MSFT Options History — June 2011

In June 2011, MSFT traded between $23.70 and $26.00. ATM implied volatility averaged 21.4%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.2% (HV 20d: 18.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2011-06-27: Highest Volume — 310,716 contracts
2011-06-30: Largest IV drop — 34.9% change
2011-06-01: Highest IV Rank — 86.7%
2011-06-16: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.45	$23.70	$26.00	$24.43	$26.00
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	21.4%	14.4%	33.9%	33.9%	14.4%
Expected Move	5.8%	4.3%	6.6%	6.3%	4.3%
HV 20d	18.1%	16.1%	23.3%	16.7%	21.6%
HV 60d	17.8%	16.8%	19.8%	17.8%	19.8%
IV Rank	35.2%	6.6%	86.7%	86.7%	6.6%
IV Percentile	38.9%	0.4%	98.0%	98.0%	0.4%
Term Structure	2.6%	-0.9%	5.1%	-0.9%	5.1%
VWIV	20.7%	15.8%	23.3%	21.3%	15.8%
Skew 25d	3.5%	2.6%	4.8%	4.1%	2.8%
Skew 10d	7.7%	5.1%	11.8%	8.1%	7.9%
Call IV 25d	19.4%	15.0%	22.6%	19.8%	15.0%
Put IV 25d	22.9%	17.8%	26.1%	23.9%	17.8%
Bid-Ask Spread %	3.92	2.45	5.96	4.74	3.33
Gamma HHI	0.13	0.11	0.23	0.11	0.23
Net GEX	16.8M	-31.9M	83.5M	16.6M	83.5M
Net DEX	30.0M	-1.18B	579.5M	125.2M	-1.18B
Net VEX	-18.2M	-19.9M	-17.0M	-18.2M	-19.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.17	2.01	1.46	0.51
Total Volume	129,516.682	71,784	310,716	197,653	132,454
Total OI	3,898,055.545	3,676,212	4,025,117	3,851,825	3,939,184

Daily Data (22 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
2011-06-01	$24.43	$25.00	33.9%	6.3%	16.7%	86.7%	21.3%	4.1%	-0.9%	16.6M	125.2M	-18.2M	1.46	4.74	N/A	N/A	80,348	117,305	2,356,096	1,495,729
2011-06-02	$24.22	$25.00	22.3%	6.0%	16.1%	39.0%	20.9%	3.3%	-0.4%	-4.8M	342.7M	-18.1M	1.12	4.53	N/A	N/A	51,588	57,824	2,382,290	1,550,439
2011-06-03	$23.91	$25.00	19.8%	5.9%	16.3%	28.5%	21.0%	3.0%	2.4%	-31.9M	579.5M	-17.6M	1.02	3.70	N/A	N/A	62,298	63,433	2,396,170	1,558,775
2011-06-06	$24.01	$25.00	22.9%	6.1%	16.3%	41.4%	21.8%	2.9%	2.4%	4.5M	401.3M	-17.8M	0.21	4.03	N/A	N/A	154,786	32,565	2,399,836	1,528,319
2011-06-07	$24.06	$25.00	22.2%	6.1%	16.5%	38.8%	21.2%	2.8%	2.2%	7.7M	333.9M	-17.9M	0.65	4.36	N/A	N/A	43,534	28,250	2,445,878	1,533,316
2011-06-08	$23.94	$25.00	20.6%	6.0%	16.4%	32.0%	21.0%	2.7%	2.4%	3.1M	395.3M	-17.7M	0.35	3.21	N/A	N/A	61,737	21,610	2,447,346	1,530,697
2011-06-09	$23.96	$25.00	19.9%	5.7%	16.2%	29.2%	20.4%	2.6%	2.8%	2.6M	413.2M	-17.6M	0.53	3.12	N/A	N/A	49,167	26,201	2,462,624	1,533,604
2011-06-10	$23.70	$25.00	20.5%	5.9%	16.4%	31.8%	21.2%	2.8%	2.5%	-4.5M	577.0M	-17.4M	0.17	3.79	N/A	N/A	165,321	28,387	2,473,353	1,535,527
2011-06-13	$24.04	$25.00	20.9%	6.0%	17.2%	33.2%	21.5%	3.1%	2.6%	2.7M	361.7M	-17.4M	0.53	4.20	N/A	N/A	58,014	30,686	2,417,379	1,530,200
2011-06-14	$24.22	$25.00	20.0%	5.7%	16.4%	29.5%	20.1%	3.4%	2.7%	6.8M	223.6M	-17.6M	1.05	3.59	N/A	N/A	55,598	58,188	2,419,853	1,534,465
2011-06-15	$23.74	$25.00	21.1%	6.1%	17.8%	34.2%	22.6%	4.3%	2.4%	-6.9M	577.8M	-17.0M	0.74	2.45	N/A	N/A	82,608	61,457	2,414,566	1,543,248
2011-06-16	$24.00	$25.00	23.1%	6.6%	18.1%	42.4%	23.3%	3.5%	2.2%	-2.1M	316.5M	-18.0M	0.53	3.29	N/A	N/A	90,005	47,253	2,431,427	1,560,510
2011-06-17	$24.26	$25.00	21.9%	6.3%	18.6%	37.1%	21.4%	3.7%	2.7%	6.5M	96.1M	-18.2M	0.36	4.41	N/A	N/A	98,956	35,270	2,451,620	1,573,497
2011-06-20	$24.47	$25.00	21.2%	6.1%	18.6%	34.6%	20.9%	4.4%	2.9%	18.8M	-41.7M	-18.4M	0.56	2.65	N/A	N/A	84,127	47,086	2,233,489	1,442,723
2011-06-21	$24.76	$25.00	18.5%	5.3%	18.4%	23.3%	19.2%	3.5%	3.5%	29.9M	-219.6M	-18.6M	0.53	4.44	N/A	N/A	68,189	35,967	2,264,673	1,454,376
2011-06-22	$24.65	$25.00	18.3%	5.2%	18.4%	22.4%	19.6%	3.1%	3.5%	26.6M	-156.8M	-18.3M	0.94	3.66	N/A	N/A	38,857	36,590	2,272,562	1,462,844
2011-06-23	$24.63	$25.00	18.0%	5.2%	18.5%	21.1%	19.5%	2.8%	3.9%	27.9M	-120.4M	-18.3M	1.10	3.99	N/A	N/A	45,866	50,300	2,287,155	1,479,073
2011-06-24	$24.30	$25.00	23.1%	6.1%	17.7%	42.4%	21.9%	4.8%	2.9%	15.2M	76.6M	-18.2M	2.01	4.17	N/A	N/A	33,482	67,310	2,305,117	1,500,767
2011-06-27	$25.20	$25.00	24.9%	6.0%	22.1%	49.8%	21.1%	4.8%	2.9%	40.9M	-537.4M	-19.2M	0.50	4.42	N/A	N/A	206,979	103,737	2,294,842	1,514,566
2011-06-28	$25.80	$25.00	20.4%	5.2%	23.3%	31.1%	20.2%	3.9%	3.2%	66.8M	-1.06B	-19.9M	0.50	5.96	N/A	N/A	92,317	46,314	2,352,795	1,538,780
2011-06-29	$25.62	$25.00	22.2%	4.9%	21.6%	38.5%	19.4%	4.6%	3.7%	60.1M	-847.4M	-19.3M	0.77	4.17	N/A	N/A	55,181	42,222	2,353,384	1,554,128
2011-06-30	$26.00	$25.00	14.4%	4.3%	21.6%	6.6%	15.8%	2.8%	5.1%	83.5M	-1.18B	-19.2M	0.51	3.33	N/A	N/A	87,671	44,783	2,375,691	1,563,493