MSFT Options History — April 2010 In April 2010, MSFT traded between $29.16 and $31.39. ATM implied volatility averaged 20.6%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.2% (HV 20d: 13.4%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.55.
Notable Days 2010-04-22 : Highest Volume — 419,340 contracts2010-04-15 : Largest IV spike — 73.1% change2010-04-22 : Highest IV Rank — 37.4%2010-04-22 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $30.52 $29.16 $31.39 $29.16 $30.54 Max Pain $29.43 $28.00 $30.00 $28.00 $30.00 ATM IV 20.6% 14.0% 27.7% 19.1% 19.1% Expected Move 6.6% 5.1% 7.9% 5.5% 5.5% HV 20d 13.4% 11.2% 14.8% 11.3% 13.9% HV 60d 17.1% 14.2% 18.9% 18.6% 14.6% IV Rank 16.3% 0.0% 37.4% 4.4% 21.2% IV Percentile 21.2% 0.0% 69.4% 7.5% 10.3% Term Structure -1.1% -3.4% 6.6% 6.6% 1.9% VWIV 23.1% 17.9% 27.7% 19.5% 19.7% Skew 25d 2.2% 1.3% 2.8% 1.3% 1.9% Skew 10d 4.4% 2.6% 5.9% 2.9% 4.3% Call IV 25d 22.0% 16.8% 26.2% 19.3% 18.6% Put IV 25d 24.2% 19.1% 28.5% 20.6% 20.5% Bid-Ask Spread % 3.24 2.30 4.51 2.30 3.27 Gamma HHI 0.19 0.10 0.29 0.23 0.11 Net GEX 80.2M 52.3M 120.2M 82.0M 52.3M Net DEX -1.96B -2.71B -1.32B -1.32B -1.52B Net VEX -15.6M -16.8M -14.6M -14.8M -16.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.21 0.94 0.51 0.48 Total Volume 153,435.857 58,429 419,340 242,938 96,957 Total OI 2,937,302.714 2,538,717 3,223,896 2,867,611 3,013,626
Daily Data (21 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 2010-04-01 $29.16 $28.00 19.1% 5.5% 11.3% 4.4% 19.5% 1.3% 6.6% 82.0M -1.32B -14.8M 0.51 2.30 N/A N/A 161,241 81,697 1,692,169 1,175,442 2010-04-05 $29.27 $29.00 20.1% 7.4% 11.3% 7.7% 25.6% 2.5% -2.4% 82.7M -1.39B -14.8M 0.69 4.27 N/A N/A 34,565 23,864 1,717,969 1,204,247 2010-04-06 $29.32 $29.00 19.8% 7.4% 11.3% 6.7% 25.7% 2.4% -2.5% 85.1M -1.44B -14.8M 0.34 3.40 N/A N/A 65,178 22,051 1,719,679 1,210,339 2010-04-07 $29.35 $29.00 19.9% 7.4% 11.2% 7.1% 25.8% 2.3% -2.6% 83.2M -1.44B -14.9M 0.65 3.79 N/A N/A 71,158 46,409 1,716,103 1,214,488 2010-04-08 $29.92 $29.00 20.0% 7.3% 12.8% 7.3% 25.7% 2.5% -2.2% 97.7M -1.88B -14.6M 0.52 3.69 N/A N/A 81,264 42,469 1,716,103 1,214,488 2010-04-09 $30.34 $29.00 18.2% 7.2% 13.4% 1.9% 25.3% 2.8% -2.3% 104.4M -2.21B -15.0M 0.46 3.26 N/A N/A 107,625 49,654 1,741,606 1,241,700 2010-04-12 $30.32 $29.00 20.7% 7.3% 13.5% 9.4% 25.4% 2.6% -2.5% 106.6M -2.23B -14.9M 0.62 2.53 N/A N/A 56,678 35,366 1,769,460 1,260,571 2010-04-13 $30.45 $29.00 19.8% 7.0% 13.5% 6.6% 24.3% 2.7% -2.4% 109.5M -2.33B -15.2M 0.94 3.47 N/A N/A 58,343 54,709 1,779,575 1,305,542 2010-04-14 $30.82 $29.00 14.0% 6.6% 14.0% 0.0% 23.8% 2.7% -2.3% 115.2M -2.60B -15.2M 0.21 2.60 N/A N/A 282,082 59,191 1,784,546 1,335,811 2010-04-15 $30.87 $29.00 24.3% 7.0% 13.7% 28.0% 24.8% 2.5% -3.1% 120.2M -2.71B -15.8M 0.45 2.96 N/A N/A 84,502 38,162 1,839,458 1,347,221 2010-04-16 $30.67 $29.00 24.1% 6.9% 14.1% 27.5% 25.2% 2.7% -2.8% 89.3M -2.55B -15.8M 0.59 2.88 N/A N/A 84,842 49,737 1,863,357 1,360,539 2010-04-19 $31.04 $30.00 24.0% 6.9% 14.5% 27.1% 24.0% 2.4% -2.3% 54.2M -1.88B -15.6M 0.39 2.69 N/A N/A 143,077 56,452 1,430,474 1,108,243 2010-04-20 $31.36 $30.00 23.4% 6.7% 14.7% 25.6% 23.4% 1.3% -2.1% 62.7M -2.11B -15.6M 0.61 2.89 N/A N/A 80,542 49,484 1,503,500 1,140,686 2010-04-21 $31.33 $30.00 23.7% 6.8% 14.6% 26.4% 23.7% 1.3% -2.6% 62.7M -2.11B -15.8M 0.45 2.63 N/A N/A 82,165 37,067 1,526,554 1,169,030 2010-04-22 $31.39 $30.00 27.7% 7.9% 14.1% 37.4% 27.7% 2.2% -3.4% 61.2M -2.15B -16.2M 0.64 3.68 N/A N/A 255,033 164,307 1,575,211 1,189,067 2010-04-23 $30.96 $30.00 19.2% 5.5% 14.8% 14.1% 19.4% 1.6% 0.7% 64.5M -1.91B -16.0M 0.63 3.32 N/A N/A 171,249 108,101 1,649,487 1,267,818 2010-04-26 $31.11 $30.00 19.5% 5.6% 14.0% 22.8% 19.8% 1.8% 0.3% 68.2M -1.95B -16.5M 0.58 3.04 N/A N/A 55,639 32,391 1,672,959 1,279,696 2010-04-27 $30.84 $30.00 20.4% 5.9% 14.4% 26.7% 20.9% 1.9% 0.4% 59.3M -1.75B -16.8M 0.81 4.51 N/A N/A 63,355 51,284 1,668,124 1,293,300 2010-04-28 $30.91 $30.00 18.3% 5.3% 14.4% 17.9% 18.5% 2.3% 1.5% 58.8M -1.75B -16.7M 0.25 3.45 N/A N/A 78,877 19,782 1,673,868 1,316,396 2010-04-29 $31.00 $30.00 17.8% 5.1% 12.7% 15.8% 17.9% 2.3% 1.6% 65.4M -1.89B -16.0M 0.72 3.50 N/A N/A 49,655 35,949 1,676,280 1,318,625 2010-04-30 $30.54 $30.00 19.1% 5.5% 13.9% 21.2% 19.7% 1.9% 1.9% 52.3M -1.52B -16.7M 0.48 3.27 N/A N/A 65,731 31,226 1,682,720 1,330,906
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