MSFT Options History — December 2010 In December 2010, MSFT traded between $26.04 and $28.30. ATM implied volatility averaged 20.0%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.5% (HV 20d: 19.5%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.55.
Notable Days 2010-12-02 : Highest Volume — 275,766 contracts2010-12-10 : Largest IV drop — 16.7% change2010-12-01 : Highest IV Rank — 41.9%2010-12-01 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $27.55 $26.04 $28.30 $26.04 $27.91 Max Pain $25.14 $25.00 $26.00 $26.00 $25.00 ATM IV 20.0% 17.5% 24.2% 24.2% 17.9% Expected Move 5.9% 5.5% 6.3% 6.3% 6.0% HV 20d 19.5% 10.4% 22.3% 18.7% 10.4% HV 60d 19.5% 18.0% 22.0% 21.1% 18.0% IV Rank 24.4% 14.5% 41.9% 41.9% 16.1% IV Percentile 20.1% 0.4% 57.1% 57.1% 2.8% Term Structure 3.4% 1.0% 4.8% 1.0% 3.8% VWIV 21.5% 19.8% 23.0% 22.6% 21.9% Skew 25d 1.8% 0.9% 2.8% 2.8% 2.2% Skew 10d 4.6% 1.9% 7.4% 5.4% 3.8% Call IV 25d 20.7% 19.1% 22.1% 21.5% 20.8% Put IV 25d 22.5% 20.6% 24.3% 24.3% 23.0% Bid-Ask Spread % 2.24 1.46 3.46 2.89 1.70 Gamma HHI 0.16 0.12 0.27 0.13 0.17 Net GEX 80.1M 48.8M 110.2M 48.8M 70.8M Net DEX -1.81B -2.30B -766.3M -766.3M -1.98B Net VEX -15.9M -16.8M -14.1M -14.4M -16.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.24 1.09 0.61 0.44 Total Volume 112,014.909 31,887 275,766 120,099 71,056 Total OI 3,786,636.864 3,515,180 4,024,600 3,587,136 3,857,313
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 2010-12-01 $26.04 $26.00 24.2% 6.3% 18.7% 41.9% 22.6% 2.8% 1.0% 48.8M -766.3M -14.4M 0.61 2.89 N/A N/A 74,542 45,557 2,068,530 1,518,606 2010-12-02 $26.89 $26.00 22.1% 6.2% 21.9% 33.0% 22.4% 1.2% 1.3% 63.5M -1.31B -14.6M 0.35 2.83 N/A N/A 204,717 71,049 2,078,797 1,528,248 2010-12-03 $27.02 $26.00 18.6% 5.5% 21.9% 18.6% 20.2% 1.4% 2.8% 64.5M -1.45B -14.7M 0.78 3.19 N/A N/A 73,095 56,852 2,123,911 1,548,962 2010-12-06 $26.84 $25.00 20.3% 6.2% 21.7% 25.6% 22.1% 1.6% 3.7% 79.4M -1.39B -14.1M 0.30 2.49 N/A N/A 83,634 24,993 2,102,083 1,545,435 2010-12-07 $26.87 $25.00 19.0% 6.2% 21.7% 20.5% 23.0% 2.4% 3.4% 71.2M -1.30B -14.7M 0.30 2.63 N/A N/A 133,402 39,882 2,117,679 1,554,396 2010-12-08 $27.23 $25.00 18.9% 6.1% 22.2% 19.9% 21.9% 0.9% 4.0% 86.8M -1.78B -15.2M 0.31 3.46 N/A N/A 206,640 63,072 2,192,423 1,557,655 2010-12-09 $27.08 $25.00 21.1% 6.1% 22.3% 28.9% 22.2% 1.6% 4.0% 70.1M -1.52B -16.5M 0.73 3.13 N/A N/A 63,564 46,631 2,274,783 1,572,513 2010-12-10 $27.34 $25.00 17.5% 6.1% 22.2% 14.5% 22.3% 1.5% 4.2% 85.7M -1.82B -16.6M 0.28 2.12 N/A N/A 91,369 25,579 2,327,399 1,602,915 2010-12-13 $27.25 $25.00 18.8% 6.0% 21.4% 19.7% 22.9% 1.0% 4.2% 90.3M -1.72B -16.2M 0.38 2.17 N/A N/A 64,644 24,327 2,345,269 1,596,598 2010-12-14 $27.62 $25.00 20.0% 5.9% 21.7% 24.5% 21.5% 1.8% 3.1% 96.1M -2.05B -16.7M 0.28 2.51 N/A N/A 130,679 36,409 2,380,366 1,603,157 2010-12-15 $27.85 $25.00 21.4% 6.1% 20.7% 30.4% 22.4% 2.3% 2.8% 98.6M -2.19B -16.8M 0.48 1.84 N/A N/A 85,111 40,592 2,348,242 1,605,754 2010-12-16 $27.99 $25.00 20.8% 5.9% 20.1% 27.6% 21.2% 1.9% 3.1% 110.2M -2.30B -16.8M 0.35 1.87 N/A N/A 79,536 27,724 2,388,576 1,636,024 2010-12-17 $27.90 $25.00 19.8% 5.7% 20.2% 23.9% 21.4% 2.7% 4.1% 106.5M -1.84B -15.8M 0.24 1.73 N/A N/A 61,325 14,729 2,143,196 1,371,984 2010-12-20 $27.81 $25.00 19.3% 5.5% 20.0% 21.6% 20.0% 1.5% 3.6% 74.8M -1.87B -16.2M 1.06 1.83 N/A N/A 39,809 42,057 2,240,705 1,496,317 2010-12-21 $28.07 $25.00 20.1% 5.8% 20.1% 24.8% 20.3% 1.8% 3.1% 70.6M -2.03B -16.3M 0.93 2.11 N/A N/A 52,744 48,849 2,233,265 1,516,015 2010-12-22 $28.19 $25.00 19.7% 5.7% 17.1% 23.4% 19.8% 1.7% 3.5% 74.6M -2.12B -16.2M 0.47 2.29 N/A N/A 59,933 28,341 2,252,248 1,532,553 2010-12-23 $28.30 $25.00 19.1% 5.5% 17.0% 21.1% 20.0% 1.8% 4.8% 83.4M -2.21B -16.6M 0.51 1.82 N/A N/A 45,873 23,303 2,261,613 1,541,164 2010-12-27 $28.07 $25.00 21.1% 6.1% 17.3% 29.1% 21.3% 1.8% 3.2% 82.2M -2.13B -16.3M 0.93 1.87 N/A N/A 19,413 18,091 2,263,710 1,534,908 2010-12-28 $28.01 $25.00 20.7% 5.9% 17.5% 27.6% 21.3% 2.2% 3.7% 79.3M -2.09B -16.2M 0.72 1.46 N/A N/A 31,260 22,533 2,258,608 1,542,187 2010-12-29 $27.97 $25.00 20.5% 5.9% 17.5% 26.8% 21.1% 1.5% 3.6% 78.3M -2.05B -16.3M 0.58 1.67 N/A N/A 20,121 11,766 2,266,471 1,551,594 2010-12-30 $27.85 $25.00 18.0% 5.9% 15.0% 16.4% 21.0% 2.0% 3.7% 75.6M -1.96B -16.1M 1.09 1.58 N/A N/A 28,473 31,052 2,267,782 1,556,057 2010-12-31 $27.91 $25.00 17.9% 6.0% 10.4% 16.1% 21.9% 2.2% 3.8% 70.8M -1.98B -16.3M 0.44 1.70 N/A N/A 49,337 21,719 2,279,130 1,578,183
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