MSFT Options History — September 2011

In September 2011, MSFT traded between $24.89 and $27.21. ATM implied volatility averaged 32.5%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 2.8% (HV 20d: 29.7%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2011-09-22: Highest Volume — 275,034 contracts
2011-09-06: Largest IV spike — 34.4% change
2011-09-30: Highest IV Rank — 52.1%
2011-09-30: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.97	$24.89	$27.21	$26.21	$24.89
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	32.5%	26.0%	39.0%	27.8%	39.0%
Expected Move	9.4%	7.8%	11.2%	7.9%	11.2%
HV 20d	29.7%	23.6%	42.7%	42.5%	26.8%
HV 60d	31.6%	31.1%	32.2%	31.1%	32.2%
IV Rank	39.2%	26.1%	52.1%	29.9%	52.1%
IV Percentile	92.8%	85.3%	98.8%	88.9%	98.8%
Term Structure	-0.3%	-1.8%	1.8%	1.0%	-1.7%
VWIV	33.3%	26.0%	40.2%	26.0%	40.2%
Skew 25d	8.3%	6.3%	9.3%	6.3%	8.7%
Skew 10d	17.2%	13.4%	19.9%	14.2%	17.0%
Call IV 25d	29.3%	24.2%	35.9%	24.7%	35.9%
Put IV 25d	37.6%	31.1%	44.6%	31.1%	44.6%
Bid-Ask Spread %	4.43	3.15	6.13	4.36	4.40
Gamma HHI	0.11	0.08	0.30	0.10	0.08
Net GEX	49.2M	12.6M	133.9M	49.9M	20.1M
Net DEX	-745.2M	-1.83B	98.9M	-934.7M	98.9M
Net VEX	-20.0M	-20.6M	-18.9M	-20.6M	-18.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.27	1.55	0.46	0.96
Total Volume	134,938.048	72,395	275,034	89,372	133,964
Total OI	4,032,399.286	3,768,126	4,211,694	4,039,946	4,068,018

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
2011-09-01	$26.21	$26.00	27.8%	7.9%	42.5%	29.9%	26.0%	6.3%	1.0%	49.9M	-934.7M	-20.6M	0.46	4.36	N/A	N/A	61,264	28,108	2,351,101	1,688,845
2011-09-02	$25.80	$26.00	26.0%	8.0%	42.7%	26.1%	29.9%	6.8%	1.8%	40.7M	-604.1M	-20.4M	1.16	5.37	N/A	N/A	60,317	69,666	2,353,767	1,685,557
2011-09-06	$25.51	$26.00	34.9%	9.0%	39.1%	43.9%	32.7%	8.6%	-0.1%	34.1M	-401.0M	-19.9M	0.45	5.84	N/A	N/A	64,189	29,051	2,348,396	1,691,970
2011-09-07	$26.00	$26.00	30.0%	8.7%	36.4%	34.1%	30.4%	8.2%	-0.1%	48.9M	-740.9M	-20.2M	0.47	4.44	N/A	N/A	67,590	31,705	2,364,481	1,702,014
2011-09-08	$26.22	$26.00	30.4%	8.8%	29.8%	35.0%	30.0%	8.0%	-0.2%	61.0M	-1.01B	-20.1M	0.46	4.38	N/A	N/A	93,785	43,169	2,384,958	1,708,970
2011-09-09	$25.74	$26.00	34.4%	9.8%	27.6%	42.9%	36.3%	9.1%	-1.0%	41.5M	-603.8M	-20.2M	0.62	3.74	N/A	N/A	81,078	50,657	2,408,033	1,726,140
2011-09-12	$25.89	$26.00	35.0%	9.9%	27.5%	44.2%	35.6%	9.0%	-0.8%	46.5M	-723.6M	-20.3M	0.64	3.57	N/A	N/A	44,194	28,201	2,404,191	1,730,419
2011-09-13	$26.04	$26.00	30.3%	9.5%	27.1%	34.7%	33.5%	8.2%	-0.4%	53.3M	-848.8M	-20.3M	0.41	3.15	N/A	N/A	83,502	33,863	2,413,368	1,737,808
2011-09-14	$26.50	$26.00	30.6%	9.2%	27.5%	35.3%	32.7%	8.7%	-0.2%	73.3M	-1.22B	-20.5M	0.47	3.64	N/A	N/A	84,115	39,289	2,434,838	1,744,340
2011-09-15	$26.99	$26.00	28.6%	8.2%	28.0%	31.3%	30.0%	7.8%	0.5%	103.4M	-1.68B	-20.6M	0.75	3.16	N/A	N/A	94,567	71,227	2,439,631	1,754,263
2011-09-16	$27.12	$26.00	27.2%	7.8%	26.2%	28.5%	27.6%	7.2%	0.7%	133.9M	-1.83B	-20.4M	0.27	3.47	N/A	N/A	212,524	57,895	2,432,890	1,778,804
2011-09-19	$27.21	$26.00	28.5%	8.2%	23.6%	31.1%	29.5%	7.1%	0.6%	60.7M	-1.52B	-20.3M	1.27	3.37	N/A	N/A	51,002	64,802	2,202,875	1,565,251
2011-09-20	$26.98	$26.00	28.1%	8.1%	24.0%	30.4%	29.3%	7.7%	0.5%	58.2M	-1.37B	-20.3M	0.91	6.13	N/A	N/A	50,272	45,747	2,232,266	1,597,777
2011-09-21	$25.99	$26.00	32.0%	9.2%	26.7%	38.2%	31.3%	8.0%	-1.0%	39.6M	-653.6M	-19.7M	0.81	4.68	N/A	N/A	92,537	74,503	2,241,019	1,608,027
2011-09-22	$25.06	$26.00	38.1%	10.9%	30.0%	50.4%	38.5%	9.1%	-1.4%	24.7M	-87.9M	-19.3M	1.04	5.07	N/A	N/A	134,749	140,285	2,263,184	1,638,993
2011-09-23	$25.06	$26.00	37.8%	10.8%	29.6%	49.7%	37.8%	8.6%	-1.1%	12.6M	-76.5M	-19.3M	0.65	3.87	N/A	N/A	106,026	68,609	2,296,233	1,688,831
2011-09-26	$25.44	$26.00	37.2%	10.7%	28.4%	48.4%	37.8%	8.8%	-0.8%	31.9M	-331.5M	-19.5M	1.13	4.88	N/A	N/A	41,272	46,794	2,282,178	1,679,342
2011-09-27	$25.67	$26.00	33.1%	9.5%	27.3%	40.3%	35.1%	9.2%	0.1%	35.2M	-445.1M	-19.4M	1.26	5.37	N/A	N/A	55,349	69,671	2,284,904	1,688,988
2011-09-28	$25.57	$26.00	35.5%	10.2%	26.8%	45.1%	37.8%	9.0%	-1.4%	33.7M	-390.4M	-19.6M	1.55	5.69	N/A	N/A	58,599	90,793	2,299,250	1,715,299
2011-09-29	$25.45	$26.00	38.5%	11.0%	26.2%	51.1%	36.8%	9.3%	-1.8%	30.1M	-272.7M	-19.6M	0.76	4.46	N/A	N/A	44,782	33,987	2,306,435	1,736,731
2011-09-30	$24.89	$26.00	39.0%	11.2%	26.8%	52.1%	40.2%	8.7%	-1.7%	20.1M	98.9M	-18.9M	0.96	4.40	N/A	N/A	68,333	65,631	2,322,634	1,745,384