MSFT Options History — February 2010

In February 2010, MSFT traded between $27.72 and $28.97. ATM implied volatility averaged 22.9%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.2% (HV 20d: 24.1%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.61.

Notable Days

2010-02-12: Highest Volume — 265,971 contracts
2010-02-04: Largest IV spike — 20.0% change
2010-02-04: Highest IV Rank — 24.9%
2010-02-04: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.36	$27.72	$28.97	$28.41	$28.67
Max Pain	$29.00	$29.00	$29.00	$29.00	$29.00
ATM IV	22.9%	18.4%	27.1%	25.3%	18.4%
Expected Move	6.6%	5.3%	7.8%	7.2%	5.3%
HV 20d	24.1%	20.6%	25.9%	24.7%	20.6%
HV 60d	19.8%	19.2%	20.2%	19.7%	19.8%
IV Rank	13.9%	2.0%	24.9%	20.2%	2.0%
IV Percentile	21.2%	2.8%	44.8%	33.7%	2.8%
Term Structure	0.7%	-0.7%	1.7%	-0.4%	1.7%
VWIV	23.5%	19.1%	28.0%	25.6%	19.1%
Skew 25d	2.8%	0.3%	4.4%	0.8%	1.8%
Skew 10d	5.5%	0.5%	8.7%	1.3%	3.5%
Call IV 25d	22.6%	18.5%	27.4%	25.4%	18.5%
Put IV 25d	25.4%	20.3%	29.4%	26.3%	20.3%
Bid-Ask Spread %	3.69	2.89	4.47	3.37	4.25
Gamma HHI	0.16	0.14	0.21	0.16	0.17
Net GEX	40.0M	25.8M	61.1M	45.2M	49.4M
Net DEX	-679.6M	-1.04B	-328.5M	-706.5M	-928.9M
Net VEX	-13.1M	-13.4M	-12.6M	-12.9M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.14	1.29	0.73	0.55
Total Volume	111,986.368	54,492	265,971	192,405	62,777
Total OI	2,575,149.263	2,264,490	2,799,130	2,469,216	2,401,311

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
2010-02-01	$28.41	$29.00	25.3%	7.2%	24.7%	20.2%	25.6%	0.8%	-0.4%	45.2M	-706.5M	-12.9M	0.73	3.37	N/A	N/A	111,088	81,317	1,517,286	951,930
2010-02-02	$28.46	$29.00	22.9%	6.6%	23.8%	13.9%	23.1%	1.1%	0.8%	46.1M	-761.0M	-13.2M	0.77	3.49	N/A	N/A	93,264	71,743	1,567,869	1,000,486
2010-02-03	$28.63	$29.00	22.6%	6.5%	24.0%	13.0%	22.9%	0.3%	0.1%	49.6M	-812.7M	-13.4M	0.40	4.47	N/A	N/A	49,330	19,551	1,563,752	1,016,102
2010-02-04	$27.84	$29.00	27.1%	7.8%	25.5%	24.9%	28.0%	1.9%	-0.7%	30.8M	-415.0M	-13.2M	1.29	3.13	N/A	N/A	87,451	112,679	1,575,397	1,017,117
2010-02-05	$28.02	$29.00	25.3%	7.6%	25.7%	20.1%	27.5%	4.4%	-0.0%	29.9M	-479.6M	-13.1M	0.59	4.14	N/A	N/A	73,020	43,185	1,590,061	1,044,224
2010-02-08	$27.72	$29.00	25.5%	7.5%	25.5%	20.8%	26.1%	4.1%	0.2%	25.8M	-328.5M	-13.1M	0.51	3.43	N/A	N/A	44,362	22,755	1,604,629	1,056,092
2010-02-09	$28.01	$29.00	23.3%	7.1%	25.9%	15.0%	24.9%	4.0%	0.9%	34.2M	-488.1M	-13.3M	0.63	3.10	N/A	N/A	37,418	23,712	1,613,181	1,060,626
2010-02-10	$27.99	$29.00	23.2%	7.3%	25.9%	14.6%	25.5%	4.1%	0.3%	28.6M	-422.4M	-13.1M	0.45	4.02	N/A	N/A	37,591	16,901	1,605,865	1,063,832
2010-02-11	$28.12	$29.00	24.3%	7.0%	25.6%	17.6%	24.0%	4.0%	0.7%	31.2M	-487.0M	-13.1M	0.44	3.07	N/A	N/A	47,876	20,950	1,615,253	1,071,258
2010-02-12	$27.93	$29.00	25.1%	7.2%	24.1%	19.8%	25.2%	3.6%	1.2%	27.6M	-414.6M	-13.0M	0.14	4.28	N/A	N/A	234,161	31,810	1,621,349	1,073,373
2010-02-16	$28.35	$29.00	25.1%	7.2%	25.1%	19.9%	24.8%	3.6%	0.6%	37.0M	-625.8M	-13.1M	0.38	4.22	N/A	N/A	58,488	22,127	1,630,219	1,083,889
2010-02-17	$28.59	$29.00	22.8%	6.5%	25.1%	13.7%	24.1%	3.3%	1.4%	47.2M	-790.6M	-13.1M	0.49	3.39	N/A	N/A	54,135	26,794	1,652,832	1,084,429
2010-02-18	$28.97	$29.00	22.2%	6.4%	25.4%	12.0%	22.4%	2.5%	1.2%	61.1M	-1.04B	-13.2M	1.06	3.35	N/A	N/A	100,960	106,998	1,664,045	1,084,208
2010-02-19	$28.77	$29.00	20.5%	5.9%	24.7%	7.6%	21.4%	2.3%	1.3%	55.6M	-819.8M	-13.4M	0.84	2.89	N/A	N/A	51,455	43,347	1,679,735	1,119,395
2010-02-22	$28.73	$29.00	20.0%	5.7%	21.3%	6.3%	20.3%	2.9%	1.0%	36.9M	-871.5M	-12.9M	0.57	3.77	N/A	N/A	48,564	27,616	1,270,814	993,676
2010-02-23	$28.33	$29.00	22.7%	6.5%	21.3%	13.3%	21.8%	3.0%	0.3%	33.7M	-737.5M	-12.6M	0.30	4.18	N/A	N/A	99,352	29,934	1,295,724	1,001,194
2010-02-24	$28.63	$29.00	19.4%	5.6%	21.6%	4.7%	19.9%	2.7%	1.3%	45.4M	-893.0M	-13.0M	0.84	3.70	N/A	N/A	37,892	31,928	1,345,561	1,011,305
2010-02-25	$28.60	$29.00	19.2%	5.5%	21.4%	4.1%	20.1%	2.8%	1.6%	45.3M	-890.2M	-12.9M	0.63	3.88	N/A	N/A	40,044	25,166	1,354,227	1,025,590
2010-02-26	$28.67	$29.00	18.4%	5.3%	20.6%	2.0%	19.1%	1.8%	1.7%	49.4M	-928.9M	-13.2M	0.55	4.25	N/A	N/A	40,429	22,348	1,368,035	1,033,276