MSFT Options History — June 2009 In June 2009, MSFT traded between $21.40 and $24.07. ATM implied volatility averaged 30.6%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.1% (HV 20d: 23.5%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.55.
Notable Days 2009-06-16 : Highest Volume — 245,675 contracts2009-06-11 : Largest IV spike — 12.4% change2009-06-16 : Highest IV Rank — 14.1%2009-06-16 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $22.92 $21.40 $24.07 $21.40 $23.77 Max Pain $19.27 $19.00 $20.00 $20.00 $20.00 ATM IV 30.6% 26.2% 34.0% 29.8% 31.1% Expected Move 8.9% 8.1% 9.8% 8.5% 8.9% HV 20d 23.5% 18.8% 27.5% 27.5% 22.7% HV 60d 40.4% 34.2% 46.3% 46.3% 34.2% IV Rank 9.5% 3.5% 14.1% 10.1% 10.2% IV Percentile 19.0% 2.8% 30.2% 15.9% 22.6% Term Structure 3.1% 0.2% 5.8% 1.0% 3.5% VWIV 31.2% 28.2% 33.7% 30.0% 31.7% Skew 25d 3.2% 0.7% 4.9% 4.3% 1.7% Skew 10d 6.6% 3.5% 9.8% 8.3% 5.1% Call IV 25d 29.8% 27.1% 32.6% 27.7% 31.5% Put IV 25d 33.1% 29.9% 35.6% 32.1% 33.2% Bid-Ask Spread % 2.58 1.57 3.65 2.90 2.33 Gamma HHI 0.13 0.11 0.16 0.14 0.15 Net GEX 37.8M 32.3M 45.8M 32.3M 45.8M Net DEX -1.66B -2.36B -914.3M -914.3M -1.94B Net VEX -14.4M -15.0M -14.0M -14.0M -14.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.32 0.78 0.53 0.72 Total Volume 113,838.727 50,387 245,675 115,171 63,298 Total OI 3,831,890.773 3,631,071 4,055,359 3,631,071 4,000,451
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 2009-06-01 $21.40 $20.00 29.8% 8.5% 27.5% 10.1% 30.0% 4.3% 1.0% 32.3M -914.3M -14.0M 0.53 2.90 N/A N/A 75,320 39,851 2,075,909 1,555,162 2009-06-02 $21.40 $20.00 30.8% 8.8% 27.4% 9.7% 30.2% 3.3% 0.8% 32.6M -928.1M -14.1M 0.42 2.84 N/A N/A 60,427 25,532 2,093,835 1,560,534 2009-06-03 $21.73 $20.00 31.2% 9.0% 26.4% 10.3% 31.7% 2.9% 0.2% 33.1M -1.11B -14.2M 0.58 2.62 N/A N/A 56,469 32,551 2,105,203 1,561,740 2009-06-04 $21.83 $20.00 29.8% 8.6% 26.3% 8.4% 31.5% 3.6% 1.3% 33.6M -1.13B -14.2M 0.71 3.65 N/A N/A 51,430 36,636 2,099,404 1,575,453 2009-06-05 $22.14 $19.00 29.1% 8.7% 24.1% 7.4% 30.6% 4.3% 4.2% 33.6M -1.33B -14.2M 0.32 3.46 N/A N/A 82,112 26,562 2,112,682 1,594,838 2009-06-08 $22.05 $19.00 29.9% 8.9% 24.4% 8.5% 31.7% 4.9% 4.0% 36.2M -1.30B -14.1M 0.66 3.65 N/A N/A 41,390 27,140 2,132,741 1,579,679 2009-06-09 $22.08 $19.00 27.7% 8.4% 24.1% 5.5% 31.1% 4.6% 4.9% 38.1M -1.29B -14.1M 0.49 2.81 N/A N/A 84,450 41,294 2,148,851 1,590,442 2009-06-10 $22.55 $19.00 26.2% 8.1% 23.3% 3.5% 29.3% 4.4% 4.8% 41.4M -1.60B -14.2M 0.71 2.85 N/A N/A 54,101 38,175 2,197,298 1,611,681 2009-06-11 $22.83 $19.00 29.5% 8.5% 22.8% 8.0% 29.1% 3.6% 3.6% 38.9M -1.69B -14.1M 0.51 3.48 N/A N/A 105,392 54,001 2,180,794 1,617,062 2009-06-12 $23.33 $19.00 30.2% 8.6% 23.2% 8.9% 30.4% 2.3% 3.1% 40.5M -1.96B -14.2M 0.43 2.83 N/A N/A 83,217 35,714 2,215,573 1,629,996 2009-06-15 $23.42 $19.00 33.0% 9.5% 23.3% 12.7% 33.0% 2.4% 1.6% 37.8M -2.01B -14.2M 0.58 2.22 N/A N/A 58,394 33,860 2,226,364 1,644,093 2009-06-16 $23.45 $19.00 34.0% 9.8% 23.0% 14.1% 33.7% 3.0% 1.4% 36.8M -2.02B -14.4M 0.63 1.93 N/A N/A 150,750 94,925 2,236,865 1,647,686 2009-06-17 $23.68 $19.00 32.9% 9.4% 21.6% 12.5% 33.0% 3.8% 0.9% 39.5M -2.16B -14.8M 0.78 1.87 N/A N/A 103,926 80,865 2,308,516 1,687,523 2009-06-18 $23.50 $19.00 32.9% 9.4% 22.3% 12.6% 33.4% 3.4% 1.9% 38.8M -2.06B -14.8M 0.42 2.83 N/A N/A 47,953 20,176 2,328,597 1,726,762 2009-06-19 $24.07 $19.00 30.4% 8.7% 18.8% 9.2% 30.3% 2.9% 2.5% 39.4M -2.36B -14.7M 0.39 2.35 N/A N/A 141,159 54,411 2,324,826 1,701,253 2009-06-22 $23.28 $19.00 31.7% 9.1% 23.9% 10.9% 31.3% 3.1% 5.4% 35.0M -1.71B -14.7M 0.62 1.75 N/A N/A 74,184 46,001 2,215,686 1,579,042 2009-06-23 $23.34 $19.00 33.7% 9.6% 22.6% 13.6% 33.2% 3.1% 4.3% 36.2M -1.66B -15.0M 0.65 1.57 N/A N/A 80,047 52,240 2,229,603 1,593,771 2009-06-24 $23.47 $19.00 31.6% 9.1% 21.7% 10.8% 31.3% 3.4% 5.4% 39.5M -1.77B -14.9M 0.69 1.69 N/A N/A 29,732 20,655 2,269,611 1,609,407 2009-06-25 $23.79 $19.00 28.4% 8.1% 21.6% 6.5% 29.5% 3.5% 5.8% 41.8M -1.93B -14.8M 0.54 2.59 N/A N/A 54,385 29,303 2,277,013 1,622,562 2009-06-26 $23.35 $19.00 28.2% 8.1% 22.8% 6.3% 28.2% 2.4% 5.8% 39.2M -1.66B -14.4M 0.48 2.03 N/A N/A 48,982 23,509 2,268,006 1,629,762 2009-06-29 $23.86 $20.00 31.1% 8.9% 22.6% 10.2% 31.5% 0.7% 2.9% 42.1M -1.95B -14.4M 0.35 2.49 N/A N/A 106,253 37,680 2,298,327 1,636,994 2009-06-30 $23.77 $20.00 31.1% 8.9% 22.7% 10.2% 31.7% 1.7% 3.5% 45.8M -1.94B -14.7M 0.72 2.33 N/A N/A 36,816 26,482 2,346,980 1,653,471
« May 2009 | All History | Jul 2009 » Home MSFT History June 2009