MSFT Options History — March 2011 In March 2011, MSFT traded between $24.78 and $26.20. ATM implied volatility averaged 21.8%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.4% (HV 20d: 15.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2011-03-16 : Highest Volume — 299,674 contracts2011-03-10 : Largest IV spike — 19.8% change2011-03-16 : Highest IV Rank — 58.9%2011-03-16 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $25.56 $24.78 $26.20 $26.16 $25.39 Max Pain $26.04 $25.00 $27.00 $27.00 $26.00 ATM IV 21.8% 18.0% 28.4% 25.6% 18.0% Expected Move 6.2% 4.8% 8.1% 6.4% 5.2% HV 20d 15.4% 12.7% 17.7% 14.8% 17.2% HV 60d 17.2% 16.4% 18.1% 16.6% 18.1% IV Rank 31.9% 16.4% 58.9% 47.6% 16.4% IV Percentile 37.0% 2.4% 86.5% 74.2% 2.4% Term Structure 3.2% 0.5% 5.1% 0.5% 5.1% VWIV 22.0% 17.3% 28.8% 22.8% 17.3% Skew 25d 3.3% 1.1% 5.4% 3.5% 2.0% Skew 10d 6.9% 2.4% 10.9% 7.9% 2.4% Call IV 25d 21.0% 17.6% 27.3% 21.2% 17.9% Put IV 25d 24.3% 18.6% 32.7% 24.8% 19.9% Bid-Ask Spread % 3.37 2.39 4.44 2.39 3.24 Gamma HHI 0.11 0.11 0.13 0.11 0.12 Net GEX 21.6M 2.5M 43.2M 25.1M 29.2M Net DEX -170.7M -523.8M 336.3M -355.8M -250.6M Net VEX -18.1M -18.9M -17.4M -17.6M -18.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.35 1.21 1.09 0.50 Total Volume 127,611.217 34,810 299,674 129,904 84,918 Total OI 3,485,097.043 3,180,196 3,887,090 3,180,196 3,572,183
Daily Data (23 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 2011-03-01 $26.16 $27.00 25.6% 6.4% 14.8% 47.6% 22.8% 3.5% 0.5% 25.1M -355.8M -17.6M 1.09 2.39 N/A N/A 62,153 67,751 1,979,757 1,200,439 2011-03-02 $26.08 $27.00 21.3% 6.1% 14.0% 30.1% 20.9% 3.8% 2.1% 21.9M -319.4M -17.6M 1.08 2.40 N/A N/A 78,439 84,897 2,010,432 1,218,236 2011-03-03 $26.20 $27.00 20.4% 6.2% 14.3% 26.2% 21.2% 3.2% 0.9% 21.5M -383.8M -17.6M 0.61 2.76 N/A N/A 104,431 63,341 2,030,688 1,245,483 2011-03-04 $25.95 $26.00 20.8% 6.5% 14.3% 27.9% 23.6% 3.7% 2.8% 11.3M -258.4M -17.7M 0.61 4.44 N/A N/A 94,604 58,064 2,072,749 1,265,608 2011-03-07 $25.72 $26.00 24.7% 6.6% 14.1% 43.8% 24.0% 3.8% 2.8% 18.5M -114.4M -17.4M 0.73 2.87 N/A N/A 78,947 57,973 2,102,284 1,281,211 2011-03-08 $25.91 $26.00 21.9% 6.3% 12.9% 32.3% 22.9% 3.8% 3.0% 23.5M -254.2M -17.8M 1.18 2.98 N/A N/A 33,171 39,120 2,118,468 1,301,050 2011-03-09 $25.89 $26.00 20.4% 6.2% 12.7% 26.1% 22.6% 3.3% 3.2% 23.1M -218.0M -17.8M 1.21 2.82 N/A N/A 40,495 48,837 2,124,424 1,311,631 2011-03-10 $25.41 $26.00 24.4% 7.0% 13.5% 42.6% 24.4% 3.0% 2.9% 12.7M 52.8M -17.5M 0.74 3.48 N/A N/A 67,037 49,512 2,138,907 1,332,828 2011-03-11 $25.68 $26.00 21.9% 6.3% 13.8% 32.4% 22.8% 3.6% 3.4% 15.6M -103.3M -17.7M 0.94 4.07 N/A N/A 85,421 80,380 2,161,396 1,352,590 2011-03-14 $25.69 $26.00 22.2% 6.4% 13.6% 33.4% 23.2% 3.5% 3.8% 14.9M -121.7M -18.2M 0.50 2.74 N/A N/A 68,044 33,749 2,192,324 1,395,831 2011-03-15 $25.39 $26.00 24.8% 7.1% 14.0% 44.1% 24.9% 3.8% 2.7% 10.7M 43.3M -18.1M 0.83 3.59 N/A N/A 84,564 70,388 2,223,255 1,404,216 2011-03-16 $24.79 $26.00 28.4% 8.1% 15.6% 58.9% 28.8% 5.4% 1.4% 4.3M 327.8M -18.1M 0.78 4.37 N/A N/A 168,643 131,031 2,251,973 1,438,409 2011-03-17 $24.78 $26.00 26.1% 7.5% 15.5% 49.5% 26.6% 4.6% 1.8% 2.5M 336.3M -18.2M 0.53 4.39 N/A N/A 97,606 52,049 2,342,555 1,482,201 2011-03-18 $24.80 $25.00 23.1% 6.6% 15.0% 37.0% 23.3% 4.4% 3.4% 6.2M 298.1M -18.1M 0.60 2.96 N/A N/A 83,558 50,062 2,391,587 1,495,503 2011-03-21 $25.33 $25.00 20.9% 6.0% 17.6% 28.2% 20.9% 4.4% 3.7% 26.0M -223.3M -18.2M 0.48 3.14 N/A N/A 135,757 65,156 2,023,298 1,307,618 2011-03-22 $25.30 $26.00 20.7% 5.9% 16.8% 27.3% 20.7% 2.6% 3.5% 24.4M -177.9M -18.3M 0.71 3.40 N/A N/A 81,435 57,724 2,054,744 1,334,023 2011-03-23 $25.54 $26.00 18.4% 5.3% 17.3% 18.2% 20.3% 3.1% 4.0% 34.2M -363.8M -18.4M 0.89 3.57 N/A N/A 44,263 39,458 2,079,540 1,349,958 2011-03-24 $25.81 $26.00 18.5% 5.3% 17.6% 18.2% 19.7% 3.0% 3.9% 43.2M -523.8M -18.9M 0.82 3.45 N/A N/A 56,316 46,004 2,091,381 1,366,766 2011-03-25 $25.62 $26.00 18.9% 5.1% 17.6% 20.1% 18.4% 1.7% 4.6% 32.7M -388.5M -18.6M 0.36 3.21 N/A N/A 72,856 26,015 2,106,213 1,389,675 2011-03-28 $25.41 $26.00 21.6% 5.5% 17.7% 31.3% 18.9% 2.4% 4.6% 27.3M -255.3M -18.6M 0.45 3.55 N/A N/A 51,665 23,366 2,122,096 1,392,841 2011-03-29 $25.49 $26.00 19.1% 5.5% 17.0% 20.6% 18.7% 2.3% 4.2% 30.7M -286.4M -18.5M 0.54 3.94 N/A N/A 22,640 12,170 2,139,235 1,407,097 2011-03-30 $25.61 $26.00 19.4% 4.8% 17.1% 22.2% 18.3% 1.1% 5.1% 36.7M -386.4M -18.5M 0.35 3.63 N/A N/A 60,226 20,822 2,143,986 1,410,543 2011-03-31 $25.39 $26.00 18.0% 5.2% 17.2% 16.4% 17.3% 2.0% 5.1% 29.2M -250.6M -18.2M 0.50 3.24 N/A N/A 56,748 28,170 2,154,588 1,417,595
« Feb 2011 | All History | Apr 2011 » Home MSFT History March 2011