MSFT Options History — August 2011

In August 2011, MSFT traded between $23.98 and $27.27. ATM implied volatility averaged 34.8%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.6% (HV 20d: 37.4%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.86.

Notable Days

2011-08-15: Highest Volume — 845,107 contracts
2011-08-08: Largest IV spike — 75.7% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.39	$23.98	$27.27	$27.27	$26.60
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	34.8%	27.9%	63.1%	30.5%	30.8%
Expected Move	9.0%	7.2%	11.5%	7.4%	7.2%
HV 20d	37.4%	22.5%	44.2%	22.5%	44.2%
HV 60d	27.5%	20.4%	31.0%	20.4%	31.0%
IV Rank	54.5%	29.9%	100.0%	84.0%	35.7%
IV Percentile	96.8%	92.9%	100.0%	98.8%	93.7%
Term Structure	-0.8%	-3.4%	2.0%	-1.5%	2.0%
VWIV	32.5%	25.8%	39.2%	26.8%	28.5%
Skew 25d	8.1%	3.4%	12.2%	3.5%	6.6%
Skew 10d	16.6%	6.6%	24.6%	6.7%	14.0%
Call IV 25d	28.6%	23.7%	36.1%	24.3%	24.3%
Put IV 25d	36.6%	27.8%	45.2%	27.8%	30.9%
Bid-Ask Spread %	4.56	2.72	8.41	4.11	4.86
Gamma HHI	0.10	0.07	0.31	0.11	0.10
Net GEX	26.4M	-49.2M	60.9M	57.5M	60.9M
Net DEX	-303.3M	-1.56B	584.2M	-1.56B	-1.25B
Net VEX	-20.3M	-21.9M	-18.6M	-21.9M	-21.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.08	1.33	0.91	1.26
Total Volume	187,983.304	63,646	845,107	176,746	198,762
Total OI	4,005,130.696	3,801,515	4,167,409	3,903,999	4,017,378

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
2011-08-01	$27.27	$26.00	30.5%	7.4%	22.5%	84.0%	26.8%	3.5%	-1.5%	57.5M	-1.56B	-21.9M	0.91	4.11	N/A	N/A	92,725	84,021	2,268,274	1,635,725
2011-08-02	$26.80	$26.00	32.4%	7.7%	23.5%	92.8%	27.9%	4.1%	-1.1%	46.9M	-1.18B	-21.7M	0.63	3.63	N/A	N/A	64,659	40,782	2,292,295	1,659,268
2011-08-03	$26.92	$26.00	30.3%	7.2%	23.3%	83.2%	26.5%	3.4%	-0.6%	51.1M	-1.28B	-21.6M	0.79	3.76	N/A	N/A	87,842	69,764	2,311,255	1,666,194
2011-08-04	$25.94	$26.00	37.4%	9.7%	26.2%	100.0%	34.8%	5.2%	-3.2%	29.2M	-545.1M	-21.4M	1.33	3.94	N/A	N/A	77,304	102,733	2,313,185	1,664,891
2011-08-05	$25.68	$26.00	35.9%	8.9%	26.2%	93.8%	32.2%	7.0%	-0.7%	26.9M	-345.0M	-21.2M	0.85	2.72	N/A	N/A	154,458	130,641	2,323,388	1,678,914
2011-08-08	$24.48	$26.00	63.1%	11.5%	30.7%	100.0%	39.2%	8.8%	-3.3%	13.4M	277.0M	-20.1M	0.87	4.05	N/A	N/A	140,574	122,508	2,322,433	1,658,372
2011-08-09	$25.58	$26.00	39.3%	8.8%	35.1%	52.7%	33.9%	8.0%	-1.1%	30.0M	-325.0M	-20.9M	0.86	8.41	N/A	N/A	160,318	137,825	2,357,970	1,663,410
2011-08-10	$24.20	$26.00	48.3%	11.3%	39.9%	70.6%	38.9%	10.1%	-3.4%	9.2M	490.5M	-19.5M	0.72	5.57	N/A	N/A	107,101	77,161	2,382,444	1,695,393
2011-08-11	$25.19	$26.00	35.4%	10.2%	42.9%	44.9%	35.2%	8.3%	-2.4%	23.3M	-79.4M	-20.4M	0.89	4.35	N/A	N/A	89,305	79,580	2,391,378	1,691,316
2011-08-12	$25.10	$26.00	32.6%	9.3%	42.6%	39.2%	34.3%	8.2%	-1.1%	20.2M	-14.1M	-20.1M	1.13	4.65	N/A	N/A	61,474	69,430	2,408,674	1,702,626
2011-08-15	$25.51	$26.00	27.9%	8.0%	43.1%	29.9%	29.8%	7.2%	0.3%	28.4M	-222.6M	-20.1M	0.08	4.41	N/A	N/A	785,482	59,625	2,397,224	1,701,510
2011-08-16	$25.35	$26.00	30.2%	8.7%	40.8%	34.5%	32.1%	7.4%	-0.5%	28.5M	-184.2M	-20.1M	1.25	3.73	N/A	N/A	74,122	92,535	2,406,980	1,703,449
2011-08-17	$25.25	$26.00	29.0%	8.3%	40.5%	32.1%	29.4%	7.0%	0.3%	24.2M	-80.1M	-20.1M	0.67	3.88	N/A	N/A	51,250	34,161	2,421,296	1,746,113
2011-08-18	$24.67	$26.00	35.3%	10.1%	41.1%	44.8%	38.9%	10.2%	-1.7%	11.3M	222.6M	-19.8M	1.12	5.46	N/A	N/A	74,568	83,522	2,415,201	1,716,717
2011-08-19	$24.05	$26.00	37.6%	10.8%	40.9%	49.4%	37.5%	11.3%	-1.4%	-49.2M	584.2M	-19.0M	1.02	4.30	N/A	N/A	78,072	79,933	2,425,516	1,736,941
2011-08-22	$23.98	$26.00	37.4%	10.7%	40.2%	48.9%	37.9%	12.2%	-1.6%	10.1M	395.4M	-18.6M	0.87	4.55	N/A	N/A	70,313	60,981	2,233,668	1,567,847
2011-08-23	$24.72	$26.00	30.1%	8.6%	42.2%	34.4%	32.2%	10.9%	0.0%	20.3M	58.9M	-19.3M	1.06	4.89	N/A	N/A	66,020	69,987	2,259,736	1,589,912
2011-08-24	$24.90	$26.00	29.8%	8.5%	41.7%	33.7%	30.7%	10.8%	0.2%	23.2M	-40.5M	-19.7M	0.48	4.15	N/A	N/A	43,004	20,642	2,284,224	1,624,174
2011-08-25	$24.57	$26.00	32.7%	9.4%	41.2%	39.6%	35.4%	11.0%	-0.8%	19.8M	77.0M	-19.4M	1.01	5.32	N/A	N/A	33,184	33,628	2,294,966	1,622,884
2011-08-26	$25.25	$26.00	31.6%	8.8%	42.8%	37.4%	31.2%	9.8%	0.2%	29.1M	-325.6M	-20.1M	0.78	4.19	N/A	N/A	76,636	59,985	2,305,802	1,636,099
2011-08-29	$25.84	$26.00	30.4%	7.4%	43.9%	34.9%	25.8%	8.6%	1.5%	40.3M	-639.6M	-20.2M	0.75	4.25	N/A	N/A	48,570	36,544	2,300,594	1,642,101
2011-08-30	$26.23	$26.00	31.7%	7.6%	43.9%	37.5%	28.0%	5.9%	1.6%	53.2M	-1.01B	-20.7M	0.46	5.67	N/A	N/A	97,130	44,755	2,321,481	1,658,788
2011-08-31	$26.60	$26.00	30.8%	7.2%	44.2%	35.7%	28.5%	6.6%	2.0%	60.9M	-1.25B	-21.3M	1.26	4.86	N/A	N/A	87,971	110,791	2,345,338	1,672,040