MSFT Options History — April 2009 In April 2009, MSFT traded between $18.61 and $20.91. ATM implied volatility averaged 43.6%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 9.6% (HV 20d: 53.2%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.70.
Notable Days 2009-04-24 : Highest Volume — 374,288 contracts2009-04-24 : Largest IV drop — 31.9% change2009-04-23 : Highest IV Rank — 38.3%2009-04-23 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $19.40 $18.61 $20.91 $19.31 $20.26 Max Pain $18.81 $18.00 $19.00 $19.00 $19.00 ATM IV 43.6% 34.5% 50.6% 47.5% 35.7% Expected Move 12.8% 9.9% 14.5% 13.6% 10.2% HV 20d 53.2% 48.5% 61.7% 61.7% 49.9% HV 60d 53.1% 47.8% 57.3% 57.3% 50.5% IV Rank 29.0% 17.0% 38.3% 34.2% 18.5% IV Percentile 56.8% 34.5% 77.0% 70.6% 34.9% Term Structure -0.6% -5.9% 5.5% 5.0% 1.9% VWIV 44.9% 34.6% 51.2% 47.3% 35.3% Skew 25d 6.0% 2.6% 9.9% 6.5% 3.0% Skew 10d 10.8% 3.5% 17.2% 11.8% 3.9% Call IV 25d 42.3% 33.3% 49.4% 44.8% 34.2% Put IV 25d 48.3% 36.6% 56.1% 51.3% 37.2% Bid-Ask Spread % 3.31 1.45 4.38 1.45 3.85 Gamma HHI 0.12 0.10 0.16 0.12 0.13 Net GEX 17.3M 9.4M 27.6M 12.5M 27.6M Net DEX -212.0M -851.0M 100.5M -160.3M -622.8M Net VEX -12.4M -13.8M -11.2M -12.5M -13.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.34 1.61 0.37 1.09 Total Volume 159,566.429 59,975 374,288 214,609 153,399 Total OI 3,586,356.905 3,015,727 3,908,905 3,649,466 3,568,579
Daily Data (21 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 2009-04-01 $19.31 $19.00 47.5% 13.6% 61.7% 34.2% 47.3% 6.5% 5.0% 12.5M -160.3M -12.5M 0.37 1.45 N/A N/A 156,484 58,125 2,086,492 1,562,974 2009-04-02 $19.29 $19.00 46.1% 13.2% 57.2% 32.3% 45.8% 5.1% 5.5% 13.3M -137.2M -12.6M 0.49 3.01 N/A N/A 93,910 46,279 2,130,557 1,587,641 2009-04-03 $18.75 $18.00 44.2% 14.4% 58.9% 29.8% 50.3% 9.5% -2.8% 9.5M 100.5M -11.9M 0.57 2.95 N/A N/A 120,243 68,240 2,090,102 1,597,779 2009-04-06 $18.76 $18.00 44.7% 14.2% 58.6% 30.4% 49.6% 9.6% -2.8% 11.2M 74.2M -11.9M 0.85 4.15 N/A N/A 32,568 27,528 2,146,956 1,615,436 2009-04-07 $18.76 $18.00 45.1% 14.3% 51.8% 30.9% 50.2% 9.9% -2.5% 11.8M 49.8M -11.9M 0.79 4.03 N/A N/A 39,958 31,429 2,138,652 1,612,619 2009-04-08 $19.19 $18.00 42.3% 14.1% 50.9% 27.2% 50.2% 8.5% -1.8% 14.8M -112.1M -12.2M 0.81 2.89 N/A N/A 75,577 61,199 2,150,388 1,619,412 2009-04-09 $19.67 $19.00 44.9% 12.9% 51.1% 30.8% 45.3% 7.8% -0.2% 18.8M -286.2M -12.7M 0.34 4.38 N/A N/A 81,172 27,271 2,180,763 1,647,944 2009-04-13 $19.59 $19.00 46.0% 13.2% 50.2% 32.1% 47.4% 7.7% -1.6% 19.9M -266.7M -12.3M 0.61 3.41 N/A N/A 37,240 22,735 2,201,277 1,648,023 2009-04-14 $19.35 $19.00 49.3% 14.1% 49.3% 36.5% 51.2% 7.5% -2.5% 17.5M -111.6M -12.1M 0.83 2.84 N/A N/A 64,626 53,840 2,203,209 1,651,614 2009-04-15 $18.83 $19.00 49.0% 14.1% 49.5% 36.1% 50.1% 6.9% -1.7% 13.8M 46.2M -11.8M 1.61 3.42 N/A N/A 49,091 79,267 2,216,029 1,671,632 2009-04-16 $19.76 $19.00 44.8% 12.8% 51.8% 30.6% 44.4% 6.3% -1.2% 22.2M -300.7M -12.0M 0.66 3.13 N/A N/A 92,106 60,908 2,202,538 1,641,599 2009-04-17 $19.20 $19.00 42.9% 12.3% 53.4% 28.1% 42.6% 5.7% 0.6% 17.9M -42.7M -11.8M 0.61 3.94 N/A N/A 67,662 41,531 2,233,216 1,675,689 2009-04-20 $18.61 $19.00 48.2% 13.8% 54.9% 35.1% 47.8% 5.2% -3.1% 9.4M 70.2M -11.2M 0.41 2.10 N/A N/A 139,935 57,227 1,727,762 1,287,965 2009-04-21 $18.97 $19.00 45.8% 13.1% 49.2% 31.9% 45.3% 5.5% -2.7% 13.1M -69.5M -11.6M 0.73 3.10 N/A N/A 140,997 102,914 1,805,588 1,306,869 2009-04-22 $18.78 $19.00 45.3% 13.0% 48.5% 31.2% 44.7% 3.7% -3.7% 13.5M -7.5M -12.0M 0.98 3.03 N/A N/A 60,765 59,267 1,882,630 1,354,652 2009-04-23 $18.92 $19.00 50.6% 14.5% 48.5% 38.3% 51.0% 3.0% -5.9% 13.9M -69.9M -12.0M 0.95 3.57 N/A N/A 105,444 100,307 1,873,094 1,341,273 2009-04-24 $20.91 $19.00 34.5% 9.9% 57.2% 17.0% 36.3% 4.3% 1.8% 25.2M -851.0M -13.1M 0.60 3.51 N/A N/A 233,826 140,462 1,910,938 1,360,357 2009-04-27 $20.40 $19.00 37.9% 10.9% 56.1% 21.4% 37.2% 4.5% 0.8% 25.7M -668.0M -13.3M 0.50 3.37 N/A N/A 116,520 57,806 1,982,926 1,413,539 2009-04-28 $19.93 $19.00 35.7% 10.2% 54.9% 18.5% 36.8% 2.6% 2.4% 24.4M -494.0M -13.3M 0.60 3.31 N/A N/A 146,886 88,229 2,012,416 1,435,068 2009-04-29 $20.25 $19.00 35.3% 10.1% 52.7% 18.0% 34.6% 3.3% 1.5% 26.6M -593.2M -13.7M 0.41 4.14 N/A N/A 112,284 45,638 2,058,591 1,478,707 2009-04-30 $20.26 $19.00 35.7% 10.2% 49.9% 18.5% 35.3% 3.0% 1.9% 27.6M -622.8M -13.8M 1.09 3.85 N/A N/A 73,460 79,939 2,069,453 1,499,126
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