MSFT Options History — July 2010 In July 2010, MSFT traded between $23.16 and $26.16. ATM implied volatility averaged 28.0%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.5% (HV 20d: 27.5%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.50.
Notable Days 2010-07-28 : Highest Volume — 393,959 contracts2010-07-23 : Largest IV drop — 25.4% change2010-07-01 : Highest IV Rank — 94.6%2010-07-01 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $25.07 $23.16 $26.16 $23.16 $25.81 Max Pain $24.43 $23.00 $27.00 $27.00 $25.00 ATM IV 28.0% 21.6% 37.1% 37.1% 21.6% Expected Move 8.4% 6.2% 10.6% 10.6% 6.2% HV 20d 27.5% 20.7% 30.6% 30.6% 21.3% HV 60d 29.5% 28.1% 30.6% 28.4% 30.1% IV Rank 57.3% 31.2% 94.6% 94.6% 31.2% IV Percentile 72.4% 28.2% 99.2% 99.2% 28.2% Term Structure -0.7% -2.7% 5.3% 1.8% 2.2% VWIV 30.1% 22.5% 35.7% 35.7% 22.5% Skew 25d 5.1% 2.5% 6.8% 5.8% 3.7% Skew 10d 10.9% 6.7% 14.6% 10.4% 10.1% Call IV 25d 27.6% 20.5% 34.2% 34.2% 21.2% Put IV 25d 32.7% 24.5% 40.0% 40.0% 25.0% Bid-Ask Spread % 2.93 2.06 3.78 2.06 3.46 Gamma HHI 0.11 0.10 0.13 0.12 0.13 Net GEX 21.4M -5.5M 65.0M -5.5M 65.0M Net DEX 248.3M -627.7M 1.27B 1.27B -352.1M Net VEX -13.5M -15.4M -11.8M -11.8M -15.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.17 0.95 0.49 0.30 Total Volume 173,942.048 84,287 393,959 210,056 155,710 Total OI 3,471,584.333 2,895,356 3,878,010 3,534,133 3,587,373
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 2010-07-01 $23.16 $27.00 37.1% 10.6% 30.6% 94.6% 35.7% 5.8% 1.8% -5.5M 1.27B -11.8M 0.49 2.06 N/A N/A 140,902 69,154 2,001,569 1,532,564 2010-07-02 $23.27 $27.00 31.9% 9.1% 28.2% 73.3% 33.6% 4.8% 5.3% -3.7M 1.20B -12.0M 0.77 2.64 N/A N/A 69,780 53,423 2,070,101 1,537,215 2010-07-06 $23.82 $23.00 31.2% 9.9% 29.4% 70.5% 35.3% 6.8% -2.6% -1.2M 1.05B -12.2M 0.53 2.65 N/A N/A 127,478 68,123 2,104,394 1,563,064 2010-07-07 $24.30 $23.00 29.6% 9.6% 30.4% 64.0% 34.2% 6.5% -2.1% 4.4M 820.7M -13.0M 0.42 3.20 N/A N/A 91,131 38,356 2,161,209 1,585,515 2010-07-08 $24.41 $24.00 27.8% 9.4% 30.2% 56.3% 33.4% 6.6% -2.2% 7.2M 803.6M -12.9M 0.60 3.10 N/A N/A 52,537 31,750 2,172,339 1,596,931 2010-07-09 $24.27 $24.00 25.9% 9.7% 30.1% 49.0% 33.3% 6.3% -2.3% 6.4M 898.9M -12.7M 0.86 3.32 N/A N/A 65,754 56,676 2,174,813 1,600,903 2010-07-12 $24.83 $24.00 28.9% 9.3% 29.7% 60.9% 33.1% 6.7% -2.5% 14.3M 524.8M -13.5M 0.58 2.84 N/A N/A 86,771 50,220 2,203,359 1,613,235 2010-07-13 $25.13 $24.00 28.0% 9.2% 30.0% 57.3% 32.4% 6.2% -2.4% 14.9M 402.5M -13.5M 0.40 3.05 N/A N/A 84,283 33,406 2,209,734 1,624,741 2010-07-14 $25.44 $24.00 28.2% 9.0% 26.1% 58.1% 32.5% 5.5% -2.3% 20.1M 152.0M -13.9M 0.32 2.85 N/A N/A 120,302 38,016 2,225,224 1,627,179 2010-07-15 $25.51 $24.00 29.4% 8.4% 26.0% 63.1% 31.3% 6.0% -1.4% 17.0M 139.6M -13.9M 0.61 3.59 N/A N/A 88,683 53,781 2,221,715 1,629,294 2010-07-16 $24.89 $24.00 31.5% 9.0% 27.2% 71.7% 31.8% 5.7% -1.8% 11.9M 659.2M -13.6M 0.67 2.78 N/A N/A 88,249 59,278 2,239,879 1,638,131 2010-07-19 $25.23 $24.00 30.3% 8.7% 27.8% 66.6% 31.1% 5.3% -2.2% 17.2M -26.5M -13.3M 0.48 2.65 N/A N/A 74,521 36,131 1,632,500 1,262,856 2010-07-20 $25.48 $24.00 29.5% 8.5% 27.4% 63.4% 30.2% 4.5% -2.3% 20.6M -95.8M -13.5M 0.39 3.20 N/A N/A 91,680 35,725 1,652,246 1,273,569 2010-07-21 $25.12 $24.00 30.8% 8.8% 27.7% 69.0% 30.5% 5.1% -1.7% 17.6M 79.5M -13.2M 0.39 2.99 N/A N/A 114,940 45,106 1,667,168 1,285,358 2010-07-22 $25.84 $24.00 30.3% 8.7% 28.9% 66.6% 30.6% 4.0% -2.7% 28.0M -326.3M -14.0M 0.42 3.78 N/A N/A 239,180 101,226 1,722,034 1,305,036 2010-07-23 $25.81 $24.00 22.6% 6.5% 28.4% 35.1% 23.6% 4.2% 1.1% 31.4M -197.7M -13.8M 0.69 2.70 N/A N/A 160,096 110,302 1,795,717 1,350,984 2010-07-26 $26.10 $25.00 22.2% 6.4% 27.5% 33.4% 24.1% 4.5% 1.0% 38.0M -393.4M -14.1M 0.95 2.80 N/A N/A 66,799 63,165 1,782,759 1,346,920 2010-07-27 $26.16 $25.00 21.9% 6.3% 27.2% 32.5% 23.2% 4.0% 1.6% 38.6M -384.4M -14.0M 0.17 2.75 N/A N/A 140,006 23,626 1,789,291 1,358,437 2010-07-28 $25.95 $25.00 24.4% 7.0% 21.7% 42.5% 24.6% 3.1% 0.1% 43.6M -379.5M -14.5M 0.17 2.47 N/A N/A 338,121 55,838 1,897,117 1,364,534 2010-07-29 $26.03 $25.00 24.7% 7.1% 20.7% 43.9% 25.3% 2.5% 0.9% 63.9M -627.7M -15.4M 0.24 2.69 N/A N/A 187,939 44,619 2,126,078 1,370,186 2010-07-30 $25.81 $25.00 21.6% 6.2% 21.3% 31.2% 22.5% 3.7% 2.2% 65.0M -352.1M -15.0M 0.30 3.46 N/A N/A 119,853 35,857 2,201,129 1,386,244
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