MSFT Options History — July 2009 In July 2009, MSFT traded between $22.39 and $25.56. ATM implied volatility averaged 30.5%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.1% (HV 20d: 32.7%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.58.
Notable Days 2009-07-24 : Highest Volume — 432,329 contracts2009-07-24 : Largest IV drop — 12.3% change2009-07-07 : Highest IV Rank — 13.7%2009-07-09 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $23.66 $22.39 $25.56 $24.04 $23.52 Max Pain $23.23 $20.00 $24.00 $20.00 $24.00 ATM IV 30.5% 27.0% 33.8% 29.6% 27.1% Expected Move 9.2% 7.7% 10.7% 8.5% 7.8% HV 20d 32.7% 22.5% 44.2% 22.5% 42.7% HV 60d 32.5% 26.1% 35.1% 34.3% 32.1% IV Rank 9.4% 4.5% 13.7% 8.1% 4.7% IV Percentile 20.1% 4.0% 31.0% 14.3% 4.8% Term Structure -0.6% -2.7% 4.7% 4.0% 1.5% VWIV 32.0% 27.2% 37.3% 29.9% 27.8% Skew 25d 4.1% 1.5% 5.5% 2.3% 3.2% Skew 10d 7.0% 2.1% 9.8% 5.9% 4.1% Call IV 25d 30.0% 25.5% 34.9% 29.1% 26.3% Put IV 25d 34.1% 28.8% 40.2% 31.4% 29.5% Bid-Ask Spread % 3.15 2.02 4.16 2.13 3.03 Gamma HHI 0.14 0.11 0.27 0.18 0.14 Net GEX 39.5M 27.0M 69.6M 47.5M 30.3M Net DEX -1.57B -2.43B -918.3M -2.06B -1.13B Net VEX -14.6M -15.3M -14.1M -14.5M -15.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.22 1.00 0.76 0.56 Total Volume 140,740.591 37,438 432,329 119,010 75,581 Total OI 3,935,689.273 3,386,726 4,275,198 4,011,017 3,870,869
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 2009-07-01 $24.04 $20.00 29.6% 8.5% 22.5% 8.1% 29.9% 2.3% 4.0% 47.5M -2.06B -14.5M 0.76 2.13 N/A N/A 67,557 51,453 2,348,067 1,662,950 2009-07-02 $23.37 $20.00 30.7% 8.8% 25.5% 9.6% 31.0% 1.5% 4.7% 41.7M -1.71B -14.7M 0.22 3.12 N/A N/A 156,464 33,871 2,377,510 1,694,622 2009-07-06 $23.20 $24.00 31.8% 10.3% 25.4% 11.1% 35.8% 4.9% -2.4% 42.3M -1.62B -14.5M 0.61 3.15 N/A N/A 30,001 18,385 2,416,356 1,689,484 2009-07-07 $22.53 $23.00 33.8% 10.5% 27.7% 13.7% 35.2% 5.1% -2.2% 37.0M -1.25B -14.3M 0.44 3.04 N/A N/A 97,830 43,348 2,414,467 1,696,577 2009-07-08 $22.56 $23.00 32.7% 10.6% 27.7% 12.4% 37.3% 5.3% -2.5% 38.9M -1.29B -14.6M 0.50 3.44 N/A N/A 93,622 46,698 2,476,111 1,706,950 2009-07-09 $22.44 $23.00 31.5% 10.7% 26.8% 10.7% 36.0% 5.5% -2.2% 36.0M -1.18B -14.4M 0.68 2.45 N/A N/A 22,291 15,147 2,472,660 1,721,638 2009-07-10 $22.39 $23.00 30.0% 10.3% 26.3% 8.7% 34.9% 5.4% -2.0% 35.5M -1.16B -14.1M 0.23 3.68 N/A N/A 118,349 27,784 2,474,731 1,723,190 2009-07-13 $23.23 $23.00 31.0% 9.6% 28.5% 10.0% 32.9% 5.3% -1.3% 45.6M -1.66B -14.3M 0.50 3.97 N/A N/A 52,513 26,019 2,502,753 1,717,722 2009-07-14 $23.11 $23.00 30.0% 9.4% 28.5% 8.6% 32.7% 4.9% -0.9% 38.9M -1.57B -14.1M 0.81 4.09 N/A N/A 31,391 25,425 2,496,044 1,716,096 2009-07-15 $24.12 $23.00 29.6% 9.4% 32.4% 8.1% 32.6% 4.7% -1.8% 58.7M -2.23B -14.2M 0.45 4.16 N/A N/A 122,423 54,748 2,498,632 1,724,505 2009-07-16 $24.44 $23.00 31.9% 9.1% 32.6% 11.2% 31.8% 4.4% -1.5% 69.6M -2.43B -14.2M 0.70 2.02 N/A N/A 94,501 65,803 2,499,320 1,735,638 2009-07-17 $24.29 $23.00 32.3% 9.3% 32.5% 11.7% 31.8% 4.7% -2.2% 44.6M -2.28B -14.4M 0.47 2.99 N/A N/A 122,469 57,599 2,510,232 1,764,966 2009-07-20 $24.53 $24.00 31.0% 8.9% 31.6% 10.0% 31.9% 5.5% -1.5% 35.5M -1.63B -14.5M 0.72 3.18 N/A N/A 42,037 30,222 2,027,738 1,358,988 2009-07-21 $24.83 $24.00 31.6% 9.1% 29.1% 10.8% 32.2% 5.1% -2.0% 37.0M -1.76B -14.5M 0.49 2.56 N/A N/A 65,218 32,162 2,043,537 1,371,943 2009-07-22 $24.80 $24.00 31.7% 9.1% 29.1% 11.0% 32.9% 4.5% -2.1% 38.0M -1.77B -14.8M 0.44 3.46 N/A N/A 71,885 31,392 2,078,238 1,389,165 2009-07-23 $25.56 $24.00 32.3% 9.2% 30.7% 11.7% 33.1% 2.6% -2.7% 40.1M -2.19B -15.0M 0.51 3.50 N/A N/A 226,077 115,910 2,113,387 1,403,075 2009-07-24 $23.45 $24.00 28.3% 8.1% 44.2% 6.3% 27.8% 2.3% -0.1% 27.0M -1.00B -14.4M 0.72 3.30 N/A N/A 251,509 180,820 2,155,693 1,488,967 2009-07-27 $23.11 $24.00 29.8% 8.6% 44.0% 8.4% 30.0% 2.9% -0.3% 28.8M -918.3M -14.9M 0.99 3.54 N/A N/A 77,886 77,127 2,245,322 1,515,505 2009-07-28 $23.47 $24.00 29.9% 8.6% 43.6% 8.5% 29.8% 2.4% 0.1% 31.4M -1.12B -15.0M 1.00 3.09 N/A N/A 70,487 70,533 2,249,834 1,545,273 2009-07-29 $23.80 $24.00 28.2% 8.1% 43.9% 6.3% 28.9% 3.3% 1.1% 33.0M -1.30B -15.3M 0.45 2.72 N/A N/A 61,748 27,858 2,256,547 1,575,494 2009-07-30 $23.81 $24.00 27.0% 7.7% 43.7% 4.5% 27.2% 4.3% 2.1% 32.7M -1.29B -15.3M 0.50 2.70 N/A N/A 74,965 37,185 2,269,906 1,584,462 2009-07-31 $23.52 $24.00 27.1% 7.8% 42.7% 4.7% 27.8% 3.2% 1.5% 30.3M -1.13B -15.0M 0.56 3.03 N/A N/A 48,356 27,225 2,275,357 1,595,512
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