MSFT Options History — December 2009 In December 2009, MSFT traded between $29.57 and $31.39. ATM implied volatility averaged 20.3%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.7% (HV 20d: 15.6%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.57.
Notable Days 2009-12-16 : Highest Volume — 125,576 contracts2009-12-21 : Largest IV drop — 8.5% change2009-12-03 : Highest IV Rank — 7.1%2009-12-08 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $30.27 $29.57 $31.39 $30.01 $30.48 Max Pain $25.41 $25.00 $28.00 $28.00 $25.00 ATM IV 20.3% 18.2% 22.7% 22.7% 19.0% Expected Move 5.9% 5.2% 6.6% 6.5% 5.4% HV 20d 15.6% 13.8% 17.3% 17.3% 15.5% HV 60d 20.9% 19.9% 21.7% 20.9% 20.1% IV Rank 2.9% 0.0% 7.1% 6.6% 1.9% IV Percentile 1.8% 0.0% 6.0% 5.6% 2.8% Term Structure 3.9% 0.4% 6.0% 0.4% 5.8% VWIV 21.4% 18.6% 24.3% 22.9% 18.6% Skew 25d 1.7% -0.1% 2.8% 2.3% 1.8% Skew 10d 5.9% 1.9% 9.0% 4.0% 5.8% Call IV 25d 20.6% 18.8% 22.9% 21.7% 18.8% Put IV 25d 22.4% 19.1% 25.4% 24.0% 20.6% Bid-Ask Spread % 2.15 1.43 2.98 2.43 1.43 Gamma HHI 0.22 0.17 0.33 0.18 0.23 Net GEX 62.6M 54.4M 80.1M 58.8M 56.1M Net DEX -2.52B -3.07B -2.10B -2.46B -2.59B Net VEX -12.6M -13.7M -11.3M -13.2M -11.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.29 1.01 0.69 0.65 Total Volume 70,367.682 16,409 125,576 82,151 67,083 Total OI 3,559,091.591 3,479,498 3,670,271 3,484,272 3,537,693
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 2009-12-01 $30.01 $28.00 22.7% 6.5% 17.3% 6.6% 22.9% 2.3% 0.4% 58.8M -2.46B -13.2M 0.69 2.43 N/A N/A 48,666 33,485 1,827,902 1,656,370 2009-12-02 $29.78 $28.00 21.9% 6.3% 16.8% 5.3% 22.2% 1.6% 1.1% 59.4M -2.33B -13.3M 0.34 2.94 N/A N/A 37,602 12,783 1,834,908 1,665,953 2009-12-03 $29.83 $28.00 22.6% 6.5% 15.8% 7.1% 22.9% 1.5% 0.8% 58.3M -2.24B -13.7M 0.43 2.98 N/A N/A 46,512 20,123 1,844,881 1,668,276 2009-12-04 $29.98 $25.00 21.0% 6.5% 15.3% 3.3% 23.1% 2.2% 3.0% 64.1M -2.51B -13.3M 0.78 1.77 N/A N/A 47,171 36,978 1,863,577 1,670,914 2009-12-07 $29.79 $25.00 21.5% 6.4% 15.6% 4.5% 23.7% 2.8% 2.9% 64.5M -2.25B -13.1M 0.41 2.02 N/A N/A 57,457 23,414 1,860,397 1,681,621 2009-12-08 $29.57 $25.00 21.7% 6.6% 15.0% 5.0% 24.1% 2.5% 2.7% 60.6M -2.10B -13.6M 0.77 2.11 N/A N/A 41,168 31,521 1,892,596 1,689,237 2009-12-09 $29.71 $25.00 21.0% 6.6% 15.1% 3.4% 23.8% 2.4% 2.7% 61.2M -2.19B -13.4M 0.42 2.27 N/A N/A 50,777 21,106 1,879,469 1,703,635 2009-12-10 $29.87 $25.00 22.3% 6.4% 15.1% 6.5% 22.5% 2.0% 3.3% 63.2M -2.43B -13.0M 0.58 2.39 N/A N/A 38,910 22,556 1,893,185 1,708,193 2009-12-11 $29.85 $25.00 21.4% 6.1% 14.9% 4.3% 24.3% 2.8% 3.9% 64.6M -2.27B -13.3M 0.58 1.98 N/A N/A 33,731 19,551 1,897,186 1,720,950 2009-12-14 $30.11 $25.00 20.8% 6.0% 14.9% 2.9% 21.6% 2.2% 4.1% 73.4M -2.48B -12.7M 0.58 2.03 N/A N/A 26,454 15,430 1,905,166 1,718,879 2009-12-15 $30.02 $25.00 21.0% 6.0% 14.9% 3.4% 22.1% 2.5% 3.8% 77.2M -2.43B -12.8M 0.38 2.49 N/A N/A 51,300 19,240 1,909,541 1,719,548 2009-12-16 $30.10 $25.00 20.4% 5.8% 13.8% 2.0% 20.4% 0.9% 4.3% 80.1M -2.62B -12.2M 0.52 1.90 N/A N/A 82,480 43,096 1,910,085 1,722,089 2009-12-17 $29.60 $25.00 20.8% 6.0% 15.0% 3.0% 22.3% 2.5% 4.0% 76.0M -2.17B -12.7M 0.73 1.84 N/A N/A 44,135 32,021 1,920,683 1,749,588 2009-12-18 $30.36 $25.00 20.6% 5.9% 17.1% 2.6% 20.9% 1.8% 3.9% 70.4M -2.67B -12.4M 0.59 2.51 N/A N/A 76,439 45,228 1,912,592 1,754,778 2009-12-21 $30.52 $25.00 18.9% 5.4% 17.0% 0.0% 19.9% 1.3% 5.1% 56.0M -2.57B -12.4M 0.29 2.39 N/A N/A 57,354 16,720 1,811,382 1,668,116 2009-12-22 $30.82 $25.00 18.3% 5.2% 17.0% 0.0% 19.4% 1.2% 5.4% 56.8M -2.74B -12.1M 0.80 2.28 N/A N/A 54,535 43,504 1,823,328 1,661,030 2009-12-23 $30.92 $25.00 18.3% 5.2% 17.0% 0.0% 19.1% 0.9% 5.6% 54.4M -2.78B -12.0M 1.01 2.41 N/A N/A 22,479 22,620 1,828,595 1,678,883 2009-12-24 $31.00 $25.00 18.2% 5.2% 16.8% 0.0% 19.5% 0.9% 5.4% 54.7M -2.79B -12.0M 0.42 1.80 N/A N/A 11,545 4,864 1,832,485 1,687,114 2009-12-28 $31.17 $25.00 18.5% 5.3% 14.8% 0.7% 19.3% 0.9% 5.6% 55.5M -2.92B -11.4M 0.59 1.67 N/A N/A 20,698 12,127 1,834,395 1,684,603 2009-12-29 $31.39 $25.00 18.2% 5.2% 14.9% 0.1% 19.3% -0.1% 5.7% 56.1M -3.07B -11.3M 0.35 1.63 N/A N/A 54,599 19,033 1,833,912 1,690,260 2009-12-30 $30.96 $25.00 18.2% 5.2% 14.6% 0.1% 20.1% 1.3% 6.0% 56.6M -2.81B -11.7M 0.72 2.04 N/A N/A 47,315 34,279 1,850,502 1,695,518 2009-12-31 $30.48 $25.00 19.0% 5.4% 15.5% 1.9% 18.6% 1.8% 5.8% 56.1M -2.59B -11.8M 0.65 1.43 N/A N/A 40,643 26,440 1,839,979 1,697,714
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