MSFT Options History — September 2009 In September 2009, MSFT traded between $23.86 and $25.94. ATM implied volatility averaged 24.0%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.8% (HV 20d: 18.2%). Max pain ranged from $20.00 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 0.87.
Notable Days 2009-09-18 : Highest Volume — 123,251 contracts2009-09-04 : Largest IV drop — 13.2% change2009-09-01 : Highest IV Rank — 5.5%2009-09-01 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $25.12 $23.86 $25.94 $24.00 $25.72 Max Pain $21.10 $20.00 $24.00 $24.00 $21.00 ATM IV 24.0% 21.8% 27.5% 27.5% 21.8% Expected Move 7.0% 6.2% 7.9% 7.9% 6.2% HV 20d 18.2% 13.7% 21.1% 20.3% 13.7% HV 60d 29.4% 27.3% 30.6% 30.5% 27.3% IV Rank 1.7% 0.0% 5.5% 5.5% 0.0% IV Percentile 2.6% 0.0% 9.1% 9.1% 0.0% Term Structure 4.7% 1.6% 6.8% 1.6% 6.6% VWIV 25.5% 23.0% 29.3% 27.6% 23.0% Skew 25d 3.4% 2.0% 5.7% 2.7% 2.2% Skew 10d 7.7% 4.1% 13.5% 4.2% 5.4% Call IV 25d 23.8% 21.9% 27.0% 26.9% 22.2% Put IV 25d 27.2% 24.4% 30.4% 29.6% 24.4% Bid-Ask Spread % 2.36 1.03 3.34 3.05 1.03 Gamma HHI 0.16 0.14 0.18 0.14 0.15 Net GEX 47.1M 36.1M 53.8M 37.1M 48.3M Net DEX -2.04B -2.44B -1.26B -1.34B -2.38B Net VEX -13.6M -14.9M -12.7M -14.9M -13.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.38 1.60 0.87 0.78 Total Volume 72,066.333 26,707 123,251 75,738 67,194 Total OI 3,884,270.905 3,777,045 3,988,496 3,852,880 3,988,496
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 2009-09-01 $24.00 $24.00 27.5% 7.9% 20.3% 5.5% 27.6% 2.7% 1.6% 37.1M -1.34B -14.9M 0.87 3.05 N/A N/A 40,547 35,191 2,243,794 1,609,086 2009-09-02 $23.86 $24.00 27.4% 7.9% 20.4% 5.4% 27.7% 2.8% 2.7% 36.1M -1.26B -14.7M 1.60 2.11 N/A N/A 35,437 56,667 2,241,954 1,605,488 2009-09-03 $24.11 $24.00 26.6% 7.6% 19.9% 4.3% 26.9% 2.6% 2.9% 38.3M -1.38B -14.8M 0.77 2.47 N/A N/A 15,084 11,623 2,240,807 1,617,382 2009-09-04 $24.62 $20.00 23.1% 7.4% 21.1% 0.0% 29.3% 5.2% 4.1% 45.0M -1.71B -14.5M 0.90 2.68 N/A N/A 36,300 32,729 2,246,621 1,606,269 2009-09-08 $24.82 $20.00 24.0% 7.6% 20.9% 1.3% 27.4% 5.7% 4.2% 46.4M -1.83B -14.4M 1.40 3.06 N/A N/A 23,979 33,514 2,253,067 1,609,339 2009-09-09 $24.78 $20.00 23.1% 7.3% 20.2% 0.1% 27.0% 5.6% 3.8% 47.3M -1.81B -14.1M 1.05 2.29 N/A N/A 27,762 29,271 2,261,318 1,612,059 2009-09-10 $25.00 $20.00 25.3% 7.3% 19.7% 3.0% 26.1% 4.8% 3.7% 50.6M -2.03B -13.4M 0.58 1.85 N/A N/A 32,901 19,136 2,270,328 1,616,929 2009-09-11 $24.86 $20.00 25.0% 7.2% 19.9% 2.6% 26.4% 4.4% 3.5% 50.6M -1.92B -13.7M 0.55 2.18 N/A N/A 33,922 18,767 2,280,150 1,624,335 2009-09-14 $25.00 $20.00 25.1% 7.2% 20.0% 2.7% 25.6% 4.1% 3.3% 51.4M -2.02B -13.5M 0.96 2.36 N/A N/A 22,900 22,040 2,291,330 1,624,285 2009-09-15 $25.20 $20.00 24.6% 7.1% 18.3% 2.1% 25.2% 3.7% 3.4% 53.8M -2.20B -12.9M 0.72 2.46 N/A N/A 25,936 18,668 2,290,829 1,628,404 2009-09-16 $25.20 $21.00 25.4% 7.3% 18.0% 3.0% 25.8% 4.4% 3.2% 51.8M -2.12B -13.6M 0.95 3.34 N/A N/A 46,788 44,639 2,291,972 1,630,068 2009-09-17 $25.30 $21.00 24.4% 7.0% 18.0% 1.8% 25.2% 3.2% 4.7% 51.1M -2.26B -13.2M 0.48 2.94 N/A N/A 61,313 29,503 2,293,442 1,632,274 2009-09-18 $25.26 $21.00 23.4% 6.7% 18.1% 0.4% 23.9% 2.4% 5.3% 51.3M -2.25B -13.2M 1.16 3.17 N/A N/A 57,054 66,197 2,301,825 1,634,180 2009-09-21 $25.30 $21.00 23.6% 6.8% 14.8% 0.7% 23.7% 2.6% 6.1% 46.1M -2.09B -13.3M 1.27 2.46 N/A N/A 27,292 34,559 2,201,632 1,575,413 2009-09-22 $25.77 $21.00 22.0% 6.3% 15.8% 0.0% 23.4% 2.7% 6.6% 46.8M -2.41B -12.7M 0.56 2.29 N/A N/A 68,846 38,686 2,215,684 1,587,574 2009-09-23 $25.71 $21.00 22.5% 6.4% 15.8% 0.7% 23.1% 2.5% 6.5% 47.3M -2.38B -12.9M 0.54 1.87 N/A N/A 77,446 41,434 2,239,260 1,604,415 2009-09-24 $25.94 $21.00 22.5% 6.5% 15.9% 0.7% 23.7% 2.4% 6.8% 47.5M -2.44B -13.1M 1.35 2.48 N/A N/A 29,537 39,976 2,245,482 1,621,057 2009-09-25 $25.55 $21.00 22.2% 6.4% 17.0% 0.3% 23.4% 2.2% 6.7% 46.8M -2.25B -13.2M 0.79 1.63 N/A N/A 28,722 22,702 2,255,431 1,644,565 2009-09-28 $25.83 $21.00 22.2% 6.4% 17.3% 0.3% 23.6% 2.0% 6.7% 47.1M -2.43B -13.0M 0.38 2.05 N/A N/A 38,245 14,674 2,256,034 1,656,442 2009-09-29 $25.75 $21.00 22.2% 6.4% 17.4% 0.3% 27.3% 2.4% 6.3% 48.1M -2.27B -13.3M 0.66 1.79 N/A N/A 63,895 42,317 2,257,784 1,662,885 2009-09-30 $25.72 $21.00 21.8% 6.2% 13.7% 0.0% 23.0% 2.2% 6.6% 48.3M -2.38B -13.7M 0.78 1.03 N/A N/A 37,822 29,372 2,308,458 1,680,038
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