MSFT Options History — May 2011

In May 2011, MSFT traded between $24.15 and $26.06. ATM implied volatility averaged 19.3%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.1% (HV 20d: 19.1%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2011-05-16: Highest Volume — 915,364 contracts
2011-05-31: Largest IV spike — 16.2% change
2011-05-16: Highest IV Rank — 33.9%
2011-05-16: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.06	$24.15	$26.06	$25.66	$25.01
Max Pain	$25.52	$25.00	$26.00	$26.00	$25.00
ATM IV	19.3%	16.8%	21.5%	21.4%	19.6%
Expected Move	5.5%	4.8%	6.2%	5.6%	4.9%
HV 20d	19.1%	14.7%	21.2%	20.3%	15.0%
HV 60d	17.0%	16.7%	17.3%	17.2%	17.3%
IV Rank	25.6%	16.5%	33.9%	33.5%	27.7%
IV Percentile	14.9%	2.8%	35.3%	31.3%	18.7%
Term Structure	0.8%	-0.1%	1.7%	-0.1%	1.1%
VWIV	19.8%	17.9%	24.4%	20.1%	17.9%
Skew 25d	2.3%	0.7%	3.6%	1.5%	2.6%
Skew 10d	5.3%	2.6%	7.7%	5.4%	6.9%
Call IV 25d	18.8%	17.0%	21.4%	19.2%	17.0%
Put IV 25d	21.1%	19.0%	23.9%	20.8%	19.6%
Bid-Ask Spread %	4.41	3.24	6.33	4.75	4.50
Gamma HHI	0.13	0.10	0.18	0.13	0.12
Net GEX	19.9M	-23.2M	66.2M	40.5M	33.7M
Net DEX	-75.0M	-861.5M	538.0M	-450.1M	-267.5M
Net VEX	-18.8M	-19.7M	-17.7M	-18.7M	-18.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.12	1.62	0.76	0.67
Total Volume	184,797.19	65,205	915,364	176,919	107,509
Total OI	3,927,357.19	3,593,186	4,230,710	3,747,563	3,850,920

Daily Data (21 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
2011-05-02	$25.66	$26.00	21.4%	5.6%	20.3%	33.5%	20.1%	1.5%	-0.1%	40.5M	-450.1M	-18.7M	0.76	4.75	N/A	N/A	100,415	76,504	2,281,230	1,466,333
2011-05-03	$25.81	$26.00	20.2%	5.3%	20.4%	28.6%	18.8%	1.4%	0.8%	50.5M	-614.9M	-19.0M	0.69	3.54	N/A	N/A	67,205	46,662	2,313,343	1,488,792
2011-05-04	$26.06	$26.00	20.2%	5.5%	20.4%	28.8%	19.4%	0.7%	0.9%	66.2M	-861.5M	-19.6M	0.62	6.33	N/A	N/A	167,531	104,367	2,332,631	1,492,146
2011-05-05	$25.79	$26.00	19.1%	5.6%	20.1%	24.4%	20.4%	2.6%	1.7%	49.9M	-575.2M	-19.7M	1.04	5.04	N/A	N/A	51,737	53,898	2,363,724	1,545,562
2011-05-06	$25.87	$26.00	18.1%	5.7%	20.1%	20.6%	21.2%	3.3%	0.8%	53.9M	-649.3M	-19.6M	0.62	3.90	N/A	N/A	103,444	64,073	2,372,461	1,556,166
2011-05-09	$25.83	$26.00	18.1%	5.4%	20.0%	20.6%	19.5%	3.3%	0.8%	58.8M	-609.4M	-19.0M	0.47	4.71	N/A	N/A	44,217	20,988	2,367,717	1,544,232
2011-05-10	$25.67	$26.00	18.6%	5.5%	20.1%	22.6%	19.9%	1.7%	0.6%	44.4M	-462.9M	-18.7M	0.44	5.82	N/A	N/A	173,635	75,689	2,364,800	1,545,299
2011-05-11	$25.36	$26.00	18.4%	5.6%	20.0%	21.9%	20.1%	1.5%	0.8%	25.4M	-185.5M	-19.2M	0.74	4.54	N/A	N/A	82,013	60,906	2,435,999	1,561,515
2011-05-12	$25.32	$26.00	19.7%	5.6%	20.0%	26.6%	20.4%	2.6%	0.5%	20.5M	-113.5M	-19.1M	1.62	5.29	N/A	N/A	48,049	77,699	2,460,081	1,588,044
2011-05-13	$25.03	$26.00	19.4%	5.6%	20.2%	25.8%	19.6%	2.5%	0.7%	-23.1M	183.9M	-18.7M	0.61	3.54	N/A	N/A	100,158	61,378	2,469,634	1,629,288
2011-05-16	$24.57	$26.00	21.5%	6.2%	21.2%	33.9%	24.4%	2.5%	0.0%	-16.4M	528.2M	-18.0M	0.12	4.15	N/A	N/A	813,926	101,438	2,450,324	1,634,631
2011-05-17	$24.52	$25.00	20.3%	5.8%	20.9%	29.1%	21.6%	2.6%	0.1%	-23.2M	538.0M	-18.5M	0.75	4.58	N/A	N/A	134,700	101,365	2,482,237	1,663,307
2011-05-18	$24.69	$25.00	19.3%	5.5%	21.0%	25.1%	20.0%	2.5%	1.1%	-17.8M	353.9M	-18.8M	0.82	4.40	N/A	N/A	90,326	73,661	2,531,018	1,679,645
2011-05-19	$24.72	$25.00	18.5%	5.3%	18.9%	22.1%	19.2%	2.0%	1.3%	-8.5M	333.3M	-18.7M	0.67	4.09	N/A	N/A	43,828	29,398	2,543,999	1,670,893
2011-05-20	$24.49	$25.00	19.2%	5.5%	18.9%	26.0%	18.7%	2.8%	0.7%	3.8M	527.3M	-18.2M	1.15	3.24	N/A	N/A	60,800	69,751	2,557,375	1,673,335
2011-05-23	$24.17	$25.00	20.1%	5.8%	19.2%	29.8%	20.0%	3.6%	0.3%	3.5M	327.5M	-17.7M	0.84	3.45	N/A	N/A	80,673	67,669	2,189,740	1,403,446
2011-05-24	$24.15	$25.00	20.0%	5.7%	16.7%	29.5%	19.8%	3.2%	0.5%	3.0M	324.2M	-18.0M	0.48	3.88	N/A	N/A	108,062	52,251	2,229,367	1,434,536
2011-05-25	$24.19	$25.00	18.9%	5.4%	16.3%	24.8%	18.8%	3.1%	1.0%	5.8M	277.6M	-18.2M	0.86	4.72	N/A	N/A	37,244	32,152	2,276,839	1,455,555
2011-05-26	$24.67	$25.00	17.7%	5.1%	17.5%	20.1%	18.5%	1.5%	1.4%	22.5M	-73.3M	-19.0M	0.39	3.62	N/A	N/A	138,241	53,583	2,291,263	1,473,078
2011-05-27	$24.76	$25.00	16.8%	4.8%	14.7%	16.5%	18.2%	1.6%	1.5%	24.1M	-106.2M	-18.8M	1.18	4.55	N/A	N/A	47,618	55,978	2,328,728	1,475,268
2011-05-31	$25.01	$25.00	19.6%	4.9%	15.0%	27.7%	17.9%	2.6%	1.1%	33.7M	-267.5M	-18.9M	0.67	4.50	N/A	N/A	64,490	43,019	2,356,262	1,494,658