MSFT Options History — May 2010

In May 2010, MSFT traded between $25.01 and $30.86. ATM implied volatility averaged 28.7%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.4% (HV 20d: 23.4%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.85.

Notable Days

2010-05-26: Highest Volume — 435,208 contracts
2010-05-07: Largest IV spike — 32.6% change
2010-05-20: Highest IV Rank — 100.0%
2010-05-20: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.12	$25.01	$30.86	$30.86	$25.80
Max Pain	$29.45	$27.00	$30.00	$30.00	$27.00
ATM IV	28.7%	18.0%	38.4%	18.0%	28.6%
Expected Move	8.2%	5.2%	11.0%	5.2%	8.2%
HV 20d	23.4%	14.2%	32.7%	14.2%	32.6%
HV 60d	17.8%	13.4%	22.5%	13.4%	22.5%
IV Rank	60.8%	16.6%	100.0%	16.6%	59.8%
IV Percentile	71.5%	2.8%	100.0%	2.8%	79.8%
Term Structure	0.1%	-2.6%	1.7%	1.7%	1.1%
VWIV	29.1%	19.2%	40.0%	19.2%	29.5%
Skew 25d	6.3%	1.9%	13.1%	1.9%	6.2%
Skew 10d	12.4%	4.4%	23.8%	5.7%	11.7%
Call IV 25d	26.4%	17.4%	33.4%	17.4%	27.4%
Put IV 25d	32.7%	19.4%	46.5%	19.4%	33.6%
Bid-Ask Spread %	4.07	2.71	5.86	2.71	4.63
Gamma HHI	0.10	0.08	0.13	0.13	0.11
Net GEX	17.6M	-9.6M	63.3M	63.3M	1.5M
Net DEX	-196.1M	-1.79B	847.2M	-1.79B	557.5M
Net VEX	-16.0M	-17.3M	-13.3M	-15.9M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.34	2.27	0.67	0.35
Total Volume	155,260.4	59,624	435,208	59,624	140,822
Total OI	3,179,422.95	2,936,451	3,418,767	3,061,400	3,146,242

Daily Data (20 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
2010-05-03	$30.86	$30.00	18.0%	5.2%	14.2%	16.6%	19.2%	1.9%	1.7%	63.3M	-1.79B	-15.9M	0.67	2.71	N/A	N/A	35,767	23,857	1,714,735	1,346,665
2010-05-04	$30.13	$30.00	23.6%	6.8%	17.1%	39.8%	23.6%	2.4%	0.4%	43.5M	-1.21B	-17.2M	0.59	3.90	N/A	N/A	76,832	45,024	1,720,880	1,346,660
2010-05-05	$29.85	$30.00	23.2%	6.6%	17.5%	38.1%	23.6%	2.1%	0.7%	40.0M	-1.04B	-17.3M	0.77	3.29	N/A	N/A	41,848	32,333	1,735,521	1,354,836
2010-05-06	$28.98	$30.00	27.5%	7.9%	19.2%	55.8%	28.0%	2.5%	-2.1%	27.2M	-487.8M	-17.0M	1.32	5.86	N/A	N/A	75,302	99,439	1,750,389	1,358,326
2010-05-07	$28.21	$30.00	36.4%	10.1%	20.3%	93.0%	33.5%	8.1%	-0.9%	16.2M	-93.7M	-17.2M	1.05	4.27	N/A	N/A	138,152	145,092	1,760,072	1,395,259
2010-05-10	$28.94	$30.00	29.6%	7.9%	22.8%	64.6%	26.6%	6.7%	0.1%	22.2M	-394.9M	-16.7M	0.49	4.46	N/A	N/A	44,714	21,823	1,760,072	1,395,259
2010-05-11	$28.88	$30.00	26.1%	7.2%	22.6%	50.4%	26.0%	4.8%	0.7%	23.5M	-336.3M	-16.9M	0.99	4.09	N/A	N/A	70,811	70,420	1,802,534	1,418,288
2010-05-12	$29.44	$30.00	24.7%	6.8%	23.4%	44.3%	23.5%	4.9%	0.7%	29.7M	-677.3M	-16.6M	0.50	5.23	N/A	N/A	76,323	38,102	1,806,412	1,448,542
2010-05-13	$29.24	$30.00	24.0%	6.9%	23.4%	41.4%	27.5%	4.8%	1.1%	28.8M	-639.2M	-16.8M	2.27	3.85	N/A	N/A	23,235	52,763	1,842,219	1,434,161
2010-05-14	$28.93	$30.00	26.4%	7.6%	23.5%	51.4%	26.6%	6.0%	0.9%	17.6M	-387.9M	-16.8M	0.89	4.39	N/A	N/A	43,089	38,136	1,839,439	1,444,289
2010-05-17	$28.94	$30.00	26.2%	7.5%	22.9%	50.6%	26.6%	5.8%	1.3%	14.9M	-391.2M	-16.5M	0.34	3.73	N/A	N/A	108,431	36,496	1,843,433	1,437,554
2010-05-18	$28.60	$30.00	26.4%	7.6%	22.5%	51.3%	27.3%	5.5%	0.6%	11.8M	-247.7M	-16.5M	1.07	4.04	N/A	N/A	46,188	49,524	1,838,562	1,440,731
2010-05-19	$28.24	$30.00	29.7%	8.5%	22.6%	65.1%	29.7%	6.9%	0.2%	8.7M	-48.3M	-16.2M	1.04	4.75	N/A	N/A	38,499	40,110	1,853,356	1,451,045
2010-05-20	$27.11	$30.00	38.4%	11.0%	25.7%	100.0%	40.0%	13.1%	-2.6%	5.6M	434.4M	-15.9M	1.74	3.87	N/A	N/A	81,827	142,165	1,869,163	1,459,137
2010-05-21	$26.84	$29.00	35.6%	10.2%	25.6%	88.5%	39.2%	12.6%	-1.1%	-9.6M	641.2M	-15.9M	0.92	4.72	N/A	N/A	101,923	93,381	1,889,731	1,529,036
2010-05-24	$26.27	$29.00	34.0%	9.7%	25.7%	81.8%	34.4%	9.4%	-0.4%	4.1M	384.4M	-14.8M	0.61	2.75	N/A	N/A	81,625	49,565	1,595,241	1,341,210
2010-05-25	$26.07	$29.00	32.3%	9.3%	25.7%	75.1%	33.3%	8.4%	0.8%	3.0M	479.8M	-14.5M	0.61	3.31	N/A	N/A	164,842	100,060	1,620,221	1,364,795
2010-05-26	$25.01	$28.00	35.7%	10.2%	27.9%	88.8%	35.1%	7.4%	-1.5%	-3.8M	847.2M	-13.3M	0.46	3.51	N/A	N/A	297,972	137,236	1,665,528	1,411,063
2010-05-27	$26.00	$27.00	28.6%	8.2%	32.7%	59.8%	29.2%	6.0%	1.2%	3.3M	475.0M	-14.7M	0.36	4.03	N/A	N/A	148,530	52,950	1,707,909	1,449,944
2010-05-28	$25.80	$27.00	28.6%	8.2%	32.6%	59.8%	29.5%	6.2%	1.1%	1.5M	557.5M	-14.1M	0.35	4.63	N/A	N/A	104,388	36,434	1,693,348	1,452,894