MSFT Options History — February 2011

In February 2011, MSFT traded between $26.55 and $28.28. ATM implied volatility averaged 20.2%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.1% (HV 20d: 20.2%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2011-02-14: Highest Volume — 538,355 contracts
2011-02-07: Largest IV spike — 28.7% change
2011-02-23: Highest IV Rank — 35.3%
2011-02-23: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.32	$26.55	$28.28	$27.99	$26.58
Max Pain	$27.16	$27.00	$28.00	$28.00	$27.00
ATM IV	20.2%	16.6%	22.6%	21.4%	22.0%
Expected Move	5.7%	5.4%	6.5%	5.6%	5.7%
HV 20d	20.2%	14.0%	22.8%	22.6%	14.0%
HV 60d	18.7%	17.6%	19.2%	18.9%	17.6%
IV Rank	25.6%	10.4%	35.3%	30.2%	32.6%
IV Percentile	24.8%	0.4%	49.2%	33.3%	42.1%
Term Structure	0.8%	-0.0%	1.7%	0.8%	1.3%
VWIV	20.8%	18.6%	23.6%	20.1%	20.9%
Skew 25d	3.1%	1.5%	5.3%	2.0%	4.5%
Skew 10d	7.2%	4.5%	12.1%	6.7%	10.2%
Call IV 25d	19.6%	17.8%	22.1%	19.4%	20.1%
Put IV 25d	22.7%	20.4%	26.8%	21.3%	24.6%
Bid-Ask Spread %	3.05	2.30	4.57	2.30	3.33
Gamma HHI	0.14	0.11	0.19	0.15	0.12
Net GEX	53.7M	30.3M	98.1M	60.9M	36.7M
Net DEX	-827.8M	-1.51B	-446.5M	-1.14B	-618.8M
Net VEX	-17.9M	-18.5M	-17.1M	-18.3M	-17.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.23	1.29	0.91	0.68
Total Volume	170,261.474	72,381	538,355	209,456	74,806
Total OI	3,275,147.842	2,930,969	3,566,231	3,156,163	3,146,362

Daily Data (19 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
2011-02-01	$27.99	$28.00	21.4%	5.6%	22.6%	30.2%	20.1%	2.0%	0.8%	60.9M	-1.14B	-18.3M	0.91	2.30	N/A	N/A	109,494	99,962	1,991,147	1,165,016
2011-02-02	$27.94	$28.00	19.4%	5.4%	22.6%	22.2%	19.5%	1.5%	1.1%	61.0M	-1.11B	-18.4M	0.57	2.63	N/A	N/A	46,011	26,370	2,017,630	1,203,125
2011-02-03	$27.65	$28.00	18.5%	5.6%	22.8%	18.4%	20.7%	2.9%	1.2%	59.2M	-920.0M	-18.2M	0.55	2.40	N/A	N/A	78,764	43,428	2,031,606	1,186,885
2011-02-04	$27.77	$27.00	16.6%	5.6%	20.1%	10.4%	20.0%	3.5%	0.3%	66.7M	-1.03B	-18.1M	0.61	3.10	N/A	N/A	48,244	29,452	2,067,576	1,201,907
2011-02-07	$28.20	$27.00	21.3%	5.4%	20.9%	29.9%	18.6%	2.7%	0.7%	84.8M	-1.41B	-18.3M	0.33	2.97	N/A	N/A	157,105	52,545	2,062,994	1,193,853
2011-02-08	$28.28	$27.00	21.8%	5.4%	20.4%	32.0%	18.9%	2.7%	1.0%	98.1M	-1.51B	-18.5M	0.37	2.36	N/A	N/A	92,197	34,061	2,116,824	1,213,211
2011-02-09	$27.97	$27.00	17.7%	5.5%	20.7%	15.2%	19.4%	2.5%	0.8%	79.4M	-1.20B	-18.1M	0.47	3.21	N/A	N/A	110,749	52,295	2,103,183	1,220,585
2011-02-10	$27.50	$27.00	21.1%	6.1%	20.6%	29.2%	21.7%	2.4%	-0.0%	55.7M	-737.9M	-17.5M	0.55	4.57	N/A	N/A	140,852	78,095	2,108,679	1,242,799
2011-02-11	$27.25	$27.00	20.3%	5.8%	20.4%	25.7%	20.6%	2.4%	0.3%	53.0M	-574.8M	-17.1M	0.66	4.27	N/A	N/A	102,837	67,596	2,153,727	1,255,697
2011-02-14	$27.23	$27.00	20.3%	5.8%	20.3%	25.8%	22.1%	2.3%	0.4%	50.4M	-558.4M	-17.2M	0.23	2.93	N/A	N/A	436,997	101,358	2,161,914	1,263,282
2011-02-15	$26.96	$27.00	19.7%	5.7%	19.8%	23.5%	20.1%	2.4%	0.8%	40.9M	-446.5M	-17.1M	0.46	2.66	N/A	N/A	69,480	31,630	2,174,660	1,287,726
2011-02-16	$27.02	$27.00	19.4%	5.6%	19.8%	22.1%	19.9%	2.5%	1.0%	43.9M	-503.5M	-17.2M	0.55	2.67	N/A	N/A	108,395	59,179	2,201,936	1,270,430
2011-02-17	$27.21	$27.00	19.9%	5.7%	20.1%	24.1%	20.4%	3.1%	0.9%	49.4M	-748.5M	-17.6M	1.04	3.15	N/A	N/A	84,740	88,356	2,237,827	1,287,464
2011-02-18	$27.06	$27.00	18.8%	5.4%	19.8%	19.4%	19.4%	2.8%	1.7%	30.3M	-690.3M	-17.7M	0.65	2.58	N/A	N/A	117,110	75,918	2,255,777	1,310,454
2011-02-22	$26.59	$27.00	21.7%	6.2%	19.8%	31.7%	23.6%	4.3%	0.1%	38.1M	-616.8M	-17.6M	0.99	3.47	N/A	N/A	82,908	81,691	1,863,984	1,066,985
2011-02-23	$26.59	$27.00	22.6%	6.5%	19.7%	35.3%	23.6%	4.7%	0.4%	36.4M	-636.9M	-18.0M	0.58	3.44	N/A	N/A	100,626	58,815	1,887,056	1,108,396
2011-02-24	$26.77	$27.00	21.7%	6.2%	19.3%	31.6%	22.7%	5.3%	0.8%	41.3M	-733.2M	-18.3M	1.29	2.33	N/A	N/A	71,656	92,279	1,919,511	1,133,206
2011-02-25	$26.55	$27.00	20.4%	5.8%	19.2%	26.3%	22.2%	4.6%	1.3%	33.5M	-552.0M	-18.0M	0.59	3.53	N/A	N/A	81,013	47,954	1,937,282	1,177,113
2011-02-28	$26.58	$27.00	22.0%	5.7%	14.0%	32.6%	20.9%	4.5%	1.3%	36.7M	-618.8M	-17.9M	0.68	3.33	N/A	N/A	44,516	30,290	1,962,881	1,183,481