MSFT Options History — September 2010

In September 2010, MSFT traded between $23.85 and $25.43. ATM implied volatility averaged 22.7%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.4% (HV 20d: 21.3%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.55.

Notable Days

2010-09-13: Highest Volume — 276,679 contracts
2010-09-30: Largest IV spike — 26.5% change
2010-09-13: Highest IV Rank — 46.3%
2010-09-08: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.59	$23.85	$25.43	$23.90	$24.49
Max Pain	$25.05	$24.00	$26.00	$24.00	$25.00
ATM IV	22.7%	18.0%	25.3%	25.2%	22.8%
Expected Move	6.7%	6.2%	7.3%	6.5%	6.6%
HV 20d	21.3%	14.8%	24.8%	16.1%	23.5%
HV 60d	22.7%	20.9%	23.9%	23.6%	20.9%
IV Rank	35.6%	16.5%	46.3%	45.9%	36.1%
IV Percentile	41.0%	3.2%	67.9%	64.3%	41.7%
Term Structure	3.5%	1.7%	4.8%	2.8%	4.5%
VWIV	23.6%	22.2%	26.0%	23.4%	23.0%
Skew 25d	2.7%	1.3%	3.8%	3.0%	2.1%
Skew 10d	5.4%	2.3%	8.6%	5.1%	4.1%
Call IV 25d	23.1%	21.7%	24.9%	22.5%	23.1%
Put IV 25d	25.7%	24.0%	28.1%	25.5%	25.2%
Bid-Ask Spread %	2.46	1.99	3.22	3.22	2.20
Gamma HHI	0.12	0.09	0.16	0.09	0.13
Net GEX	24.8M	-2.4M	48.2M	5.7M	22.7M
Net DEX	253.7M	-261.1M	707.3M	666.3M	323.7M
Net VEX	-12.4M	-13.3M	-10.9M	-11.4M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.18	1.01	0.77	0.94
Total Volume	131,911.095	56,368	276,679	136,841	83,564
Total OI	3,745,159.571	3,498,855	3,992,052	3,606,961	3,813,209

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
2010-09-01	$23.90	$24.00	25.2%	6.5%	16.1%	45.9%	23.4%	3.0%	2.8%	5.7M	666.3M	-11.4M	0.77	3.22	N/A	N/A	77,203	59,638	2,151,626	1,455,335
2010-09-02	$23.94	$24.00	21.5%	6.2%	15.8%	30.8%	22.3%	2.1%	3.4%	6.7M	641.2M	-11.7M	0.18	3.15	N/A	N/A	88,323	16,254	2,187,357	1,483,752
2010-09-03	$24.29	$26.00	19.9%	7.0%	16.6%	23.9%	23.9%	3.8%	3.2%	12.1M	468.2M	-11.8M	0.90	2.14	N/A	N/A	45,890	41,098	2,238,424	1,489,182
2010-09-07	$23.96	$26.00	23.2%	7.1%	16.9%	37.7%	24.9%	3.3%	3.0%	3.3M	681.3M	-11.4M	1.01	2.85	N/A	N/A	31,588	32,028	2,216,052	1,490,904
2010-09-08	$23.93	$26.00	22.6%	7.3%	15.5%	35.3%	25.6%	3.4%	2.4%	3.7M	652.8M	-11.2M	0.57	2.43	N/A	N/A	58,993	33,834	2,229,490	1,494,245
2010-09-09	$24.01	$25.00	24.8%	7.1%	15.5%	44.4%	25.0%	3.5%	2.4%	10.6M	560.5M	-11.3M	0.51	2.67	N/A	N/A	37,423	18,945	2,245,697	1,490,434
2010-09-10	$23.85	$25.00	24.3%	7.0%	14.8%	42.0%	24.3%	3.5%	2.7%	-2.4M	707.3M	-10.9M	0.56	2.75	N/A	N/A	75,978	42,615	2,257,236	1,493,247
2010-09-13	$25.11	$25.00	25.3%	7.3%	23.8%	46.3%	26.0%	2.9%	1.7%	39.9M	-84.4M	-12.6M	0.41	2.54	N/A	N/A	196,593	80,086	2,295,057	1,515,288
2010-09-14	$25.03	$25.00	22.8%	6.5%	23.9%	36.1%	23.7%	2.5%	3.1%	48.2M	-86.0M	-12.8M	0.65	2.58	N/A	N/A	116,888	76,357	2,377,595	1,534,858
2010-09-15	$25.11	$25.00	23.6%	6.8%	23.7%	39.3%	24.2%	2.9%	2.8%	43.2M	-87.2M	-13.1M	0.68	2.53	N/A	N/A	92,535	63,099	2,369,695	1,562,524
2010-09-16	$25.33	$25.00	22.5%	6.4%	23.9%	34.7%	22.6%	3.1%	3.7%	46.4M	-261.1M	-13.2M	0.31	2.31	N/A	N/A	138,076	42,656	2,405,081	1,586,971
2010-09-17	$25.22	$25.00	22.2%	6.4%	23.2%	33.4%	22.2%	2.3%	3.8%	48.1M	-250.7M	-13.0M	0.44	2.49	N/A	N/A	92,271	40,631	2,377,813	1,592,760
2010-09-20	$25.43	$25.00	22.1%	6.3%	23.0%	33.3%	22.3%	2.3%	4.7%	40.1M	-205.6M	-13.1M	0.30	2.32	N/A	N/A	94,316	28,145	2,026,798	1,472,057
2010-09-21	$25.15	$25.00	22.4%	6.4%	23.5%	34.4%	22.5%	2.1%	4.8%	35.7M	-60.9M	-13.0M	0.46	2.05	N/A	N/A	90,521	41,920	2,068,978	1,482,567
2010-09-22	$24.61	$25.00	22.3%	6.4%	24.6%	34.0%	23.3%	3.2%	4.4%	23.1M	313.9M	-12.5M	0.61	1.99	N/A	N/A	126,763	76,970	2,116,642	1,498,126
2010-09-23	$24.43	$25.00	23.4%	6.7%	24.8%	38.3%	22.6%	2.5%	4.4%	13.9M	544.2M	-12.1M	0.24	2.12	N/A	N/A	153,797	37,152	2,108,394	1,532,869
2010-09-24	$24.77	$25.00	21.3%	6.2%	24.7%	30.1%	22.4%	2.4%	4.4%	30.5M	182.9M	-13.0M	0.22	2.14	N/A	N/A	102,112	22,033	2,171,226	1,546,313
2010-09-27	$24.73	$25.00	24.6%	6.7%	24.7%	43.4%	24.0%	1.3%	3.5%	31.5M	150.3M	-13.2M	0.54	2.63	N/A	N/A	76,545	41,309	2,195,400	1,538,154
2010-09-28	$24.68	$25.00	21.8%	6.5%	24.2%	31.8%	23.3%	2.1%	3.4%	31.8M	176.3M	-13.0M	0.41	2.27	N/A	N/A	83,503	34,497	2,205,590	1,542,227
2010-09-29	$24.50	$25.00	18.0%	6.9%	24.2%	16.5%	23.8%	1.7%	4.1%	25.7M	294.3M	-13.3M	0.73	2.22	N/A	N/A	44,981	33,003	2,232,696	1,556,482
2010-09-30	$24.49	$25.00	22.8%	6.6%	23.5%	36.1%	23.0%	2.1%	4.5%	22.7M	323.7M	-13.2M	0.94	2.20	N/A	N/A	43,027	40,537	2,246,797	1,566,412