MSFT Options History — November 2010 In November 2010, MSFT traded between $25.12 and $27.39. ATM implied volatility averaged 22.4%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.6% (HV 20d: 18.8%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2010-11-15 : Highest Volume — 1,961,707 contracts2010-11-03 : Largest IV drop — 20.2% change2010-11-02 : Highest IV Rank — 51.5%2010-11-30 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $26.20 $25.12 $27.39 $26.95 $25.26 Max Pain $25.81 $25.00 $26.00 $25.00 $26.00 ATM IV 22.4% 19.3% 26.6% 26.0% 24.8% Expected Move 6.4% 5.6% 7.0% 6.6% 7.0% HV 20d 18.8% 15.9% 20.5% 18.6% 15.9% HV 60d 20.4% 20.1% 20.9% 20.5% 20.4% IV Rank 34.3% 21.5% 51.5% 49.3% 44.2% IV Percentile 40.1% 13.1% 77.8% 73.0% 63.5% Term Structure 0.6% -0.5% 1.9% -0.1% -0.5% VWIV 22.9% 20.0% 24.8% 24.8% 23.8% Skew 25d 2.4% 1.3% 3.5% 2.5% 3.1% Skew 10d 5.0% 2.4% 7.9% 6.1% 5.7% Call IV 25d 21.9% 19.0% 23.9% 22.3% 23.4% Put IV 25d 24.3% 22.3% 26.6% 24.9% 26.4% Bid-Ask Spread % 3.23 1.45 4.43 3.20 2.91 Gamma HHI 0.13 0.12 0.16 0.12 0.12 Net GEX 49.2M 25.6M 70.6M 66.2M 25.6M Net DEX -874.3M -1.82B -159.3M -1.56B -192.7M Net VEX -14.8M -16.2M -13.2M -15.9M -13.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.03 1.43 0.48 0.63 Total Volume 195,065.619 26,967 1,961,707 154,213 75,733 Total OI 3,705,984.762 3,430,261 3,868,377 3,668,440 3,561,952
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 2010-11-01 $26.95 $25.00 26.0% 6.6% 18.6% 49.3% 24.8% 2.5% -0.1% 66.2M -1.56B -15.9M 0.48 3.20 N/A N/A 104,064 50,149 2,122,339 1,546,101 2010-11-02 $27.39 $25.00 26.6% 6.5% 18.4% 51.5% 23.6% 3.5% 0.2% 68.7M -1.82B -16.2M 0.50 2.80 N/A N/A 102,334 51,095 2,112,985 1,553,336 2010-11-03 $27.03 $25.00 21.2% 6.2% 19.6% 29.5% 22.6% 2.5% 0.9% 70.6M -1.64B -15.9M 1.18 2.49 N/A N/A 54,763 64,634 2,139,945 1,578,410 2010-11-04 $27.14 $25.00 22.1% 6.1% 19.6% 33.1% 21.9% 2.4% 1.2% 66.8M -1.60B -16.1M 0.55 3.42 N/A N/A 74,719 41,330 2,140,589 1,606,907 2010-11-05 $26.85 $26.00 21.0% 6.8% 20.4% 28.6% 23.8% 2.0% -0.1% 58.4M -1.42B -15.7M 0.55 4.10 N/A N/A 110,659 61,353 2,157,262 1,623,906 2010-11-08 $26.81 $26.00 22.4% 6.4% 20.4% 34.5% 23.4% 2.1% 0.5% 55.4M -1.26B -15.7M 0.72 4.08 N/A N/A 49,439 35,401 2,172,273 1,646,142 2010-11-09 $26.95 $26.00 22.5% 6.5% 20.3% 34.8% 23.6% 1.9% 0.4% 58.9M -1.39B -15.6M 0.65 4.43 N/A N/A 59,706 38,900 2,181,079 1,659,900 2010-11-10 $26.94 $26.00 19.3% 6.4% 19.4% 21.5% 22.4% 1.9% 0.5% 66.6M -1.54B -15.4M 0.41 3.23 N/A N/A 38,253 15,825 2,195,959 1,655,838 2010-11-11 $26.68 $26.00 23.1% 6.6% 19.8% 37.1% 23.5% 1.9% 1.1% 59.7M -1.22B -15.7M 0.88 4.37 N/A N/A 60,726 53,625 2,203,232 1,658,132 2010-11-12 $26.27 $26.00 22.7% 6.5% 20.5% 35.5% 22.9% 2.0% 0.3% 55.7M -959.3M -15.2M 0.46 3.76 N/A N/A 131,631 60,100 2,214,186 1,654,191 2010-11-15 $26.20 $26.00 22.1% 6.3% 20.2% 33.2% 23.2% 1.3% 0.8% 54.8M -888.8M -14.8M 0.03 3.48 N/A N/A 1,908,261 53,446 2,189,909 1,648,852 2010-11-16 $25.81 $26.00 24.1% 6.9% 18.1% 41.5% 24.8% 2.6% 0.5% 35.5M -410.0M -15.0M 0.67 3.58 N/A N/A 97,795 65,255 2,113,665 1,656,470 2010-11-17 $25.57 $26.00 23.2% 6.6% 18.3% 37.5% 23.8% 2.3% 0.7% 34.7M -311.2M -14.4M 1.43 3.61 N/A N/A 32,669 46,558 2,135,242 1,645,284 2010-11-18 $25.84 $26.00 21.7% 6.2% 18.6% 31.6% 22.2% 2.3% 1.0% 49.2M -430.3M -14.9M 0.47 3.05 N/A N/A 56,318 26,473 2,145,476 1,653,208 2010-11-19 $25.69 $26.00 19.7% 5.6% 18.8% 23.3% 20.0% 2.1% 1.9% 41.2M -223.4M -13.7M 0.99 2.77 N/A N/A 34,626 34,304 2,133,965 1,638,459 2010-11-22 $25.73 $26.00 20.0% 5.7% 18.5% 24.4% 20.6% 3.5% 1.5% 43.3M -530.6M -13.6M 1.00 1.45 N/A N/A 54,001 53,801 1,989,846 1,440,415 2010-11-23 $25.12 $26.00 22.1% 6.3% 17.7% 33.3% 22.2% 2.5% 0.8% 27.5M -159.3M -13.3M 0.70 2.39 N/A N/A 50,205 35,067 2,018,180 1,471,342 2010-11-24 $25.37 $26.00 21.8% 6.3% 18.0% 32.0% 21.5% 2.8% 0.6% 35.1M -321.7M -13.4M 0.76 2.46 N/A N/A 37,043 28,221 2,032,034 1,472,671 2010-11-26 $25.25 $26.00 21.4% 6.5% 17.6% 30.2% 21.9% 2.6% 0.1% 29.4M -263.6M -13.5M 0.44 2.96 N/A N/A 18,667 8,300 2,044,791 1,484,637 2010-11-29 $25.31 $26.00 22.3% 6.7% 16.6% 33.8% 24.2% 3.3% -0.2% 29.1M -212.3M -13.2M 0.60 3.31 N/A N/A 75,449 45,480 2,045,045 1,481,525 2010-11-30 $25.26 $26.00 24.8% 7.0% 15.9% 44.2% 23.8% 3.1% -0.5% 25.6M -192.7M -13.5M 0.63 2.91 N/A N/A 46,484 29,249 2,053,127 1,508,825
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