MSFT Options History — May 2009 In May 2009, MSFT traded between $19.32 and $20.89. ATM implied volatility averaged 32.7%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 9.1% (HV 20d: 41.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.70.
Notable Days 2009-05-18 : Highest Volume — 276,507 contracts2009-05-29 : Largest IV drop — 11.8% change2009-05-04 : Highest IV Rank — 21.0%2009-05-04 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $20.03 $19.32 $20.89 $20.24 $20.89 Max Pain $19.45 $19.00 $20.00 $19.00 $20.00 ATM IV 32.7% 26.8% 37.5% 34.4% 26.8% Expected Move 9.3% 7.7% 10.8% 9.9% 7.7% HV 20d 41.8% 25.2% 49.9% 49.9% 26.3% HV 60d 48.9% 47.6% 50.5% 50.5% 47.8% IV Rank 14.3% 6.2% 21.0% 16.9% 6.2% IV Percentile 26.1% 6.0% 37.3% 32.9% 6.0% Term Structure 1.4% 0.0% 2.8% 2.5% 2.8% VWIV 32.8% 28.0% 38.0% 34.5% 28.0% Skew 25d 4.4% 3.2% 6.0% 3.3% 4.2% Skew 10d 7.7% 5.3% 10.1% 5.3% 8.9% Call IV 25d 30.7% 26.0% 35.0% 32.9% 26.0% Put IV 25d 35.1% 30.2% 40.3% 36.1% 30.2% Bid-Ask Spread % 3.37 2.19 5.31 5.31 2.87 Gamma HHI 0.14 0.11 0.27 0.13 0.13 Net GEX 25.9M 18.9M 36.8M 28.1M 29.4M Net DEX -344.8M -641.8M -95.7M -538.9M -641.8M Net VEX -13.1M -13.7M -12.6M -13.7M -13.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.22 1.45 0.80 0.68 Total Volume 114,744.3 52,279 276,507 103,039 68,914 Total OI 3,615,117.45 3,426,786 3,808,856 3,611,279 3,592,779
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 2009-05-01 $20.24 $19.00 34.4% 9.9% 49.9% 16.9% 34.5% 3.3% 2.5% 28.1M -538.9M -13.7M 0.80 5.31 N/A N/A 57,365 45,674 2,079,766 1,531,513 2009-05-04 $20.19 $19.00 37.5% 10.8% 48.6% 21.0% 37.5% 6.0% 0.6% 28.8M -559.8M -13.7M 0.56 3.82 N/A N/A 37,227 20,921 2,095,667 1,521,731 2009-05-05 $19.79 $19.00 36.8% 10.5% 49.3% 20.0% 38.0% 5.7% 0.6% 26.5M -347.5M -13.0M 1.04 4.18 N/A N/A 70,805 73,726 2,082,269 1,516,183 2009-05-06 $19.79 $19.00 36.3% 10.3% 49.3% 19.3% 35.8% 4.5% 0.1% 26.7M -312.9M -13.1M 0.69 4.79 N/A N/A 69,189 47,851 2,106,719 1,553,057 2009-05-07 $19.32 $19.00 36.9% 10.6% 49.6% 20.2% 37.2% 4.0% 0.2% 22.6M -100.3M -12.7M 0.57 4.00 N/A N/A 79,733 45,684 2,098,657 1,541,994 2009-05-08 $19.42 $19.00 33.7% 9.9% 48.8% 16.0% 34.4% 4.2% 0.1% 25.6M -131.2M -12.6M 1.19 3.26 N/A N/A 56,256 67,090 2,118,395 1,560,562 2009-05-11 $19.32 $19.00 37.4% 10.5% 48.8% 20.8% 36.4% 3.2% 0.0% 22.6M -95.7M -12.7M 0.65 4.64 N/A N/A 133,163 86,666 2,125,837 1,596,871 2009-05-12 $19.89 $19.00 34.7% 9.7% 49.7% 17.2% 34.7% 4.5% 1.2% 32.0M -395.6M -13.4M 0.82 2.64 N/A N/A 54,981 45,251 2,176,543 1,632,313 2009-05-13 $19.75 $19.00 35.5% 10.0% 48.7% 18.3% 35.9% 4.7% 0.6% 28.8M -268.5M -12.9M 0.50 2.22 N/A N/A 68,325 34,383 2,125,269 1,595,276 2009-05-14 $20.06 $19.00 32.4% 9.3% 45.9% 14.1% 32.5% 3.9% 1.8% 36.8M -429.5M -12.8M 0.51 2.50 N/A N/A 79,022 40,470 2,136,414 1,599,775 2009-05-15 $20.22 $19.00 30.2% 8.7% 44.6% 11.3% 29.9% 4.0% 2.1% 30.9M -542.1M -12.7M 0.24 2.36 N/A N/A 167,984 40,350 2,137,096 1,606,736 2009-05-18 $20.60 $20.00 28.0% 8.0% 43.1% 8.4% 30.8% 4.8% 2.6% 24.1M -503.3M -12.9M 0.22 2.19 N/A N/A 227,403 49,104 1,978,240 1,448,546 2009-05-19 $20.31 $20.00 29.3% 8.4% 43.3% 9.4% 28.6% 4.5% 2.3% 22.9M -329.1M -13.2M 0.65 2.93 N/A N/A 45,261 29,356 1,982,278 1,479,269 2009-05-20 $20.38 $20.00 29.1% 8.3% 43.0% 9.2% 28.5% 4.3% 2.2% 23.3M -366.2M -13.0M 0.46 3.51 N/A N/A 61,126 28,322 1,989,231 1,493,304 2009-05-21 $19.82 $20.00 31.6% 9.1% 44.4% 12.5% 31.8% 3.8% 2.4% 19.5M -161.4M -13.0M 1.10 3.73 N/A N/A 52,061 57,112 2,012,771 1,496,299 2009-05-22 $19.75 $20.00 30.3% 8.7% 25.3% 10.8% 30.5% 4.6% 2.0% 18.9M -118.0M -13.1M 1.45 2.19 N/A N/A 25,085 36,270 2,024,482 1,521,731 2009-05-26 $20.34 $20.00 30.9% 8.9% 26.4% 11.6% 30.4% 4.9% 1.6% 23.3M -367.6M -13.2M 0.60 3.21 N/A N/A 32,720 19,559 2,026,815 1,536,082 2009-05-27 $20.13 $20.00 30.8% 8.8% 25.3% 11.5% 30.4% 4.6% 1.1% 22.0M -251.4M -13.3M 0.75 3.68 N/A N/A 48,517 36,389 2,033,062 1,540,290 2009-05-28 $20.45 $20.00 30.4% 8.7% 25.2% 10.9% 29.4% 4.7% 1.8% 25.3M -435.9M -13.5M 0.54 3.29 N/A N/A 36,112 19,459 2,050,826 1,557,701 2009-05-29 $20.89 $20.00 26.8% 7.7% 26.3% 6.2% 28.0% 4.2% 2.8% 29.4M -641.8M -13.5M 0.68 2.87 N/A N/A 41,047 27,867 2,050,546 1,542,233
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