0.06 3.71 N/A N/A 474,145 28,737 1,911,566 1,551,643 2009-02-17 $18.09 $18.00 47.5% 13.6% 66.6% 34.2% 46.7% 8.2% 1.1% 1.3M 668.2M -11.0M 1.01 3.25 N/A N/A 55,027 55,333 1,930,053 1,558,016 2009-02-18 $18.12 $18.00 45.8% 13.1% 62.7% 31.9% 45.5% 7.8% 1.4% 1.1M 651.3M -10.9M 0.74 3.21 N/A N/A 37,338 27,506 1,945,421 1,538,246 2009-02-19 $17.91 $18.00 45.1% 12.9% 60.1% 31.0% 45.3% 7.5% 1.9% -404.2K 706.3M -10.6M 1.32 2.35 N/A N/A 37,593 49,471 1,954,500 1,515,660 2009-02-20 $18.00 $18.00 45.6% 13.1% 39.8% 31.6% 46.3% 7.4% 1.7% -21.6M 681.4M -10.8M 0.93 3.45 N/A N/A 61,231 56,777 1,950,450 1,521,391 2009-02-23 $17.21 $18.00 49.7% 14.2% 43.1% 37.0% 48.9% 6.9% -1.1% 1.6M 707.3M -9.7M 0.80 3.92 N/A N/A 42,261 33,664 1,724,475 1,329,791 2009-02-24 $17.17 $18.00 46.8% 13.4% 42.1% 33.2% 47.2% 4.6% -0.0% 935.3K 729.1M -9.8M 0.66 3.57 N/A N/A 104,639 69,128 1,742,046 1,340,773 2009-02-25 $16.96 $18.00 45.1% 12.9% 42.3% 31.0% 46.6% 5.8% 0.0% 594.9K 761.8M -9.6M 0.92 1.80 N/A N/A 65,100 59,818 1,774,505 1,363,282 2009-02-26 $16.42 $18.00 47.5% 13.6% 42.7% 34.2% 47.2% 5.2% -0.1% -1.8M 850.9M -9.2M 0.79 2.80 N/A N/A 50,406 39,691 1,769,392 1,389,623 2009-02-27 $16.15 $18.00 47.7% 13.7% 42.2% 34.5% 47.2% 6.1% 0.0% -2.7M 919.8M -8.8M 0.42 3.07 N/A N/A 64,800 27,213 1,790,107 1,406,779
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