MSFT Options History — January 2011

In January 2011, MSFT traded between $27.73 and $28.87. ATM implied volatility averaged 22.6%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.2% (HV 20d: 15.4%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.58.

Notable Days

2011-01-27: Highest Volume — 593,780 contracts
2011-01-13: Largest IV spike — 25.8% change
2011-01-20: Highest IV Rank — 49.5%
2011-01-20: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.32	$27.73	$28.87	$27.98	$27.73
Max Pain	$27.35	$25.00	$28.00	$25.00	$28.00
ATM IV	22.6%	19.2%	26.1%	20.0%	20.5%
Expected Move	6.8%	5.4%	7.5%	5.8%	5.8%
HV 20d	15.4%	9.9%	22.4%	10.4%	22.4%
HV 60d	18.2%	17.4%	19.0%	18.0%	18.8%
IV Rank	35.1%	21.2%	49.5%	24.4%	26.5%
IV Percentile	43.0%	10.7%	74.6%	20.2%	25.0%
Term Structure	-0.5%	-3.2%	5.0%	4.0%	1.0%
VWIV	23.9%	18.9%	26.4%	21.0%	22.1%
Skew 25d	2.4%	-0.6%	4.3%	2.0%	4.3%
Skew 10d	5.6%	-0.4%	10.3%	2.9%	10.3%
Call IV 25d	22.8%	19.4%	25.0%	20.2%	19.7%
Put IV 25d	25.2%	20.4%	28.0%	22.2%	24.0%
Bid-Ask Spread %	2.54	1.31	4.75	1.66	2.30
Gamma HHI	0.17	0.13	0.23	0.19	0.13
Net GEX	81.7M	50.2M	104.6M	75.6M	51.3M
Net DEX	-2.09B	-2.75B	-909.1M	-2.01B	-913.7M
Net VEX	-16.8M	-18.3M	-15.7M	-15.8M	-18.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.23	1.52	0.54	1.22
Total Volume	200,554.4	52,350	593,780	52,350	186,465
Total OI	3,734,622.15	2,529,616	4,380,177	3,843,573	3,141,281

Daily Data (20 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
2011-01-03	$27.98	$25.00	20.0%	5.8%	10.4%	24.4%	21.0%	2.0%	4.0%	75.6M	-2.01B	-15.8M	0.54	1.66	N/A	N/A	34,050	18,300	2,263,691	1,579,882
2011-01-04	$28.09	$25.00	19.7%	5.8%	9.9%	23.1%	20.6%	1.9%	3.7%	75.8M	-2.08B	-15.7M	0.73	1.31	N/A	N/A	40,533	29,623	2,269,123	1,586,980
2011-01-05	$28.00	$25.00	19.9%	5.4%	10.1%	24.0%	18.9%	1.0%	5.0%	76.2M	-2.03B	-15.7M	0.55	1.94	N/A	N/A	78,853	43,547	2,283,427	1,603,266
2011-01-06	$28.82	$25.00	19.4%	5.7%	13.4%	22.2%	20.7%	-0.3%	4.6%	100.9M	-2.71B	-16.1M	0.23	2.04	N/A	N/A	236,542	53,339	2,309,147	1,603,750
2011-01-07	$28.60	$27.00	20.8%	7.3%	13.6%	27.7%	25.7%	2.5%	-1.4%	98.1M	-2.58B	-16.6M	0.82	2.21	N/A	N/A	160,926	132,717	2,371,924	1,631,083
2011-01-10	$28.22	$28.00	21.4%	7.5%	14.5%	30.2%	26.0%	3.0%	-1.8%	88.6M	-2.25B	-16.6M	0.42	3.13	N/A	N/A	65,575	27,604	2,445,424	1,691,351
2011-01-11	$28.11	$28.00	19.4%	7.3%	14.5%	22.1%	25.3%	2.9%	-1.5%	85.7M	-2.20B	-16.4M	0.63	3.13	N/A	N/A	38,187	23,870	2,461,517	1,695,671
2011-01-12	$28.55	$28.00	19.2%	7.0%	14.7%	21.2%	24.2%	2.9%	-1.5%	98.8M	-2.58B	-16.5M	0.24	3.26	N/A	N/A	106,625	25,096	2,463,046	1,698,897
2011-01-13	$28.19	$28.00	24.1%	6.9%	15.3%	41.4%	24.3%	2.9%	-1.4%	88.6M	-2.28B	-16.0M	0.24	2.90	N/A	N/A	300,068	72,669	2,489,855	1,701,718
2011-01-14	$28.30	$28.00	23.5%	6.7%	15.3%	39.0%	23.6%	2.9%	-1.4%	99.9M	-2.49B	-16.7M	0.31	2.61	N/A	N/A	112,771	34,552	2,603,331	1,728,457
2011-01-18	$28.66	$28.00	23.8%	6.8%	15.8%	40.0%	24.8%	3.2%	-1.8%	104.6M	-2.75B	-16.8M	0.39	2.40	N/A	N/A	64,823	25,165	2,577,114	1,712,142
2011-01-19	$28.47	$28.00	25.9%	7.4%	16.0%	48.6%	25.1%	3.1%	-2.5%	95.5M	-2.56B	-16.9M	0.38	2.11	N/A	N/A	77,811	29,908	2,592,564	1,727,618
2011-01-20	$28.35	$28.00	26.1%	7.5%	15.8%	49.5%	26.4%	3.0%	-2.2%	87.5M	-2.46B	-17.3M	0.60	2.63	N/A	N/A	52,786	31,552	2,613,041	1,741,896
2011-01-21	$28.02	$28.00	25.6%	7.3%	16.3%	47.4%	25.8%	3.4%	-2.1%	60.5M	-2.35B	-16.8M	0.41	2.58	N/A	N/A	87,784	36,162	2,622,242	1,757,935
2011-01-24	$28.38	$28.00	26.1%	7.5%	16.9%	49.4%	25.3%	2.8%	-3.1%	65.5M	-1.52B	-17.1M	0.44	2.20	N/A	N/A	121,586	53,119	1,704,035	825,581
2011-01-25	$28.45	$28.00	24.8%	7.1%	16.6%	44.4%	25.2%	2.4%	-2.6%	73.5M	-1.58B	-17.2M	1.52	1.99	N/A	N/A	61,883	93,991	1,757,713	845,486
2011-01-26	$28.78	$28.00	25.9%	7.4%	17.0%	48.8%	26.2%	2.2%	-3.2%	71.8M	-1.74B	-17.5M	0.59	3.23	N/A	N/A	186,536	109,454	1,766,393	902,650
2011-01-27	$28.87	$28.00	23.8%	6.8%	17.0%	40.1%	23.4%	-0.6%	-2.1%	85.2M	-1.79B	-17.7M	0.78	4.75	N/A	N/A	333,020	260,760	1,850,959	969,529
2011-01-28	$27.75	$28.00	21.8%	6.3%	22.4%	31.8%	22.5%	2.5%	1.0%	50.2M	-909.1M	-18.0M	0.65	2.42	N/A	N/A	340,758	222,078	1,991,446	1,111,278
2011-01-31	$27.73	$28.00	20.5%	5.8%	22.4%	26.5%	22.1%	4.3%	1.0%	51.3M	-913.7M	-18.3M	1.22	2.30	N/A	N/A	84,076	102,389	1,984,432	1,156,849