MSFT Options History — March 2010 In March 2010, MSFT traded between $28.46 and $30.01. ATM implied volatility averaged 19.5%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.0% (HV 20d: 13.5%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.51.
Notable Days 2010-03-25 : Highest Volume — 156,842 contracts2010-03-11 : Largest IV spike — 16.7% change2010-03-15 : Highest IV Rank — 12.7%2010-03-15 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $29.26 $28.46 $30.01 $29.02 $29.29 Max Pain $28.17 $28.00 $29.00 $29.00 $28.00 ATM IV 19.5% 17.6% 21.8% 19.5% 18.9% Expected Move 5.7% 5.3% 6.2% 5.6% 5.4% HV 20d 13.5% 9.1% 18.3% 16.9% 11.2% HV 60d 19.3% 18.6% 19.8% 19.5% 18.6% IV Rank 5.7% 0.0% 12.7% 4.9% 4.1% IV Percentile 7.9% 0.0% 18.3% 6.0% 6.3% Term Structure 2.9% 0.7% 5.3% 1.2% 5.3% VWIV 20.2% 19.0% 21.6% 19.7% 19.6% Skew 25d 1.6% 0.3% 2.8% 2.8% 0.3% Skew 10d 4.8% 1.9% 7.7% 6.8% 1.9% Call IV 25d 19.8% 18.5% 21.2% 18.7% 19.6% Put IV 25d 21.4% 19.9% 23.0% 21.4% 19.9% Bid-Ask Spread % 2.93 1.74 4.11 3.28 2.20 Gamma HHI 0.21 0.17 0.27 0.17 0.27 Net GEX 72.4M 42.4M 98.3M 51.1M 87.1M Net DEX -1.37B -1.90B -821.3M -1.10B -1.37B Net VEX -14.1M -15.0M -13.2M -13.2M -14.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.15 2.08 0.19 0.39 Total Volume 96,600.217 53,502 156,842 67,179 123,089 Total OI 2,650,770.87 2,404,414 2,826,468 2,404,414 2,826,468
Daily Data (23 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 2010-03-01 $29.02 $29.00 19.5% 5.6% 16.9% 4.9% 19.7% 2.8% 1.2% 51.1M -1.10B -13.2M 0.19 3.28 N/A N/A 56,455 10,724 1,363,508 1,040,906 2010-03-02 $28.46 $29.00 21.6% 6.2% 18.3% 10.5% 21.0% 1.9% 0.7% 44.6M -821.3M -13.3M 0.50 3.89 N/A N/A 67,091 33,358 1,391,123 1,043,496 2010-03-03 $28.46 $29.00 20.1% 5.8% 18.3% 6.6% 20.2% 1.8% 1.6% 42.4M -829.6M -13.3M 0.60 3.80 N/A N/A 48,402 29,285 1,409,874 1,049,505 2010-03-04 $28.63 $29.00 18.4% 5.3% 18.3% 2.1% 19.0% 1.5% 2.1% 50.0M -945.2M -13.6M 0.59 4.08 N/A N/A 49,881 29,442 1,425,420 1,066,012 2010-03-05 $28.59 $28.00 17.7% 5.8% 15.0% 0.3% 20.8% 2.4% 2.2% 48.0M -901.4M -13.4M 2.08 2.92 N/A N/A 26,310 54,601 1,440,902 1,079,393 2010-03-08 $28.63 $28.00 19.1% 5.9% 14.9% 3.8% 20.8% 1.5% 2.2% 52.0M -946.9M -13.4M 0.59 3.65 N/A N/A 44,635 26,320 1,445,070 1,096,252 2010-03-09 $28.80 $28.00 17.9% 5.8% 14.3% 0.8% 20.5% 1.8% 2.2% 54.8M -1.02B -13.5M 0.39 4.11 N/A N/A 81,911 31,645 1,465,910 1,104,266 2010-03-10 $28.97 $28.00 17.6% 5.9% 14.0% 0.0% 20.9% 1.9% 2.3% 66.2M -1.14B -13.6M 0.15 2.88 N/A N/A 115,000 17,547 1,488,695 1,112,438 2010-03-11 $29.18 $28.00 20.5% 5.9% 14.1% 8.9% 21.0% 1.9% 3.0% 76.3M -1.35B -14.2M 0.81 3.29 N/A N/A 46,591 37,747 1,550,190 1,116,566 2010-03-12 $29.27 $28.00 20.5% 5.9% 14.1% 8.8% 20.8% 2.3% 2.9% 71.8M -1.31B -14.3M 0.51 2.40 N/A N/A 46,176 23,352 1,539,235 1,134,293 2010-03-15 $29.29 $28.00 21.8% 6.2% 13.7% 12.7% 21.6% 1.8% 1.8% 80.1M -1.36B -14.0M 0.35 3.04 N/A N/A 69,522 24,185 1,546,264 1,141,632 2010-03-16 $29.37 $28.00 20.3% 5.8% 12.9% 8.1% 20.7% 1.8% 2.4% 85.2M -1.48B -14.1M 0.25 3.21 N/A N/A 102,075 25,066 1,573,219 1,149,218 2010-03-17 $29.63 $28.00 19.8% 5.7% 12.9% 6.5% 20.2% 1.7% 2.5% 98.3M -1.75B -13.9M 0.26 2.97 N/A N/A 119,743 31,306 1,604,262 1,145,401 2010-03-18 $29.61 $28.00 19.5% 5.6% 12.2% 5.8% 20.1% 1.9% 2.3% 98.1M -1.68B -14.5M 0.58 2.36 N/A N/A 44,800 25,951 1,636,400 1,152,043 2010-03-19 $29.59 $28.00 19.8% 5.7% 11.9% 6.8% 20.3% 2.0% 2.1% 75.2M -1.65B -14.5M 0.33 1.74 N/A N/A 62,330 20,610 1,640,800 1,155,707 2010-03-22 $29.60 $28.00 19.1% 5.5% 11.8% 4.4% 19.4% 1.8% 4.3% 73.4M -1.51B -14.3M 0.56 2.31 N/A N/A 41,594 23,380 1,518,450 1,073,458 2010-03-23 $29.88 $28.00 19.3% 5.5% 10.6% 5.0% 20.0% 1.1% 4.0% 80.1M -1.70B -14.0M 0.38 2.23 N/A N/A 99,242 37,658 1,534,357 1,084,854 2010-03-24 $29.65 $28.00 19.8% 5.7% 10.8% 6.5% 20.1% 0.8% 3.9% 81.6M -1.69B -14.7M 0.36 3.49 N/A N/A 81,631 29,533 1,596,273 1,106,537 2010-03-25 $30.01 $28.00 20.1% 5.8% 11.3% 7.6% 20.3% 0.9% 3.8% 87.0M -1.90B -14.8M 0.38 1.93 N/A N/A 113,255 43,587 1,625,753 1,124,912 2010-03-26 $29.66 $28.00 19.8% 5.7% 12.4% 6.5% 20.1% 0.9% 4.2% 83.4M -1.64B -15.0M 0.56 3.61 N/A N/A 70,167 39,118 1,628,963 1,126,130 2010-03-29 $29.59 $28.00 19.0% 5.4% 11.8% 4.2% 19.3% 1.1% 4.7% 89.2M -1.62B -14.9M 0.38 2.16 N/A N/A 46,505 17,483 1,663,819 1,144,771 2010-03-30 $29.77 $28.00 19.2% 5.5% 9.1% 4.9% 19.4% 0.8% 4.3% 88.7M -1.72B -14.9M 0.55 1.89 N/A N/A 34,629 18,873 1,653,315 1,151,670 2010-03-31 $29.29 $28.00 18.9% 5.4% 11.2% 4.1% 19.6% 0.3% 5.3% 87.1M -1.37B -14.3M 0.39 2.20 N/A N/A 88,875 34,214 1,667,107 1,159,361
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