MSFT Options History — October 2010

In October 2010, MSFT traded between $23.91 and $26.66. ATM implied volatility averaged 24.2%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.0% (HV 20d: 20.2%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2010-10-28: Highest Volume — 468,033 contracts
2010-10-14: Largest IV spike — 18.9% change
2010-10-27: Highest IV Rank — 61.2%
2010-10-27: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.18	$23.91	$26.66	$24.38	$26.66
Max Pain	$24.48	$24.00	$25.00	$25.00	$25.00
ATM IV	24.2%	20.7%	28.9%	20.8%	24.5%
Expected Move	7.3%	6.5%	8.3%	6.5%	6.7%
HV 20d	20.2%	15.6%	24.5%	23.6%	20.5%
HV 60d	20.4%	19.4%	21.2%	20.9%	20.4%
IV Rank	41.8%	27.5%	61.2%	27.8%	43.0%
IV Percentile	55.2%	23.8%	87.3%	24.2%	59.1%
Term Structure	-0.5%	-3.1%	4.8%	4.8%	-0.3%
VWIV	25.8%	23.4%	29.3%	23.4%	24.4%
Skew 25d	2.3%	0.6%	4.0%	1.9%	2.2%
Skew 10d	5.3%	2.3%	9.6%	2.7%	3.1%
Call IV 25d	24.6%	22.8%	28.0%	22.9%	22.8%
Put IV 25d	26.9%	24.7%	30.0%	24.7%	25.0%
Bid-Ask Spread %	3.27	2.42	4.14	2.63	3.16
Gamma HHI	0.15	0.12	0.25	0.12	0.12
Net GEX	36.6M	7.1M	64.0M	19.6M	57.4M
Net DEX	-330.0M	-1.45B	669.6M	354.2M	-1.45B
Net VEX	-14.4M	-15.9M	-12.5M	-13.4M	-15.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.30	1.04	0.55	0.45
Total Volume	164,518.762	51,845	468,033	86,576	374,657
Total OI	3,774,568.762	3,199,121	4,186,468	3,845,759	3,759,112

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
2010-10-01	$24.38	$25.00	20.8%	6.5%	23.6%	27.8%	23.4%	1.9%	4.8%	19.6M	354.2M	-13.4M	0.55	2.63	N/A	N/A	55,873	30,703	2,262,714	1,583,045
2010-10-04	$23.91	$25.00	22.2%	7.8%	24.1%	33.4%	28.7%	4.0%	0.2%	7.1M	669.6M	-12.5M	0.65	3.37	N/A	N/A	175,733	114,064	2,279,808	1,582,565
2010-10-05	$24.35	$24.00	24.7%	7.8%	24.5%	43.7%	26.4%	3.9%	-0.4%	20.9M	333.5M	-13.9M	0.40	4.14	N/A	N/A	85,903	34,027	2,383,158	1,630,481
2010-10-06	$24.43	$24.00	23.1%	7.7%	24.5%	37.3%	26.4%	3.5%	-0.4%	23.8M	268.8M	-13.9M	0.58	3.51	N/A	N/A	88,834	51,817	2,401,092	1,637,031
2010-10-07	$24.53	$24.00	22.9%	7.4%	24.5%	36.2%	26.3%	3.4%	-0.3%	30.7M	159.4M	-14.2M	1.04	3.12	N/A	N/A	42,158	43,673	2,443,499	1,667,507
2010-10-08	$24.57	$24.00	20.8%	7.2%	24.3%	27.8%	25.3%	3.3%	0.0%	28.1M	275.4M	-14.0M	1.04	3.46	N/A	N/A	35,594	37,192	2,444,044	1,675,672
2010-10-11	$24.59	$24.00	22.5%	7.2%	15.6%	34.6%	26.2%	3.0%	-0.1%	30.0M	157.1M	-14.0M	0.63	3.03	N/A	N/A	31,765	20,080	2,448,482	1,682,377
2010-10-12	$24.83	$24.00	22.2%	6.9%	16.0%	33.4%	24.9%	3.4%	0.7%	46.3M	72.4M	-13.9M	0.65	3.05	N/A	N/A	60,698	39,685	2,447,908	1,687,873
2010-10-13	$25.34	$24.00	20.7%	6.8%	17.6%	27.5%	23.8%	2.5%	-0.1%	64.0M	-482.2M	-14.2M	0.34	2.94	N/A	N/A	196,381	67,426	2,452,211	1,699,070
2010-10-14	$25.23	$24.00	24.6%	7.1%	17.4%	43.6%	24.6%	3.0%	-0.2%	61.4M	-346.0M	-14.3M	0.68	2.42	N/A	N/A	72,898	49,532	2,455,823	1,714,651
2010-10-15	$25.54	$24.00	24.5%	7.0%	17.8%	42.9%	24.9%	2.4%	-0.3%	34.0M	-613.2M	-14.5M	0.41	3.37	N/A	N/A	107,474	44,276	2,458,664	1,727,804
2010-10-18	$25.82	$24.00	25.3%	7.2%	18.0%	46.2%	25.7%	2.5%	-0.6%	34.0M	-731.3M	-14.6M	0.30	2.95	N/A	N/A	147,630	44,170	1,825,820	1,373,301
2010-10-19	$25.10	$24.00	25.5%	7.3%	20.4%	47.0%	25.7%	1.0%	-1.0%	29.8M	-396.9M	-14.5M	0.81	3.73	N/A	N/A	99,547	80,776	1,919,613	1,389,701
2010-10-20	$25.31	$25.00	24.7%	7.1%	18.9%	44.0%	24.9%	1.2%	-1.3%	32.0M	-482.4M	-14.6M	0.40	4.05	N/A	N/A	42,178	16,908	1,945,929	1,427,511
2010-10-21	$25.42	$25.00	24.9%	7.1%	18.6%	44.5%	24.9%	1.4%	-1.3%	35.4M	-559.6M	-14.6M	0.94	3.28	N/A	N/A	33,840	31,729	1,962,156	1,430,063
2010-10-22	$25.38	$25.00	24.6%	7.1%	18.1%	43.5%	24.4%	1.6%	-1.5%	35.0M	-535.4M	-14.6M	0.46	4.11	N/A	N/A	36,993	17,052	1,973,339	1,443,372
2010-10-25	$25.19	$25.00	25.4%	7.3%	18.4%	46.9%	25.2%	0.6%	-1.9%	32.2M	-434.8M	-14.1M	0.88	3.29	N/A	N/A	101,381	89,203	1,976,546	1,442,675
2010-10-26	$25.90	$25.00	26.7%	7.7%	20.6%	52.2%	27.1%	0.8%	-1.7%	43.5M	-914.4M	-15.2M	0.49	2.82	N/A	N/A	149,790	73,536	2,011,922	1,469,978
2010-10-27	$26.05	$25.00	28.9%	8.3%	20.3%	61.2%	29.3%	1.3%	-3.1%	48.6M	-1.06B	-15.6M	0.51	2.97	N/A	N/A	107,276	54,409	2,060,842	1,483,655
2010-10-28	$26.28	$25.00	28.7%	8.2%	20.4%	60.3%	29.1%	1.6%	-2.6%	53.9M	-1.22B	-15.8M	0.51	3.30	N/A	N/A	309,479	158,554	2,099,569	1,505,361
2010-10-29	$26.66	$25.00	24.5%	6.7%	20.5%	43.0%	24.4%	2.2%	-0.3%	57.4M	-1.45B	-15.9M	0.45	3.16	N/A	N/A	258,653	116,004	2,177,020	1,582,092