MSFT Options History — August 2010 In August 2010, MSFT traded between $23.47 and $26.33. ATM implied volatility averaged 25.0%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.6% (HV 20d: 19.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2010-08-16 : Highest Volume — 726,098 contracts2010-08-06 : Largest IV drop — 20.2% change2010-08-31 : Highest IV Rank — 68.0%2010-08-31 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $24.71 $23.47 $26.33 $26.33 $23.47 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 25.0% 21.0% 30.6% 22.7% 30.6% Expected Move 7.1% 6.1% 8.0% 6.5% 8.0% HV 20d 19.3% 14.5% 22.6% 21.9% 14.5% HV 60d 27.4% 23.3% 29.9% 29.9% 23.3% IV Rank 44.9% 28.5% 68.0% 35.6% 68.0% IV Percentile 60.0% 24.2% 90.5% 37.3% 90.5% Term Structure 1.7% -0.1% 3.4% 1.3% -0.1% VWIV 25.2% 21.8% 27.6% 23.5% 27.6% Skew 25d 3.7% 2.9% 4.8% 4.0% 3.5% Skew 10d 7.6% 5.4% 11.4% 11.4% 6.4% Call IV 25d 23.9% 20.4% 26.6% 21.0% 26.6% Put IV 25d 27.6% 23.6% 30.1% 25.0% 30.1% Bid-Ask Spread % 3.25 2.01 4.23 2.54 3.41 Gamma HHI 0.11 0.08 0.14 0.14 0.09 Net GEX 30.1M -1.1M 74.8M 74.8M 181.2K Net DEX 286.8M -738.8M 848.4M -738.8M 848.4M Net VEX -12.9M -15.2M -11.3M -15.2M -11.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.05 1.83 0.57 0.45 Total Volume 144,375.864 44,042 726,098 77,919 97,944 Total OI 3,625,124.318 3,390,475 3,831,275 3,561,676 3,558,693
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 2010-08-02 $26.33 $25.00 22.7% 6.5% 21.9% 35.6% 23.5% 4.0% 1.3% 74.8M -738.8M -15.2M 0.57 2.54 N/A N/A 49,690 28,229 2,165,643 1,396,033 2010-08-03 $26.16 $25.00 21.2% 6.1% 21.4% 29.6% 21.8% 3.1% 1.8% 74.7M -591.2M -15.0M 0.45 2.76 N/A N/A 52,242 23,546 2,175,398 1,400,339 2010-08-04 $25.73 $25.00 23.2% 6.6% 21.8% 37.6% 24.2% 4.4% 1.3% 58.4M -287.8M -14.7M 0.53 2.98 N/A N/A 95,685 50,545 2,184,498 1,401,048 2010-08-05 $25.37 $25.00 26.3% 7.1% 22.6% 50.2% 24.1% 4.8% 0.5% 48.0M -38.1M -14.1M 0.55 2.01 N/A N/A 64,047 35,174 2,202,396 1,415,992 2010-08-06 $25.55 $25.00 21.0% 6.9% 22.5% 28.5% 26.2% 3.5% 0.9% 54.7M -168.8M -14.2M 1.19 2.88 N/A N/A 37,738 44,867 2,214,111 1,424,414 2010-08-09 $25.61 $25.00 22.9% 6.7% 21.2% 36.6% 24.6% 3.2% 1.0% 58.8M -224.8M -13.8M 0.54 3.75 N/A N/A 28,572 15,470 2,220,099 1,431,431 2010-08-10 $25.07 $25.00 25.2% 7.1% 22.3% 45.8% 25.1% 4.1% 1.1% 38.9M 177.0M -13.2M 0.80 4.23 N/A N/A 51,334 41,120 2,228,261 1,435,762 2010-08-11 $24.86 $25.00 26.7% 7.5% 22.0% 52.2% 26.8% 4.1% 1.4% 32.7M 263.6M -13.1M 0.49 3.66 N/A N/A 82,379 40,204 2,240,030 1,453,275 2010-08-12 $24.49 $25.00 27.7% 7.9% 22.5% 56.0% 27.0% 4.1% 1.0% 25.2M 451.5M -12.9M 0.20 3.90 N/A N/A 261,151 53,256 2,262,444 1,458,988 2010-08-13 $24.40 $25.00 27.0% 7.7% 20.8% 53.2% 27.1% 3.5% 1.4% 23.5M 517.1M -12.8M 0.88 3.79 N/A N/A 44,879 39,449 2,280,341 1,479,550 2010-08-16 $24.50 $25.00 26.5% 7.6% 20.2% 51.4% 25.9% 3.8% 1.3% 25.0M 455.4M -12.5M 0.05 3.22 N/A N/A 693,510 32,588 2,274,689 1,485,470 2010-08-17 $24.71 $25.00 23.9% 6.8% 20.1% 40.4% 24.5% 3.8% 2.0% 32.7M 356.7M -12.9M 1.06 3.05 N/A N/A 38,118 40,377 2,252,645 1,493,394 2010-08-18 $24.82 $25.00 23.0% 6.6% 19.6% 36.9% 24.0% 3.5% 2.4% 37.2M 241.3M -12.9M 0.09 3.38 N/A N/A 322,447 29,218 2,256,944 1,505,827 2010-08-19 $24.44 $25.00 25.0% 7.2% 17.1% 45.2% 24.5% 3.6% 2.5% 26.8M 520.3M -12.7M 0.69 2.87 N/A N/A 46,574 32,043 2,312,804 1,508,680 2010-08-20 $24.23 $25.00 23.6% 6.8% 17.2% 39.2% 24.0% 3.2% 3.4% 16.4M 594.1M -12.3M 0.79 3.11 N/A N/A 40,382 31,834 2,317,177 1,514,098 2010-08-23 $24.28 $25.00 23.9% 6.8% 16.5% 40.4% 24.0% 4.3% 3.0% 15.7M 518.0M -12.2M 0.66 3.45 N/A N/A 45,922 30,261 2,035,521 1,354,954 2010-08-24 $24.04 $25.00 25.4% 7.3% 16.5% 46.6% 26.9% 4.3% 2.2% 11.4M 586.8M -12.0M 1.83 3.57 N/A N/A 29,715 54,309 2,056,294 1,366,171 2010-08-25 $24.10 $25.00 25.7% 7.4% 16.6% 48.0% 25.8% 3.6% 1.6% 7.8M 599.8M -12.0M 0.48 4.05 N/A N/A 60,574 28,781 2,069,702 1,393,563 2010-08-26 $23.82 $25.00 25.3% 7.3% 16.6% 46.3% 26.6% 2.9% 1.7% 1.7M 705.9M -11.7M 0.41 3.04 N/A N/A 75,684 30,706 2,081,105 1,401,040 2010-08-27 $23.93 $25.00 25.2% 6.9% 16.8% 45.8% 25.3% 3.2% 2.8% -1.1M 706.9M -11.7M 1.37 2.82 N/A N/A 91,307 125,192 2,078,240 1,408,171 2010-08-30 $23.64 $25.00 27.0% 7.1% 14.5% 53.3% 25.7% 3.2% 2.3% -356.1K 816.1M -11.4M 0.87 2.95 N/A N/A 31,638 27,568 2,106,600 1,450,900 2010-08-31 $23.47 $25.00 30.6% 8.0% 14.5% 68.0% 27.6% 3.5% -0.1% 181.2K 848.4M -11.3M 0.45 3.41 N/A N/A 67,772 30,172 2,112,296 1,446,397
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