MSFT Options History — October 2009 In October 2009, MSFT traded between $24.64 and $28.68. ATM implied volatility averaged 24.8%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.5% (HV 20d: 22.3%). Max pain ranged from $21.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.63.
Notable Days 2009-10-23 : Highest Volume — 627,341 contracts2009-10-23 : Largest IV drop — 19.6% change2009-10-22 : Highest IV Rank — 12.9%2009-10-05 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $26.44 $24.64 $28.68 $24.88 $27.73 Max Pain $24.59 $21.00 $26.00 $21.00 $26.00 ATM IV 24.8% 21.0% 29.0% 24.8% 27.5% Expected Move 7.7% 6.7% 8.7% 7.1% 7.9% HV 20d 22.3% 17.7% 29.5% 18.7% 27.3% HV 60d 24.2% 18.6% 28.4% 28.3% 22.0% IV Rank 5.7% 0.0% 12.9% 4.0% 10.6% IV Percentile 10.9% 0.0% 26.2% 7.5% 24.2% Term Structure -0.4% -3.1% 5.6% 5.4% 0.4% VWIV 27.7% 23.9% 31.2% 25.3% 29.0% Skew 25d 3.0% 1.4% 4.4% 2.3% 4.1% Skew 10d 5.9% 1.7% 9.1% 4.7% 7.3% Call IV 25d 25.9% 23.1% 28.9% 25.0% 26.6% Put IV 25d 28.9% 24.5% 33.3% 27.3% 30.7% Bid-Ask Spread % 3.08 2.12 4.01 2.12 3.13 Gamma HHI 0.15 0.12 0.22 0.15 0.12 Net GEX 51.8M 41.8M 66.5M 44.0M 58.2M Net DEX -2.41B -3.35B -1.65B -1.76B -2.58B Net VEX -13.7M -15.6M -13.0M -13.7M -15.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.22 1.29 0.71 1.06 Total Volume 147,036.409 48,319 627,341 110,341 100,859 Total OI 3,930,015.955 3,429,908 4,261,846 3,996,548 3,942,918
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 2009-10-01 $24.88 $21.00 24.8% 7.1% 18.7% 4.0% 25.3% 2.3% 5.4% 44.0M -1.76B -13.7M 0.71 2.12 N/A N/A 64,582 45,759 2,297,380 1,699,168 2009-10-02 $24.96 $21.00 25.2% 7.2% 18.5% 4.6% 27.2% 2.9% 5.6% 45.2M -1.82B -14.1M 0.76 2.33 N/A N/A 39,589 30,105 2,308,088 1,711,595 2009-10-05 $24.64 $25.00 25.8% 8.7% 17.7% 5.4% 31.2% 4.4% -1.3% 43.2M -1.65B -13.4M 0.69 3.59 N/A N/A 55,988 38,687 2,311,850 1,717,536 2009-10-06 $25.11 $25.00 24.4% 8.5% 18.7% 3.6% 29.6% 4.3% -1.4% 45.6M -2.01B -13.2M 0.79 2.78 N/A N/A 35,147 27,904 2,310,136 1,725,400 2009-10-07 $25.10 $25.00 23.6% 8.4% 18.7% 2.5% 29.2% 4.3% -1.6% 46.4M -1.94B -13.3M 1.29 3.82 N/A N/A 39,972 51,615 2,314,094 1,733,493 2009-10-08 $25.67 $25.00 22.7% 8.0% 20.1% 1.3% 28.5% 4.3% -1.2% 49.9M -2.37B -13.3M 0.73 3.54 N/A N/A 96,215 70,208 2,332,241 1,763,481 2009-10-09 $25.55 $25.00 21.0% 7.9% 20.0% 0.0% 28.7% 4.3% -1.1% 48.6M -2.25B -13.8M 0.51 3.42 N/A N/A 32,083 16,236 2,344,239 1,795,050 2009-10-12 $25.72 $25.00 23.3% 7.8% 20.1% 3.0% 28.8% 4.1% -1.1% 52.8M -2.37B -13.3M 0.33 4.01 N/A N/A 51,281 16,683 2,348,204 1,791,483 2009-10-13 $25.81 $25.00 23.2% 7.8% 19.9% 3.5% 27.5% 3.7% -1.3% 53.7M -2.48B -13.2M 0.48 2.35 N/A N/A 62,850 30,348 2,348,174 1,793,986 2009-10-14 $25.96 $25.00 21.7% 8.0% 20.0% 1.2% 27.9% 3.5% -1.7% 56.5M -2.60B -13.1M 0.29 3.20 N/A N/A 65,252 19,252 2,353,091 1,795,417 2009-10-15 $26.71 $25.00 25.6% 7.3% 22.2% 7.5% 29.7% 2.3% -0.7% 50.3M -3.02B -13.0M 0.22 2.90 N/A N/A 267,833 58,835 2,374,055 1,793,863 2009-10-16 $26.50 $24.00 25.4% 7.3% 22.4% 7.2% 25.6% 1.9% -0.9% 53.6M -2.93B -13.5M 0.42 3.40 N/A N/A 85,639 35,653 2,437,979 1,823,867 2009-10-19 $26.36 $24.00 26.3% 7.5% 22.6% 8.6% 26.2% 2.1% -1.8% 42.1M -1.82B -13.5M 0.94 2.59 N/A N/A 45,087 42,339 1,992,114 1,437,794 2009-10-20 $26.37 $24.00 27.0% 7.7% 21.8% 9.7% 30.3% 2.8% -1.9% 41.8M -1.82B -13.4M 0.67 2.68 N/A N/A 127,822 85,336 2,012,258 1,452,313 2009-10-21 $26.58 $25.00 28.4% 8.1% 21.9% 12.0% 28.8% 2.5% -2.6% 43.2M -2.05B -13.7M 0.29 2.51 N/A N/A 112,093 32,658 2,064,933 1,506,048 2009-10-22 $26.59 $25.00 29.0% 8.3% 21.7% 12.9% 29.5% 2.3% -3.1% 48.0M -2.03B -14.0M 0.73 3.91 N/A N/A 125,918 91,368 2,117,389 1,491,103 2009-10-23 $28.02 $25.00 23.3% 6.7% 27.4% 3.8% 23.9% 1.4% 0.1% 58.9M -2.95B -13.2M 0.41 3.87 N/A N/A 446,427 180,914 2,154,878 1,515,984 2009-10-26 $28.68 $25.00 24.0% 6.9% 28.1% 4.9% 24.6% 1.5% 0.2% 64.9M -3.35B -13.5M 0.34 2.52 N/A N/A 196,431 66,494 2,257,212 1,568,678 2009-10-27 $28.59 $25.00 23.5% 6.7% 28.1% 4.2% 24.8% 2.3% 1.2% 66.5M -3.26B -14.1M 0.56 3.66 N/A N/A 65,378 36,310 2,311,737 1,565,805 2009-10-28 $28.02 $26.00 26.4% 7.6% 29.5% 8.8% 27.1% 2.7% 0.4% 61.6M -2.90B -14.6M 0.64 2.40 N/A N/A 47,695 30,383 2,332,005 1,585,092 2009-10-29 $28.22 $25.00 24.6% 7.1% 25.9% 5.9% 25.1% 2.7% 0.5% 64.7M -3.05B -14.3M 0.98 3.09 N/A N/A 32,163 31,410 2,340,047 1,588,173 2009-10-30 $27.73 $26.00 27.5% 7.9% 27.3% 10.6% 29.0% 4.1% 0.4% 58.2M -2.58B -15.6M 1.06 3.13 N/A N/A 49,069 51,790 2,343,367 1,599,551
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