MSFT Options History — June 2010

In June 2010, MSFT traded between $23.01 and $26.86. ATM implied volatility averaged 28.9%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 5.1% (HV 20d: 34.1%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2010-06-11: Highest Volume — 237,610 contracts
2010-06-04: Largest IV spike — 19.5% change
2010-06-30: Highest IV Rank — 90.4%
2010-06-30: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.42	$23.01	$26.86	$25.89	$23.01
Max Pain	$27.68	$26.00	$28.00	$27.00	$27.00
ATM IV	28.9%	23.9%	36.0%	32.4%	36.0%
Expected Move	8.3%	6.8%	10.3%	9.3%	10.3%
HV 20d	34.1%	29.8%	38.2%	32.2%	31.3%
HV 60d	25.9%	22.5%	28.4%	22.5%	28.4%
IV Rank	61.1%	40.5%	90.4%	75.4%	90.4%
IV Percentile	76.2%	48.0%	98.8%	93.3%	98.8%
Term Structure	1.9%	-1.3%	4.5%	-0.1%	0.9%
VWIV	29.2%	24.6%	35.4%	33.4%	35.0%
Skew 25d	5.2%	3.0%	8.0%	6.5%	6.7%
Skew 10d	11.2%	6.4%	16.4%	12.1%	13.3%
Call IV 25d	27.5%	22.3%	33.2%	31.3%	33.2%
Put IV 25d	32.7%	26.4%	39.8%	37.8%	39.8%
Bid-Ask Spread %	2.58	1.89	4.63	4.63	2.13
Gamma HHI	0.11	0.10	0.14	0.11	0.12
Net GEX	3.5M	-11.6M	21.1M	5.1M	-8.5M
Net DEX	628.8M	14.9M	1.37B	497.8M	1.37B
Net VEX	-13.6M	-15.1M	-11.3M	-14.6M	-11.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.24	1.66	0.71	0.47
Total Volume	121,267.091	57,510	237,610	79,181	161,583
Total OI	3,375,049.909	3,200,499	3,590,438	3,200,499	3,452,980

Daily Data (22 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
2010-06-01	$25.89	$27.00	32.4%	9.3%	32.2%	75.4%	33.4%	6.5%	-0.1%	5.1M	497.8M	-14.6M	0.71	4.63	N/A	N/A	46,386	32,795	1,737,622	1,462,877
2010-06-02	$26.46	$27.00	28.8%	8.3%	33.4%	60.9%	29.4%	4.2%	1.6%	11.0M	276.8M	-14.6M	0.46	3.20	N/A	N/A	64,223	29,801	1,746,323	1,468,482
2010-06-03	$26.86	$26.00	26.6%	7.6%	34.2%	51.4%	28.0%	4.1%	1.7%	16.6M	44.4M	-15.1M	0.43	2.57	N/A	N/A	84,534	36,545	1,771,321	1,486,609
2010-06-04	$25.79	$28.00	31.7%	9.4%	35.4%	72.7%	33.5%	6.8%	-0.4%	6.3M	476.3M	-14.7M	0.82	3.09	N/A	N/A	50,779	41,770	1,800,846	1,483,005
2010-06-07	$25.29	$28.00	35.9%	10.1%	35.0%	90.0%	35.4%	7.1%	-1.3%	1.3M	702.4M	-14.0M	0.76	3.12	N/A	N/A	54,670	41,525	1,810,792	1,488,470
2010-06-08	$25.11	$28.00	34.6%	10.0%	33.0%	84.5%	34.7%	7.2%	-0.8%	-2.0M	808.6M	-13.5M	0.44	2.75	N/A	N/A	111,760	49,152	1,807,126	1,494,338
2010-06-09	$24.79	$28.00	34.0%	9.6%	33.0%	81.9%	33.3%	7.2%	-0.8%	-2.3M	932.6M	-12.9M	0.86	2.44	N/A	N/A	71,292	61,345	1,845,291	1,499,690
2010-06-10	$25.00	$28.00	31.0%	8.9%	32.0%	69.8%	30.1%	5.8%	0.3%	-5.9M	914.3M	-13.0M	0.24	2.78	N/A	N/A	104,492	24,701	1,852,057	1,544,163
2010-06-11	$25.66	$28.00	26.8%	7.7%	34.3%	52.4%	27.5%	5.4%	2.2%	4.4M	607.4M	-13.8M	0.93	2.55	N/A	N/A	123,394	114,216	1,875,781	1,528,814
2010-06-14	$25.50	$28.00	28.6%	8.2%	34.2%	59.8%	27.9%	5.2%	0.9%	2.7M	657.4M	-13.9M	1.18	2.12	N/A	N/A	56,464	66,822	1,944,130	1,576,657
2010-06-15	$26.58	$28.00	25.0%	7.2%	38.2%	45.0%	25.5%	3.0%	2.4%	20.6M	14.9M	-15.0M	0.45	1.96	N/A	N/A	97,199	43,730	1,958,146	1,606,536
2010-06-16	$26.32	$28.00	26.2%	7.5%	38.1%	50.1%	25.8%	3.2%	2.1%	19.2M	178.4M	-14.8M	0.64	2.27	N/A	N/A	44,578	28,422	1,986,878	1,596,419
2010-06-17	$26.37	$28.00	24.8%	7.1%	38.0%	44.1%	26.8%	4.3%	2.6%	21.1M	224.3M	-14.5M	1.38	2.00	N/A	N/A	43,006	59,149	1,976,891	1,577,913
2010-06-18	$26.44	$28.00	23.9%	6.8%	35.4%	40.5%	24.6%	4.2%	2.7%	15.1M	183.8M	-14.0M	1.66	1.89	N/A	N/A	48,548	80,782	1,988,439	1,601,999
2010-06-21	$25.95	$28.00	24.5%	7.0%	35.8%	42.8%	24.6%	3.8%	3.0%	6.1M	442.0M	-13.8M	0.33	2.54	N/A	N/A	71,365	23,857	1,778,051	1,474,358
2010-06-22	$25.77	$28.00	25.1%	7.2%	35.1%	45.5%	25.6%	4.0%	3.3%	6.5M	472.6M	-13.7M	0.69	1.95	N/A	N/A	34,120	23,390	1,809,769	1,459,929
2010-06-23	$25.31	$28.00	26.0%	7.5%	35.6%	49.2%	26.5%	5.0%	4.2%	-2.0M	717.7M	-13.2M	0.64	2.65	N/A	N/A	51,232	32,630	1,808,016	1,466,255
2010-06-24	$25.00	$28.00	26.8%	7.7%	32.6%	52.3%	27.0%	4.0%	4.5%	-5.9M	830.9M	-13.0M	1.43	2.18	N/A	N/A	58,748	84,217	1,823,471	1,481,092
2010-06-25	$24.53	$28.00	26.9%	7.7%	29.8%	52.9%	27.8%	4.1%	4.3%	-11.6M	1.06B	-12.8M	0.67	3.51	N/A	N/A	85,035	56,767	1,844,759	1,529,321
2010-06-28	$24.31	$27.00	28.3%	8.1%	29.9%	58.5%	27.6%	5.1%	3.9%	-10.2M	1.10B	-12.1M	0.34	2.29	N/A	N/A	80,634	27,010	1,880,423	1,515,238
2010-06-29	$23.31	$27.00	32.1%	9.2%	32.8%	74.4%	33.5%	8.0%	4.5%	-9.6M	1.32B	-11.5M	0.57	2.18	N/A	N/A	105,297	59,911	1,908,131	1,501,690
2010-06-30	$23.01	$27.00	36.0%	10.3%	31.3%	90.4%	35.0%	6.7%	0.9%	-8.5M	1.37B	-11.3M	0.47	2.13	N/A	N/A	110,159	51,424	1,944,659	1,508,321