MSFT Options History — November 2009 In November 2009, MSFT traded between $27.53 and $30.11. ATM implied volatility averaged 23.1%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.4% (HV 20d: 23.5%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.60.
Notable Days 2009-11-16 : Highest Volume — 1,269,324 contracts2009-11-27 : Largest IV spike — 16.5% change2009-11-03 : Highest IV Rank — 8.9%2009-11-03 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $29.19 $27.53 $30.11 $27.88 $29.41 Max Pain $27.60 $26.00 $28.00 $26.00 $28.00 ATM IV 23.1% 19.6% 26.5% 25.5% 23.4% Expected Move 6.7% 5.6% 7.6% 7.3% 6.7% HV 20d 23.5% 15.9% 27.2% 26.4% 16.2% HV 60d 21.6% 20.6% 22.3% 22.0% 21.0% IV Rank 4.1% 0.0% 8.9% 7.4% 8.4% IV Percentile 7.2% 0.0% 19.4% 15.9% 11.9% Term Structure 0.9% 0.4% 1.6% 1.3% 0.5% VWIV 23.8% 19.9% 27.3% 26.1% 23.5% Skew 25d 2.6% 1.6% 4.0% 4.0% 1.6% Skew 10d 5.3% 3.2% 7.6% 7.0% 3.2% Call IV 25d 22.5% 19.3% 26.0% 24.4% 23.0% Put IV 25d 25.2% 21.0% 28.9% 28.4% 24.6% Bid-Ask Spread % 3.03 2.62 3.68 3.14 3.32 Gamma HHI 0.18 0.12 0.28 0.12 0.19 Net GEX 66.9M 52.2M 87.0M 59.5M 53.1M Net DEX -2.89B -4.02B -2.01B -2.68B -2.03B Net VEX -13.8M -15.1M -13.0M -15.1M -13.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.05 1.73 0.46 0.75 Total Volume 149,676.6 30,361 1,269,324 111,985 74,652 Total OI 3,787,685.7 3,384,812 4,089,398 3,946,161 3,449,590
Daily Data (20 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 2009-11-02 $27.88 $26.00 25.5% 7.3% 26.4% 7.4% 26.1% 4.0% 1.3% 59.5M -2.68B -15.1M 0.46 3.14 N/A N/A 76,769 35,216 2,344,992 1,601,169 2009-11-03 $27.53 $26.00 26.5% 7.6% 26.8% 8.9% 27.3% 3.0% 0.7% 55.0M -2.44B -15.1M 0.59 2.73 N/A N/A 47,395 27,810 2,341,491 1,610,581 2009-11-04 $28.06 $26.00 25.4% 7.3% 27.2% 7.1% 25.6% 3.2% 1.0% 60.9M -2.85B -14.7M 0.41 3.00 N/A N/A 40,807 16,596 2,357,624 1,619,457 2009-11-05 $28.47 $26.00 24.0% 6.9% 26.7% 4.9% 24.2% 3.1% 1.5% 65.2M -3.17B -14.2M 0.47 2.90 N/A N/A 48,219 22,584 2,355,827 1,622,338 2009-11-06 $28.52 $28.00 23.4% 7.1% 26.4% 4.0% 26.5% 3.5% 1.1% 66.9M -3.21B -14.4M 0.32 2.80 N/A N/A 86,152 27,411 2,367,367 1,626,738 2009-11-09 $28.99 $28.00 23.2% 6.8% 26.7% 3.6% 24.0% 3.2% 0.7% 72.9M -3.43B -14.6M 0.22 3.27 N/A N/A 64,774 13,970 2,391,032 1,633,449 2009-11-10 $29.01 $28.00 22.4% 6.8% 26.8% 2.3% 24.3% 3.2% 0.8% 72.2M -3.50B -13.7M 0.68 3.04 N/A N/A 67,315 45,522 2,367,145 1,635,804 2009-11-11 $29.12 $28.00 23.4% 6.8% 26.8% 3.9% 24.4% 3.0% 0.5% 70.3M -3.61B -13.9M 0.45 3.12 N/A N/A 63,401 28,804 2,381,456 1,659,171 2009-11-12 $29.36 $28.00 24.1% 6.9% 25.4% 5.1% 24.5% 3.1% 0.5% 72.8M -3.79B -14.0M 0.69 3.68 N/A N/A 39,710 27,550 2,395,249 1,666,397 2009-11-13 $29.63 $28.00 22.9% 6.6% 25.0% 3.1% 23.6% 2.4% 1.3% 74.8M -4.02B -13.6M 0.33 2.94 N/A N/A 134,808 44,766 2,403,446 1,673,793 2009-11-16 $29.54 $28.00 22.8% 6.5% 24.9% 3.0% 23.8% 2.6% 0.9% 82.2M -3.89B -13.2M 0.05 2.78 N/A N/A 1,211,749 57,575 2,405,029 1,684,369 2009-11-17 $30.00 $28.00 23.1% 6.6% 25.1% 3.4% 23.7% 2.7% 0.4% 87.0M -2.68B -13.0M 0.44 3.13 N/A N/A 110,908 48,404 1,883,501 1,712,682 2009-11-18 $30.11 $28.00 23.0% 6.6% 25.1% 3.3% 23.2% 2.3% 0.5% 86.5M -2.65B -13.9M 0.57 2.91 N/A N/A 49,872 28,293 1,898,191 1,729,799 2009-11-19 $29.78 $28.00 23.5% 6.7% 25.7% 4.1% 23.7% 2.0% 0.4% 82.8M -2.49B -13.7M 0.63 3.03 N/A N/A 59,110 37,345 1,891,737 1,745,001 2009-11-20 $29.62 $28.00 22.3% 6.4% 19.2% 2.2% 22.5% 2.1% 0.8% 55.2M -2.37B -13.4M 0.61 2.62 N/A N/A 54,366 33,064 1,904,831 1,753,533 2009-11-23 $29.94 $28.00 21.0% 6.0% 17.9% 0.1% 21.4% 2.3% 1.5% 54.9M -2.40B -13.2M 0.65 3.33 N/A N/A 35,172 22,947 1,782,982 1,601,830 2009-11-24 $29.91 $28.00 19.6% 5.6% 17.8% 0.0% 20.2% 2.0% 1.6% 56.3M -2.24B -13.5M 1.35 3.35 N/A N/A 30,395 41,064 1,788,405 1,612,240 2009-11-25 $29.79 $28.00 19.8% 5.7% 15.9% 0.4% 19.9% 1.6% 1.6% 56.7M -2.34B -13.0M 1.73 2.87 N/A N/A 39,831 68,845 1,794,533 1,618,308 2009-11-27 $29.22 $28.00 23.1% 6.6% 17.7% 7.5% 23.2% 1.9% 0.8% 52.2M -2.01B -13.4M 0.62 2.69 N/A N/A 18,764 11,597 1,806,390 1,636,237 2009-11-30 $29.41 $28.00 23.4% 6.7% 16.2% 8.4% 23.5% 1.6% 0.5% 53.1M -2.03B -13.2M 0.75 3.32 N/A N/A 42,581 32,071 1,809,758 1,639,832
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