MSFT Options History — August 2009 In August 2009, MSFT traded between $23.13 and $24.69. ATM implied volatility averaged 26.2%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 6.2% (HV 20d: 32.3%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.81.
Notable Days 2009-08-17 : Highest Volume — 184,783 contracts2009-08-17 : Largest IV spike — 13.2% change2009-08-17 : Highest IV Rank — 8.4%2009-08-17 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $23.92 $23.13 $24.69 $23.83 $24.65 Max Pain $24.00 $24.00 $24.00 $24.00 $24.00 ATM IV 26.2% 23.4% 29.8% 27.7% 24.4% Expected Move 7.6% 6.7% 8.6% 7.9% 7.0% HV 20d 32.3% 17.6% 42.8% 42.8% 17.6% HV 60d 30.9% 30.0% 31.7% 31.6% 30.0% IV Rank 3.5% 0.0% 8.4% 5.5% 1.4% IV Percentile 4.6% 0.0% 17.5% 7.5% 1.6% Term Structure 1.7% 0.3% 2.3% 0.6% 2.2% VWIV 27.1% 24.4% 30.3% 29.1% 26.1% Skew 25d 3.2% 1.7% 4.3% 2.5% 3.6% Skew 10d 6.0% 2.2% 8.6% 3.9% 7.0% Call IV 25d 25.5% 22.8% 28.1% 26.9% 23.8% Put IV 25d 28.7% 26.2% 32.0% 29.4% 27.4% Bid-Ask Spread % 3.43 2.53 4.77 3.81 3.24 Gamma HHI 0.13 0.12 0.15 0.15 0.14 Net GEX 32.8M 22.2M 41.7M 33.9M 41.7M Net DEX -1.33B -1.75B -853.2M -1.32B -1.75B Net VEX -14.6M -15.0M -14.2M -14.9M -14.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.33 1.87 0.85 1.16 Total Volume 83,950.143 46,116 184,783 62,683 81,728 Total OI 3,932,356.048 3,694,780 4,079,009 3,889,207 3,828,511
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 2009-08-03 $23.83 $24.00 27.7% 7.9% 42.8% 5.5% 29.1% 2.5% 0.6% 33.9M -1.32B -14.9M 0.85 3.81 N/A N/A 33,872 28,811 2,288,039 1,601,168 2009-08-04 $23.77 $24.00 27.2% 7.8% 41.3% 4.9% 28.5% 1.7% 0.9% 33.2M -1.27B -14.8M 1.09 2.87 N/A N/A 40,140 43,607 2,295,075 1,604,488 2009-08-05 $23.81 $24.00 27.0% 7.8% 41.3% 4.6% 27.8% 1.9% 0.9% 34.9M -1.32B -15.0M 0.58 2.91 N/A N/A 46,324 26,682 2,314,701 1,619,191 2009-08-06 $23.46 $24.00 27.9% 8.0% 41.7% 5.7% 27.9% 1.9% 0.3% 29.7M -1.06B -14.9M 0.99 3.24 N/A N/A 39,373 38,799 2,321,744 1,627,096 2009-08-07 $23.56 $24.00 25.0% 7.6% 41.7% 1.9% 27.1% 2.8% 1.7% 30.1M -1.15B -14.8M 0.95 3.40 N/A N/A 29,244 27,851 2,328,271 1,642,809 2009-08-10 $23.42 $24.00 27.4% 8.0% 39.7% 5.1% 27.8% 3.2% 1.8% 26.0M -1.01B -14.5M 0.42 3.93 N/A N/A 42,341 17,751 2,332,350 1,652,900 2009-08-11 $23.13 $24.00 27.1% 8.0% 39.9% 4.7% 27.4% 3.8% 1.9% 22.2M -853.2M -14.5M 1.28 3.88 N/A N/A 32,280 41,402 2,346,736 1,660,076 2009-08-12 $23.53 $24.00 25.1% 7.7% 37.2% 2.0% 27.8% 3.1% 2.1% 28.9M -1.16B -14.6M 0.41 4.77 N/A N/A 59,857 24,347 2,355,222 1,675,433 2009-08-13 $23.62 $24.00 26.7% 7.7% 36.9% 4.2% 27.4% 3.3% 2.1% 29.8M -1.19B -14.7M 0.76 3.62 N/A N/A 26,185 19,931 2,371,159 1,668,851 2009-08-14 $23.69 $24.00 26.4% 7.6% 36.9% 3.7% 27.5% 3.0% 2.0% 30.1M -1.21B -14.6M 0.80 3.35 N/A N/A 39,977 31,900 2,372,741 1,674,919 2009-08-17 $23.25 $24.00 29.8% 8.6% 37.2% 8.4% 30.3% 3.9% 1.5% 23.2M -931.8M -14.7M 0.33 3.01 N/A N/A 139,039 45,744 2,399,496 1,679,513 2009-08-18 $23.58 $24.00 27.8% 8.0% 37.3% 5.6% 28.8% 4.2% 1.8% 27.6M -1.08B -14.6M 0.60 3.27 N/A N/A 44,900 27,134 2,333,685 1,688,765 2009-08-19 $23.65 $24.00 27.2% 7.8% 37.3% 4.8% 28.0% 4.3% 2.0% 30.1M -1.13B -14.5M 0.69 3.49 N/A N/A 36,678 25,135 2,338,383 1,689,293 2009-08-20 $23.67 $24.00 26.5% 7.6% 35.3% 3.8% 27.3% 3.7% 1.8% 32.3M -1.17B -14.2M 1.37 3.77 N/A N/A 45,313 62,130 2,336,308 1,678,400 2009-08-21 $24.41 $24.00 26.0% 7.4% 20.4% 3.2% 25.6% 3.8% 1.6% 37.2M -1.69B -14.4M 0.51 3.11 N/A N/A 78,266 39,918 2,343,402 1,707,071 2009-08-24 $24.64 $24.00 25.0% 7.2% 19.6% 1.9% 25.5% 3.4% 1.6% 37.3M -1.68B -14.3M 0.42 3.43 N/A N/A 89,264 37,396 2,136,437 1,558,343 2009-08-25 $24.64 $24.00 24.3% 7.0% 19.1% 0.9% 25.3% 3.1% 1.9% 39.2M -1.71B -14.5M 0.48 2.68 N/A N/A 31,630 15,159 2,170,906 1,575,339 2009-08-26 $24.55 $24.00 23.9% 6.9% 18.7% 0.4% 25.1% 3.1% 2.0% 39.5M -1.65B -14.3M 1.87 3.63 N/A N/A 30,022 56,097 2,181,265 1,577,722 2009-08-27 $24.69 $24.00 23.4% 6.7% 18.8% 0.0% 24.6% 3.5% 2.1% 40.0M -1.75B -14.6M 0.76 2.53 N/A N/A 26,931 20,459 2,195,732 1,615,350 2009-08-28 $24.68 $24.00 23.7% 6.8% 18.0% 0.3% 24.4% 2.9% 2.3% 40.9M -1.73B -14.5M 0.67 4.11 N/A N/A 83,430 55,906 2,194,927 1,597,660 2009-08-31 $24.65 $24.00 24.4% 7.0% 17.6% 1.4% 26.1% 3.6% 2.2% 41.7M -1.75B -14.7M 1.16 3.24 N/A N/A 37,816 43,912 2,229,736 1,598,775
« Jul 2009 | All History | Sep 2009 » Home MSFT History August 2009