MSFT Options History — October 2011 In October 2011, MSFT traded between $24.53 and $27.31. ATM implied volatility averaged 28.8%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.3% (HV 20d: 26.6%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.77.
Notable Days 2011-10-20 : Highest Volume — 502,787 contracts2011-10-31 : Largest IV spike — 25.2% change2011-10-03 : Highest IV Rank — 66.0%2011-10-03 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $26.70 $24.53 $27.31 $24.53 $26.63 Max Pain $26.05 $26.00 $27.00 $26.00 $26.00 ATM IV 28.8% 20.2% 46.0% 46.0% 25.3% Expected Move 8.2% 6.1% 11.8% 11.8% 6.5% HV 20d 26.6% 21.6% 30.4% 26.7% 22.2% HV 60d 32.6% 31.5% 33.8% 32.3% 31.5% IV Rank 31.8% 14.7% 66.0% 66.0% 24.9% IV Percentile 77.1% 31.7% 99.2% 99.2% 70.2% Term Structure -0.8% -2.2% 0.4% -1.9% 0.4% VWIV 29.4% 22.0% 41.2% 41.2% 24.5% Skew 25d 7.2% 4.7% 9.6% 8.7% 5.0% Skew 10d 14.9% 8.8% 19.8% 17.2% 8.8% Call IV 25d 25.7% 19.8% 39.0% 39.0% 21.8% Put IV 25d 32.9% 24.5% 47.7% 47.7% 26.8% Bid-Ask Spread % 3.40 2.44 5.20 4.83 2.90 Gamma HHI 0.11 0.08 0.18 0.08 0.10 Net GEX 59.7M 13.2M 90.1M 13.2M 40.5M Net DEX -1.12B -1.77B 270.1M 270.1M -811.3M Net VEX -18.9M -19.9M -17.6M -18.5M -17.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.33 1.75 0.63 0.33 Total Volume 179,178.81 63,138 502,787 123,147 131,952 Total OI 4,088,936.429 3,565,658 4,578,600 4,061,487 3,780,570
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 2011-10-03 $24.53 $26.00 46.0% 11.8% 26.7% 66.0% 41.2% 8.7% -1.9% 13.2M 270.1M -18.5M 0.63 4.83 N/A N/A 75,554 47,593 2,314,542 1,746,945 2011-10-04 $25.34 $26.00 40.2% 10.8% 29.2% 54.4% 37.4% 7.9% -0.8% 30.0M -213.1M -19.3M 0.89 3.56 N/A N/A 71,399 63,801 2,336,431 1,759,678 2011-10-05 $25.89 $26.00 33.7% 9.8% 29.4% 41.6% 35.2% 7.7% -0.5% 42.9M -588.7M -19.6M 0.68 5.20 N/A N/A 121,267 82,189 2,329,720 1,773,834 2011-10-06 $26.34 $26.00 31.6% 9.5% 29.9% 37.2% 33.2% 6.6% 0.1% 54.5M -961.3M -19.9M 0.66 3.31 N/A N/A 37,941 25,197 2,356,489 1,787,962 2011-10-07 $26.25 $26.00 30.4% 9.5% 29.1% 35.0% 33.9% 9.6% -1.2% 49.5M -874.8M -19.6M 1.09 3.60 N/A N/A 52,200 56,932 2,357,558 1,790,309 2011-10-10 $26.94 $26.00 25.9% 8.4% 30.4% 26.1% 31.3% 8.9% -0.6% 69.0M -1.36B -19.4M 0.58 2.84 N/A N/A 72,034 41,487 2,344,625 1,786,418 2011-10-11 $27.00 $26.00 27.1% 8.2% 30.4% 28.3% 28.0% 8.7% -0.4% 73.3M -1.44B -19.4M 0.50 2.77 N/A N/A 106,739 52,880 2,355,885 1,788,587 2011-10-12 $26.96 $26.00 30.8% 8.0% 29.8% 35.7% 28.0% 7.6% -1.2% 74.0M -1.39B -19.2M 0.40 3.33 N/A N/A 267,364 107,772 2,376,080 1,806,472 2011-10-13 $27.18 $26.00 27.9% 8.0% 29.3% 30.0% 29.7% 7.7% -1.4% 85.2M -1.66B -19.6M 0.93 2.44 N/A N/A 63,407 58,761 2,469,569 1,830,085 2011-10-14 $27.27 $26.00 27.8% 8.0% 29.2% 29.7% 27.7% 7.0% -1.2% 90.1M -1.77B -19.6M 0.65 3.28 N/A N/A 97,444 63,111 2,483,198 1,842,006 2011-10-17 $26.98 $26.00 28.6% 8.2% 29.5% 31.4% 30.2% 7.2% -1.4% 79.5M -1.43B -19.2M 0.97 2.79 N/A N/A 58,233 56,520 2,470,182 1,849,709 2011-10-18 $27.31 $26.00 28.0% 8.0% 29.6% 30.1% 28.1% 6.7% -1.2% 88.1M -1.76B -19.0M 0.94 4.77 N/A N/A 47,523 44,673 2,467,705 1,856,841 2011-10-19 $27.13 $26.00 29.3% 8.4% 26.2% 32.7% 28.4% 6.9% -1.5% 81.2M -1.58B -19.2M 0.80 2.71 N/A N/A 82,163 65,747 2,475,852 1,867,486 2011-10-20 $27.04 $26.00 30.1% 8.6% 22.0% 34.3% 31.0% 6.8% -2.2% 75.8M -1.44B -19.2M 1.01 3.58 N/A N/A 250,118 252,669 2,496,404 1,907,762 2011-10-21 $27.16 $26.00 25.1% 7.2% 22.0% 24.5% 25.2% 7.0% -0.2% 85.7M -1.70B -18.7M 0.73 3.06 N/A N/A 202,232 147,640 2,576,295 2,002,305 2011-10-24 $27.19 $26.00 23.8% 6.8% 21.6% 21.8% 24.7% 6.6% -0.5% 47.7M -1.15B -18.0M 0.84 3.59 N/A N/A 81,951 69,236 2,042,748 1,522,910 2011-10-25 $26.81 $26.00 24.5% 7.0% 22.4% 23.3% 25.7% 6.7% -0.2% 38.1M -874.6M -18.3M 1.75 3.79 N/A N/A 69,166 120,785 2,080,993 1,544,764 2011-10-26 $26.59 $27.00 24.7% 7.1% 22.6% 23.7% 27.1% 6.7% -0.8% 31.5M -688.1M -18.2M 0.78 2.87 N/A N/A 109,163 85,001 2,097,619 1,593,261 2011-10-27 $27.25 $26.00 23.9% 6.9% 23.8% 22.1% 24.6% 6.9% -1.1% 56.0M -1.22B -18.4M 0.49 2.96 N/A N/A 91,691 45,140 2,160,164 1,627,832 2011-10-28 $26.98 $26.00 20.2% 6.1% 22.4% 14.7% 22.0% 4.7% 0.0% 48.2M -947.0M -17.9M 0.63 3.28 N/A N/A 114,157 71,923 2,178,192 1,631,678 2011-10-31 $26.63 $26.00 25.3% 6.5% 22.2% 24.9% 24.5% 5.0% 0.4% 40.5M -811.3M -17.6M 0.33 2.90 N/A N/A 99,499 32,453 2,165,265 1,615,305
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