MSFT Options History — March 2009 In March 2009, MSFT traded between $15.15 and $18.83. ATM implied volatility averaged 46.7%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 1.6% (HV 20d: 48.3%). Max pain ranged from $17.00 to $21.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2009-03-17 : Highest Volume — 235,939 contracts2009-03-05 : Largest IV spike — 11.9% change2009-03-09 : Highest IV Rank — 44.9%2009-03-09 : Largest Expected Move — 15.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.91 $15.15 $18.83 $15.79 $18.37 Max Pain $19.50 $17.00 $21.00 $17.00 $19.00 ATM IV 46.7% 41.2% 55.6% 51.5% 46.1% Expected Move 13.3% 11.8% 15.1% 14.8% 13.2% HV 20d 48.3% 34.0% 59.9% 41.8% 59.9% HV 60d 52.8% 49.8% 56.3% 52.2% 56.3% IV Rank 33.0% 25.8% 44.9% 39.5% 32.2% IV Percentile 67.0% 52.4% 84.1% 79.4% 65.1% Term Structure 2.8% -2.2% 10.0% -2.0% 7.3% VWIV 47.0% 42.2% 53.5% 52.2% 47.8% Skew 25d 5.4% 4.3% 6.8% 5.4% 5.7% Skew 10d 10.1% 7.0% 13.2% 8.6% 9.4% Call IV 25d 44.5% 40.2% 50.5% 50.5% 45.5% Put IV 25d 49.9% 44.9% 56.3% 55.9% 51.2% Bid-Ask Spread % 2.75 1.65 4.25 2.78 3.60 Gamma HHI 0.13 0.10 0.18 0.14 0.11 Net GEX 1.8M -5.0M 10.1M -2.9M 8.8M Net DEX 636.6M 50.4M 1.12B 951.6M 143.6M Net VEX -9.7M -11.7M -7.9M -8.5M -11.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.25 1.23 1.23 0.64 Total Volume 135,948.455 66,299 235,939 133,297 232,621 Total OI 3,480,104 3,221,560 3,707,592 3,221,560 3,579,568
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 2009-03-02 $15.79 $17.00 51.5% 14.8% 41.8% 39.5% 52.2% 5.4% -2.0% -2.9M 951.6M -8.5M 1.23 2.78 N/A N/A 59,882 73,415 1,810,057 1,411,503 2009-03-03 $15.88 $17.00 48.4% 13.9% 38.4% 35.3% 49.5% 4.9% -0.4% -3.6M 1.01B -8.4M 0.81 3.40 N/A N/A 58,644 47,429 1,820,288 1,447,399 2009-03-04 $16.12 $17.00 46.7% 13.4% 35.9% 33.1% 46.0% 4.3% -0.6% -3.1M 972.4M -8.8M 0.85 4.25 N/A N/A 58,694 49,694 1,845,390 1,458,179 2009-03-05 $15.27 $17.00 52.2% 15.0% 39.2% 40.4% 53.5% 6.8% -2.2% -5.0M 1.12B -7.9M 0.67 2.45 N/A N/A 117,059 78,199 1,852,248 1,483,238 2009-03-06 $15.28 $21.00 52.0% 14.5% 37.6% 40.0% 50.0% 6.1% 0.3% -4.7M 1.10B -7.9M 0.82 3.63 N/A N/A 72,106 59,422 1,903,191 1,494,550 2009-03-09 $15.15 $21.00 55.6% 15.1% 34.0% 44.9% 51.3% 5.6% -0.8% -4.5M 1.07B -7.9M 0.32 2.16 N/A N/A 113,852 36,848 1,912,293 1,490,310 2009-03-10 $16.48 $21.00 51.8% 13.9% 48.5% 39.9% 48.7% 5.7% -0.7% -1.2M 815.8M -9.3M 0.49 2.15 N/A N/A 76,350 37,364 1,923,224 1,509,865 2009-03-11 $17.11 $21.00 47.8% 13.2% 50.1% 34.5% 50.0% 5.8% 0.7% 1.8M 673.2M -9.5M 0.57 1.85 N/A N/A 98,793 56,215 1,923,189 1,505,069 2009-03-12 $17.01 $20.00 45.2% 13.0% 49.1% 31.1% 49.9% 5.4% 1.5% 1.5M 672.0M -9.4M 0.73 2.11 N/A N/A 86,181 62,968 1,949,421 1,524,042 2009-03-13 $16.65 $20.00 47.5% 13.6% 49.3% 34.2% 47.0% 5.3% -0.8% -993.1K 740.1M -9.3M 0.90 1.65 N/A N/A 68,706 61,897 1,993,232 1,560,964 2009-03-16 $16.25 $20.00 48.0% 13.8% 49.7% 34.8% 47.0% 5.7% 0.5% -3.4M 847.1M -8.7M 0.88 2.95 N/A N/A 75,584 66,205 2,001,240 1,574,891 2009-03-17 $16.90 $20.00 42.8% 12.3% 49.3% 28.0% 44.8% 5.1% 2.1% 747.9K 647.0M -9.4M 0.98 2.01 N/A N/A 119,112 116,827 2,046,947 1,585,487 2009-03-18 $16.96 $20.00 42.6% 12.2% 49.3% 27.7% 44.2% 5.4% 2.9% 2.1M 604.7M -9.7M 0.34 3.94 N/A N/A 70,716 23,971 2,089,628 1,603,622 2009-03-19 $17.14 $20.00 44.0% 12.6% 49.4% 29.5% 44.4% 6.2% 2.6% 4.6M 536.4M -9.9M 0.40 3.22 N/A N/A 48,817 19,438 2,098,624 1,600,771 2009-03-20 $17.06 $20.00 44.2% 12.7% 49.4% 29.7% 44.9% 6.1% 5.0% 7.0M 508.2M -10.3M 0.71 2.17 N/A N/A 104,053 73,649 2,103,871 1,603,721 2009-03-23 $18.33 $20.00 41.2% 11.8% 53.4% 25.8% 43.6% 5.9% 10.0% 6.8M 223.7M -11.1M 0.43 1.87 N/A N/A 102,718 44,223 1,937,588 1,450,329 2009-03-24 $17.91 $20.00 44.4% 12.7% 54.1% 30.1% 44.7% 4.8% 7.0% 5.9M 327.5M -10.9M 0.37 3.03 N/A N/A 134,052 49,519 1,975,918 1,464,252 2009-03-25 $17.88 $19.00 43.0% 12.3% 53.9% 28.1% 42.8% 4.3% 7.7% 6.0M 317.3M -11.0M 0.46 2.70 N/A N/A 54,539 25,186 2,001,941 1,488,356 2009-03-26 $18.83 $19.00 41.3% 11.8% 54.9% 26.0% 42.2% 4.7% 6.9% 10.1M 50.4M -11.6M 0.25 2.72 N/A N/A 69,952 17,716 2,004,558 1,491,689 2009-03-27 $18.13 $20.00 44.1% 12.7% 56.6% 29.7% 43.1% 4.8% 7.3% 7.6M 253.8M -11.0M 0.72 2.42 N/A N/A 38,442 27,857 2,015,944 1,492,508 2009-03-30 $17.48 $20.00 46.2% 13.2% 57.8% 32.4% 46.4% 4.5% 8.0% 5.1M 416.3M -10.6M 0.50 3.50 N/A N/A 67,850 34,101 2,026,602 1,506,581 2009-03-31 $18.37 $19.00 46.1% 13.2% 59.9% 32.2% 47.8% 5.7% 7.3% 8.8M 143.6M -11.7M 0.64 3.60 N/A N/A 141,646 90,975 2,059,655 1,519,913
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