MSFT Options History — November 2011

In November 2011, MSFT traded between $24.30 and $27.16. ATM implied volatility averaged 25.8%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.0% (HV 20d: 24.8%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2011-11-14: Highest Volume — 2,352,657 contracts
2011-11-09: Largest IV spike — 42.5% change
2011-11-01: Highest IV Rank — 40.5%
2011-11-23: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.83	$24.30	$27.16	$25.99	$25.58
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	25.8%	21.1%	33.2%	33.2%	22.5%
Expected Move	7.2%	6.1%	8.0%	7.9%	6.1%
HV 20d	24.8%	20.2%	28.2%	21.7%	28.2%
HV 60d	26.5%	25.4%	30.3%	30.3%	26.2%
IV Rank	25.8%	16.4%	40.5%	40.5%	19.2%
IV Percentile	68.6%	40.1%	91.3%	91.3%	50.8%
Term Structure	0.9%	-1.3%	2.8%	-1.3%	2.8%
VWIV	25.9%	21.5%	34.9%	27.5%	22.1%
Skew 25d	5.7%	3.9%	8.8%	8.8%	5.0%
Skew 10d	12.6%	9.3%	18.3%	18.3%	10.0%
Call IV 25d	23.1%	19.5%	25.8%	24.9%	19.7%
Put IV 25d	28.8%	24.6%	33.7%	33.7%	24.6%
Bid-Ask Spread %	4.03	2.86	5.71	3.94	4.41
Gamma HHI	0.11	0.08	0.16	0.10	0.10
Net GEX	28.5M	-3.4M	77.9M	23.7M	31.9M
Net DEX	-340.5M	-1.25B	436.9M	-308.2M	-393.6M
Net VEX	-16.6M	-17.7M	-15.2M	-17.6M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.03	1.00	0.63	0.31
Total Volume	243,351.333	59,307	2,352,657	200,143	146,433
Total OI	3,887,510.762	3,697,185	4,021,321	3,856,118	3,826,239

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
2011-11-01	$25.99	$26.00	33.2%	7.9%	21.7%	40.5%	27.5%	8.8%	-1.3%	23.7M	-308.2M	-17.6M	0.63	3.94	N/A	N/A	122,879	77,264	2,226,300	1,629,818
2011-11-02	$26.01	$26.00	28.2%	7.5%	20.4%	30.5%	28.6%	6.5%	-0.8%	25.0M	-318.9M	-17.4M	0.65	3.05	N/A	N/A	83,935	54,347	2,243,683	1,658,144
2011-11-03	$26.53	$26.00	22.3%	6.6%	20.7%	18.7%	24.9%	6.0%	0.9%	44.1M	-706.4M	-17.5M	0.60	2.86	N/A	N/A	53,389	32,133	2,254,182	1,659,527
2011-11-04	$26.25	$26.00	23.1%	6.9%	21.0%	20.4%	25.9%	6.1%	1.5%	32.8M	-492.7M	-16.8M	0.95	5.35	N/A	N/A	34,651	32,898	2,258,771	1,665,379
2011-11-07	$26.80	$26.00	22.9%	6.5%	20.2%	20.1%	22.6%	5.9%	0.6%	56.2M	-938.6M	-17.3M	0.44	4.79	N/A	N/A	56,332	24,704	2,248,502	1,664,411
2011-11-08	$27.16	$26.00	21.1%	6.1%	20.8%	16.4%	21.5%	5.3%	0.5%	77.6M	-1.25B	-17.4M	0.37	4.10	N/A	N/A	107,391	39,270	2,268,429	1,666,273
2011-11-09	$26.20	$26.00	30.0%	7.8%	24.5%	34.2%	25.8%	6.9%	-0.0%	34.4M	-472.5M	-17.6M	0.45	5.35	N/A	N/A	154,005	68,739	2,298,269	1,665,781
2011-11-10	$26.28	$26.00	26.2%	7.5%	24.3%	26.6%	26.7%	5.6%	0.7%	34.4M	-508.5M	-17.6M	0.51	5.66	N/A	N/A	54,850	27,837	2,316,544	1,692,463
2011-11-11	$26.91	$26.00	23.6%	6.8%	25.8%	21.5%	23.7%	4.7%	0.6%	77.9M	-993.5M	-17.7M	0.43	5.71	N/A	N/A	109,483	47,321	2,295,994	1,690,202
2011-11-14	$26.76	$26.00	24.3%	7.0%	25.6%	22.8%	34.9%	5.8%	0.4%	51.6M	-919.0M	-17.3M	0.03	4.24	N/A	N/A	2,285,243	67,414	2,297,359	1,690,679
2011-11-15	$26.74	$26.00	24.3%	7.0%	25.2%	22.8%	24.7%	5.9%	2.6%	54.6M	-901.4M	-17.2M	0.68	3.42	N/A	N/A	71,039	48,409	2,231,778	1,699,159
2011-11-16	$26.07	$26.00	25.3%	7.3%	26.6%	24.8%	23.8%	5.7%	1.1%	8.9M	-368.8M	-16.7M	0.64	3.84	N/A	N/A	57,928	36,901	2,256,938	1,717,065
2011-11-17	$25.54	$26.00	26.7%	7.7%	27.4%	27.6%	28.8%	6.3%	0.3%	-3.4M	14.9M	-16.7M	1.00	3.65	N/A	N/A	72,649	72,918	2,270,155	1,708,591
2011-11-18	$25.30	$26.00	26.4%	7.6%	27.4%	27.0%	26.5%	4.8%	1.1%	-467.2K	153.3M	-15.9M	0.31	3.80	N/A	N/A	319,800	98,364	2,289,684	1,731,637
2011-11-21	$25.00	$26.00	26.2%	7.5%	27.5%	26.6%	26.4%	6.5%	1.2%	13.0M	53.0M	-15.9M	0.62	3.41	N/A	N/A	64,000	39,491	2,136,556	1,560,629
2011-11-22	$24.79	$26.00	24.5%	7.0%	27.3%	23.2%	27.0%	5.0%	1.9%	8.5M	181.1M	-15.7M	0.51	3.12	N/A	N/A	80,923	41,269	2,152,760	1,568,178
2011-11-23	$24.47	$26.00	27.8%	8.0%	27.4%	29.7%	26.6%	4.9%	0.9%	4.2M	348.4M	-15.3M	0.34	4.00	N/A	N/A	113,540	38,823	2,168,729	1,584,490
2011-11-25	$24.30	$26.00	29.4%	7.8%	25.2%	33.0%	26.2%	4.8%	1.6%	2.0M	436.9M	-15.2M	0.55	3.10	N/A	N/A	38,384	20,923	2,187,614	1,594,319
2011-11-28	$24.87	$26.00	26.9%	7.0%	27.2%	28.1%	25.9%	5.1%	1.9%	11.6M	99.5M	-15.4M	0.40	3.91	N/A	N/A	87,493	34,603	2,177,354	1,592,771
2011-11-29	$24.84	$26.00	27.4%	6.8%	27.0%	29.0%	24.1%	3.9%	1.7%	9.8M	137.2M	-15.4M	0.55	2.98	N/A	N/A	59,543	32,860	2,181,171	1,611,199
2011-11-30	$25.58	$26.00	22.5%	6.1%	28.2%	19.2%	22.1%	5.0%	2.8%	31.9M	-393.6M	-15.8M	0.31	4.41	N/A	N/A	112,083	34,350	2,203,417	1,622,822