MSFT Options History — January 2010

In January 2010, MSFT traded between $28.18 and $31.10. ATM implied volatility averaged 25.9%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.0% (HV 20d: 18.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2010-01-29: Highest Volume — 482,897 contracts
2010-01-11: Largest IV spike — 30.3% change
2010-01-28: Highest IV Rank — 53.8%
2010-01-28: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.15	$28.18	$31.10	$30.95	$28.18
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	25.9%	17.6%	38.1%	18.6%	27.5%
Expected Move	8.1%	6.8%	10.9%	7.0%	7.9%
HV 20d	18.9%	16.3%	24.7%	16.3%	24.7%
HV 60d	19.5%	17.9%	20.3%	20.3%	19.9%
IV Rank	21.0%	0.0%	53.8%	1.0%	25.9%
IV Percentile	33.4%	0.0%	76.6%	2.4%	45.2%
Term Structure	-3.0%	-6.8%	-0.4%	-0.7%	-0.4%
VWIV	28.1%	23.9%	37.0%	24.8%	28.0%
Skew 25d	2.5%	0.8%	4.9%	2.7%	0.8%
Skew 10d	4.9%	1.6%	9.5%	4.9%	1.6%
Call IV 25d	27.1%	23.1%	35.3%	23.5%	27.5%
Put IV 25d	29.6%	25.7%	40.3%	26.2%	28.4%
Bid-Ask Spread %	3.71	2.98	5.21	3.23	5.21
Gamma HHI	0.20	0.11	0.34	0.19	0.12
Net GEX	59.6M	36.0M	87.6M	56.9M	36.0M
Net DEX	-2.08B	-3.39B	-618.3M	-2.84B	-618.3M
Net VEX	-12.2M	-13.4M	-11.2M	-11.4M	-13.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.19	0.76	0.45	0.42
Total Volume	165,399.737	43,375	482,897	54,264	482,897
Total OI	2,963,771.842	1,951,207	3,944,698	3,549,872	2,406,476

Daily Data (19 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
2010-01-04	$30.95	$30.00	18.6%	7.0%	16.3%	1.0%	24.8%	2.7%	-0.7%	56.9M	-2.84B	-11.4M	0.45	3.23	N/A	N/A	37,403	16,861	1,846,621	1,703,251
2010-01-05	$30.96	$30.00	18.0%	6.9%	16.3%	0.0%	24.6%	2.5%	-0.7%	56.5M	-2.89B	-11.2M	0.37	4.11	N/A	N/A	31,706	11,669	1,848,654	1,706,760
2010-01-06	$30.77	$30.00	18.5%	6.8%	16.3%	1.2%	23.9%	2.8%	-0.9%	57.8M	-2.76B	-11.3M	0.36	3.50	N/A	N/A	103,889	37,088	1,851,569	1,712,051
2010-01-07	$30.45	$30.00	21.0%	7.4%	16.5%	7.6%	25.3%	2.5%	-1.6%	71.2M	-2.70B	-12.0M	0.55	3.75	N/A	N/A	80,139	44,249	1,959,771	1,727,181
2010-01-08	$30.66	$30.00	17.6%	7.1%	16.6%	0.0%	25.1%	2.7%	-1.7%	68.0M	-2.82B	-11.5M	0.45	2.98	N/A	N/A	43,704	19,761	1,927,262	1,740,747
2010-01-11	$30.27	$30.00	22.9%	7.6%	17.3%	13.0%	26.2%	2.5%	-2.4%	67.4M	-2.53B	-11.5M	0.43	4.23	N/A	N/A	117,472	50,598	1,935,337	1,743,891
2010-01-12	$30.07	$30.00	21.0%	7.6%	17.5%	8.3%	26.8%	1.9%	-3.1%	80.9M	-2.43B	-11.9M	0.21	3.39	N/A	N/A	169,619	35,970	1,991,166	1,774,327
2010-01-13	$30.35	$30.00	20.9%	7.5%	17.5%	8.1%	25.8%	1.9%	-3.4%	84.3M	-2.76B	-11.9M	0.19	3.14	N/A	N/A	204,632	37,945	2,055,240	1,777,791
2010-01-14	$30.96	$30.00	26.4%	7.6%	18.8%	21.5%	26.5%	1.6%	-3.4%	82.0M	-3.39B	-12.3M	0.35	3.29	N/A	N/A	162,911	56,982	2,130,288	1,783,020
2010-01-15	$30.86	$30.00	25.2%	7.2%	18.8%	18.5%	25.3%	1.9%	-2.4%	87.6M	-3.27B	-12.2M	0.21	4.33	N/A	N/A	132,877	28,144	2,146,100	1,798,598
2010-01-19	$31.10	$30.00	25.3%	7.3%	17.7%	18.8%	25.2%	2.5%	-2.6%	55.3M	-1.77B	-11.9M	0.51	3.82	N/A	N/A	37,418	19,163	1,168,640	782,567
2010-01-20	$30.59	$30.00	26.1%	7.5%	16.7%	20.8%	26.7%	2.5%	-2.8%	51.4M	-1.56B	-12.2M	0.54	3.96	N/A	N/A	79,449	43,183	1,177,440	792,429
2010-01-21	$30.01	$30.00	28.2%	8.1%	18.0%	27.9%	28.2%	2.6%	-2.7%	47.4M	-1.37B	-12.6M	0.76	3.68	N/A	N/A	40,634	30,985	1,210,328	816,811
2010-01-22	$28.96	$30.00	32.6%	9.4%	21.3%	39.5%	32.0%	3.4%	-3.9%	36.4M	-944.0M	-12.7M	0.33	3.46	N/A	N/A	145,800	47,660	1,219,252	829,389
2010-01-25	$29.32	$30.00	34.5%	9.9%	21.9%	44.4%	34.3%	1.0%	-5.2%	45.6M	-1.17B	-13.2M	0.30	4.12	N/A	N/A	107,737	32,671	1,289,936	839,480
2010-01-26	$29.50	$30.00	35.3%	10.1%	22.1%	46.6%	34.9%	3.0%	-5.8%	48.9M	-1.24B	-13.0M	0.49	3.30	N/A	N/A	59,822	29,119	1,313,662	857,624
2010-01-27	$29.67	$30.00	33.9%	9.7%	22.1%	42.8%	33.7%	2.8%	-5.6%	52.6M	-1.32B	-13.3M	0.46	3.37	N/A	N/A	83,155	38,613	1,334,181	864,451
2010-01-28	$29.16	$30.00	38.1%	10.9%	22.4%	53.8%	37.0%	4.9%	-6.8%	46.6M	-1.11B	-13.4M	0.44	3.63	N/A	N/A	307,060	133,610	1,362,325	887,049
2010-01-29	$28.18	$30.00	27.5%	7.9%	24.7%	25.9%	28.0%	0.8%	-0.4%	36.0M	-618.3M	-13.0M	0.42	5.21	N/A	N/A	340,252	142,645	1,462,678	943,798