MSFT Options History — July 2011 In July 2011, MSFT traded between $26.02 and $28.08. ATM implied volatility averaged 21.5%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.0% (HV 20d: 21.5%). 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 0.68.
Notable Days 2011-07-21 : Highest Volume — 422,225 contracts2011-07-14 : Largest IV spike — 44.8% change2011-07-29 : Highest IV Rank — 85.4%2011-07-29 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $26.97 $26.02 $28.08 $26.02 $27.40 Max Pain $25.65 $25.00 $26.00 $25.00 $26.00 ATM IV 21.5% 13.7% 30.8% 13.7% 30.8% Expected Move 6.5% 4.4% 7.7% 4.4% 7.7% HV 20d 21.5% 19.3% 23.9% 20.8% 22.3% HV 60d 20.0% 19.3% 20.8% 19.6% 20.5% IV Rank 41.1% 4.1% 85.4% 4.1% 85.4% IV Percentile 46.2% 0.4% 99.6% 0.4% 99.6% Term Structure -0.8% -2.7% 4.6% 4.6% -1.9% VWIV 23.3% 16.0% 27.4% 16.0% 27.4% Skew 25d 3.2% 0.0% 4.8% 2.1% 3.9% Skew 10d 7.2% 0.9% 10.8% 6.5% 9.4% Call IV 25d 21.7% 15.9% 26.3% 15.9% 24.8% Put IV 25d 24.9% 17.9% 28.7% 17.9% 28.7% Bid-Ask Spread % 4.03 1.88 7.46 5.56 4.10 Gamma HHI 0.16 0.11 0.31 0.31 0.11 Net GEX 72.8M 52.3M 108.1M 108.1M 55.6M Net DEX -1.67B -2.27B -1.15B -1.23B -1.62B Net VEX -20.4M -22.0M -19.0M -19.2M -22.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.19 1.39 0.57 0.55 Total Volume 196,989.7 89,881 422,225 109,028 153,566 Total OI 3,853,620.3 3,425,861 4,073,658 3,952,589 3,919,894
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 2011-07-01 $26.02 $25.00 13.7% 4.4% 20.8% 4.1% 16.0% 2.1% 4.6% 108.1M -1.23B -19.2M 0.57 5.56 N/A N/A 69,242 39,786 2,378,605 1,573,984 2011-07-05 $26.03 $25.00 18.8% 6.0% 20.8% 28.4% 21.7% 4.8% -0.3% 66.1M -1.15B -19.0M 0.90 3.67 N/A N/A 47,183 42,698 2,333,826 1,559,438 2011-07-06 $26.33 $25.00 18.4% 6.2% 21.0% 26.3% 21.6% 3.7% -1.1% 77.5M -1.41B -19.0M 0.54 7.46 N/A N/A 96,025 51,856 2,340,510 1,556,336 2011-07-07 $26.77 $25.00 17.4% 6.2% 21.1% 21.8% 22.1% 3.5% -1.0% 87.7M -1.76B -19.4M 0.47 4.11 N/A N/A 172,147 80,801 2,365,570 1,587,962 2011-07-08 $26.92 $25.00 16.8% 6.4% 21.0% 18.9% 22.6% 3.6% -0.7% 89.6M -1.89B -19.8M 0.42 3.40 N/A N/A 139,261 58,821 2,389,424 1,604,908 2011-07-11 $26.63 $25.00 19.7% 6.7% 21.0% 32.5% 23.8% 3.6% -1.1% 83.4M -1.69B -19.9M 0.50 3.50 N/A N/A 93,950 47,283 2,408,400 1,610,597 2011-07-12 $26.54 $25.00 21.6% 7.0% 21.0% 41.7% 24.9% 3.5% -1.7% 79.6M -1.58B -20.2M 0.47 3.97 N/A N/A 84,843 39,964 2,422,648 1,625,065 2011-07-13 $26.63 $26.00 17.5% 6.9% 21.0% 22.3% 24.3% 3.6% -1.4% 82.6M -1.67B -19.9M 0.43 3.51 N/A N/A 86,865 37,562 2,426,927 1,627,040 2011-07-14 $26.47 $26.00 25.4% 7.3% 19.3% 59.7% 24.7% 3.4% -1.5% 71.1M -1.48B -19.8M 0.52 4.01 N/A N/A 87,020 45,242 2,425,790 1,640,167 2011-07-15 $26.78 $26.00 24.0% 6.9% 19.4% 53.1% 24.1% 3.2% -1.2% 71.9M -1.71B -20.1M 0.19 3.10 N/A N/A 156,600 29,543 2,416,141 1,657,517 2011-07-18 $26.59 $26.00 24.6% 7.1% 19.7% 55.9% 25.3% 2.4% -1.5% 52.3M -1.31B -20.3M 0.98 4.38 N/A N/A 72,997 71,731 2,084,696 1,341,165 2011-07-19 $27.54 $26.00 23.0% 6.6% 22.5% 48.5% 24.5% 3.8% -1.6% 64.1M -1.91B -20.8M 0.65 3.72 N/A N/A 241,198 156,065 2,116,338 1,384,148 2011-07-20 $27.06 $26.00 24.6% 7.1% 23.9% 55.9% 25.3% 2.8% -1.2% 60.2M -1.61B -21.2M 0.46 3.56 N/A N/A 123,970 57,586 2,193,415 1,439,336 2011-07-21 $27.09 $26.00 26.1% 7.5% 23.7% 63.1% 26.5% 0.0% -2.7% 59.3M -1.64B -20.9M 0.96 1.88 N/A N/A 215,236 206,989 2,168,154 1,480,083 2011-07-22 $27.53 $26.00 19.3% 5.5% 23.9% 30.5% 20.4% 2.8% 0.4% 71.9M -1.93B -20.9M 0.72 4.22 N/A N/A 163,445 117,336 2,235,938 1,534,444 2011-07-25 $27.91 $26.00 20.2% 5.8% 23.0% 35.0% 21.1% 2.7% -0.1% 76.7M -2.13B -21.0M 1.04 4.12 N/A N/A 161,943 168,728 2,196,890 1,487,307 2011-07-26 $28.08 $26.00 20.8% 6.0% 20.2% 37.9% 22.0% 2.7% -0.2% 78.0M -2.27B -21.5M 1.39 4.67 N/A N/A 76,753 106,370 2,239,243 1,565,259 2011-07-27 $27.33 $26.00 23.9% 6.8% 22.0% 52.5% 24.1% 3.7% -1.2% 56.3M -1.60B -21.8M 0.92 3.77 N/A N/A 95,670 88,084 2,248,057 1,611,741 2011-07-28 $27.72 $26.00 23.2% 6.6% 22.1% 49.0% 23.6% 4.2% -0.5% 64.5M -1.89B -22.0M 0.84 3.80 N/A N/A 84,660 70,775 2,251,519 1,623,924 2011-07-29 $27.40 $26.00 30.8% 7.7% 22.3% 85.4% 27.4% 3.9% -1.9% 55.6M -1.62B -22.0M 0.55 4.10 N/A N/A 98,910 54,656 2,261,434 1,658,460
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