MSFT Options History — April 2011 In April 2011, MSFT traded between $25.08 and $26.71. ATM implied volatility averaged 20.4%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.8% (HV 20d: 15.5%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.53.
Notable Days 2011-04-29 : Highest Volume — 565,871 contracts2011-04-14 : Largest IV spike — 80.0% change2011-04-28 : Highest IV Rank — 53.3%2011-04-28 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $25.78 $25.08 $26.71 $25.48 $25.92 Max Pain $25.75 $25.00 $26.00 $26.00 $26.00 ATM IV 20.4% 12.8% 26.5% 18.6% 18.1% Expected Move 6.6% 5.1% 7.6% 5.1% 5.3% HV 20d 15.5% 12.3% 19.9% 17.0% 19.9% HV 60d 16.9% 16.0% 18.2% 18.2% 17.2% IV Rank 27.9% 0.0% 53.3% 18.7% 20.8% IV Percentile 31.0% 0.0% 79.8% 6.3% 6.0% Term Structure -1.7% -4.8% 5.5% 5.5% 0.2% VWIV 23.2% 17.0% 26.8% 17.0% 19.0% Skew 25d 2.1% -0.3% 3.1% 2.1% 0.6% Skew 10d 4.5% -0.8% 6.8% 3.7% 3.7% Call IV 25d 22.2% 17.3% 26.2% 17.3% 18.4% Put IV 25d 24.2% 19.0% 27.4% 19.3% 19.0% Bid-Ask Spread % 4.92 3.10 15.05 3.58 15.05 Gamma HHI 0.13 0.11 0.20 0.12 0.20 Net GEX 45.9M 24.7M 74.4M 29.4M 74.4M Net DEX -591.1M -1.40B -175.5M -283.9M -641.2M Net VEX -18.5M -19.4M -17.7M -18.4M -18.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.26 1.46 0.64 0.47 Total Volume 169,133.6 54,113 565,871 108,078 565,871 Total OI 3,587,657.3 3,282,550 3,828,429 3,620,326 3,729,751
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 2011-04-01 $25.48 $26.00 18.6% 5.1% 17.0% 18.7% 17.0% 2.1% 5.5% 29.4M -283.9M -18.4M 0.64 3.58 N/A N/A 65,810 42,268 2,189,646 1,430,680 2011-04-04 $25.55 $25.00 16.4% 6.4% 16.8% 9.8% 22.5% 3.1% -1.0% 31.1M -328.6M -18.4M 0.41 3.56 N/A N/A 42,105 17,126 2,188,692 1,442,605 2011-04-05 $25.78 $25.00 19.9% 6.9% 16.9% 24.3% 24.3% 2.6% -1.9% 43.7M -541.3M -18.7M 0.45 5.09 N/A N/A 135,636 61,323 2,204,248 1,448,586 2011-04-06 $26.15 $26.00 17.8% 6.9% 17.6% 15.6% 24.3% 2.8% -1.9% 66.2M -937.1M -19.1M 0.31 3.66 N/A N/A 113,407 34,845 2,251,024 1,444,688 2011-04-07 $26.20 $26.00 16.6% 6.9% 16.1% 10.7% 23.6% 2.8% -1.6% 64.4M -898.6M -18.9M 0.33 3.15 N/A N/A 61,280 20,001 2,238,403 1,447,044 2011-04-08 $26.07 $26.00 15.5% 6.8% 15.9% 6.0% 23.7% 3.0% -1.6% 60.8M -822.4M -18.8M 0.55 4.03 N/A N/A 34,828 19,285 2,258,866 1,447,012 2011-04-11 $25.98 $26.00 15.8% 6.6% 16.0% 7.4% 23.4% 3.0% -1.4% 55.8M -727.5M -18.4M 1.46 4.59 N/A N/A 31,614 46,202 2,249,411 1,453,998 2011-04-12 $25.64 $26.00 16.6% 6.6% 16.1% 10.4% 23.0% 2.8% -1.3% 41.4M -429.5M -18.2M 0.71 3.10 N/A N/A 35,262 24,924 2,260,695 1,476,974 2011-04-13 $25.63 $26.00 12.8% 6.4% 13.3% 0.0% 22.8% 2.7% -1.0% 42.1M -396.4M -18.2M 0.30 3.80 N/A N/A 57,224 16,905 2,261,870 1,476,651 2011-04-14 $25.42 $26.00 23.1% 6.6% 13.8% 40.3% 22.7% 2.5% -1.3% 28.0M -216.8M -17.7M 0.26 4.76 N/A N/A 310,981 80,824 2,263,515 1,480,784 2011-04-15 $25.37 $26.00 22.7% 6.5% 13.8% 38.4% 22.8% 2.3% -1.2% 24.7M -248.9M -18.2M 0.66 3.58 N/A N/A 69,306 46,021 2,300,268 1,528,161 2011-04-18 $25.08 $26.00 23.8% 6.8% 12.3% 43.0% 23.7% 1.7% -2.2% 26.9M -186.8M -18.2M 0.47 5.20 N/A N/A 92,742 44,014 2,041,360 1,241,190 2011-04-19 $25.15 $26.00 23.2% 6.6% 12.4% 40.4% 23.1% 2.6% -2.1% 25.9M -175.5M -18.0M 0.47 4.33 N/A N/A 46,590 22,094 2,032,664 1,264,454 2011-04-20 $25.76 $26.00 21.5% 6.2% 14.7% 33.9% 21.4% 2.8% -1.8% 42.4M -586.4M -18.3M 0.52 5.38 N/A N/A 124,970 64,434 2,050,269 1,275,908 2011-04-21 $25.52 $26.00 22.8% 6.5% 14.6% 39.0% 23.4% 2.1% -2.3% 36.4M -420.6M -18.4M 0.54 4.98 N/A N/A 76,280 41,201 2,076,494 1,304,496 2011-04-25 $25.61 $25.00 24.9% 7.1% 14.5% 47.1% 25.4% 0.8% -3.8% 40.6M -488.9M -18.4M 0.58 4.76 N/A N/A 75,430 43,677 2,102,191 1,312,792 2011-04-26 $26.19 $25.00 25.4% 7.3% 16.1% 49.0% 25.5% -0.3% -4.4% 54.4M -962.7M -19.3M 0.45 5.60 N/A N/A 140,126 63,454 2,137,129 1,342,116 2011-04-27 $26.38 $25.00 25.4% 7.3% 16.3% 49.1% 25.1% 0.6% -4.0% 61.4M -1.12B -19.2M 0.51 4.28 N/A N/A 75,268 38,038 2,163,161 1,369,917 2011-04-28 $26.71 $26.00 26.5% 7.6% 16.7% 53.3% 26.8% 1.2% -4.8% 66.9M -1.40B -19.4M 0.49 5.95 N/A N/A 335,689 165,617 2,183,259 1,382,174 2011-04-29 $25.92 $26.00 18.1% 5.3% 19.9% 20.8% 19.0% 0.6% 0.2% 74.4M -641.2M -18.5M 0.47 15.05 N/A N/A 385,174 180,697 2,291,197 1,438,554
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