MSFT Options History — December 2011

In December 2011, MSFT traded between $25.22 and $26.04. ATM implied volatility averaged 21.8%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.6% (HV 20d: 22.4%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2011-12-16: Highest Volume — 190,346 contracts
2011-12-30: Largest IV drop — 25.8% change
2011-12-08: Highest IV Rank — 25.2%
2011-12-08: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.71	$25.22	$26.04	$25.28	$25.96
Max Pain	$25.10	$25.00	$26.00	$26.00	$25.00
ATM IV	21.8%	16.3%	25.5%	22.8%	16.3%
Expected Move	6.4%	5.9%	7.2%	6.6%	6.5%
HV 20d	22.4%	16.4%	28.4%	28.4%	16.4%
HV 60d	24.6%	22.0%	26.0%	26.0%	22.0%
IV Rank	17.9%	6.9%	25.2%	19.9%	6.9%
IV Percentile	43.1%	2.0%	67.9%	52.4%	2.0%
Term Structure	1.4%	0.6%	2.5%	1.7%	0.6%
VWIV	23.0%	21.5%	27.2%	22.6%	23.4%
Skew 25d	2.9%	1.6%	3.7%	2.4%	1.9%
Skew 10d	8.2%	4.7%	12.0%	6.9%	4.7%
Call IV 25d	21.8%	20.2%	23.9%	22.4%	22.1%
Put IV 25d	24.7%	23.3%	27.0%	24.8%	24.0%
Bid-Ask Spread %	3.06	2.15	4.95	4.75	2.38
Gamma HHI	0.15	0.10	0.52	0.10	0.15
Net GEX	44.8M	19.4M	184.7M	23.3M	53.2M
Net DEX	-421.5M	-702.8M	-126.4M	-126.4M	-665.7M
Net VEX	-14.7M	-15.6M	-13.9M	-15.6M	-13.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.38	1.31	0.59	1.02
Total Volume	102,367.095	51,999	190,346	100,473	71,455
Total OI	3,899,613.286	3,719,143	4,075,156	3,864,945	3,908,814

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
2011-12-01	$25.28	$26.00	22.8%	6.6%	28.4%	19.9%	22.6%	2.4%	1.7%	23.3M	-126.4M	-15.6M	0.59	4.75	N/A	N/A	63,361	37,112	2,234,750	1,630,195
2011-12-02	$25.22	$26.00	22.2%	6.5%	27.3%	18.6%	22.6%	1.8%	1.3%	19.4M	-159.3M	-15.3M	0.65	4.57	N/A	N/A	65,671	42,944	2,235,309	1,641,208
2011-12-05	$25.70	$25.00	24.5%	6.6%	28.1%	23.2%	23.7%	3.1%	1.6%	41.0M	-505.7M	-15.2M	0.57	3.64	N/A	N/A	61,401	34,830	2,243,102	1,633,721
2011-12-06	$25.66	$25.00	23.7%	6.5%	26.9%	21.5%	24.7%	3.1%	1.5%	36.1M	-382.5M	-15.3M	1.12	2.18	N/A	N/A	33,344	37,323	2,258,155	1,636,031
2011-12-07	$25.60	$25.00	22.5%	6.6%	26.3%	19.2%	23.7%	3.4%	1.6%	34.5M	-319.1M	-15.2M	1.15	2.99	N/A	N/A	41,837	47,938	2,267,220	1,645,390
2011-12-08	$25.40	$25.00	25.5%	7.2%	23.3%	25.2%	27.2%	3.0%	1.4%	29.9M	-276.8M	-15.1M	1.31	2.38	N/A	N/A	42,938	56,394	2,277,146	1,660,455
2011-12-09	$25.70	$25.00	19.1%	6.3%	23.8%	12.5%	23.1%	3.3%	1.7%	37.0M	-370.4M	-15.0M	0.57	2.49	N/A	N/A	61,267	34,993	2,284,542	1,672,957
2011-12-12	$25.51	$25.00	21.0%	6.3%	22.0%	16.3%	22.9%	3.5%	2.0%	27.4M	-217.7M	-14.6M	0.63	2.15	N/A	N/A	38,848	24,596	2,281,623	1,673,280
2011-12-13	$25.76	$25.00	21.6%	6.2%	22.4%	17.4%	23.1%	3.3%	2.0%	39.0M	-376.9M	-14.7M	0.77	2.70	N/A	N/A	65,888	50,822	2,291,278	1,680,200
2011-12-14	$25.59	$25.00	23.9%	6.4%	22.4%	22.1%	23.4%	3.0%	1.9%	31.6M	-246.3M	-14.7M	0.58	2.28	N/A	N/A	56,078	32,338	2,312,982	1,688,152
2011-12-15	$25.56	$25.00	21.6%	6.2%	20.7%	17.3%	22.3%	2.9%	1.7%	31.5M	-218.2M	-14.2M	0.67	2.66	N/A	N/A	61,833	41,290	2,326,909	1,687,939
2011-12-16	$26.00	$25.00	20.6%	5.9%	20.3%	15.4%	21.8%	2.9%	2.5%	184.7M	-638.2M	-14.7M	0.38	2.45	N/A	N/A	137,445	52,901	2,364,260	1,710,896
2011-12-19	$25.53	$25.00	21.6%	6.2%	21.1%	17.4%	22.5%	3.7%	1.5%	25.2M	-236.0M	-14.2M	0.88	3.31	N/A	N/A	75,464	66,506	2,161,493	1,557,650
2011-12-20	$26.02	$25.00	21.6%	6.2%	21.5%	17.5%	22.4%	3.0%	1.1%	43.4M	-632.0M	-14.6M	1.31	3.16	N/A	N/A	60,074	78,576	2,191,849	1,583,852
2011-12-21	$25.76	$25.00	21.7%	6.2%	21.6%	17.6%	22.9%	3.7%	0.8%	35.9M	-403.3M	-14.2M	1.16	2.36	N/A	N/A	79,898	92,329	2,206,248	1,590,365
2011-12-22	$25.81	$25.00	21.2%	6.1%	20.9%	16.6%	22.2%	3.1%	1.1%	39.4M	-502.8M	-14.3M	0.90	3.22	N/A	N/A	53,802	48,235	2,224,785	1,616,482
2011-12-23	$26.03	$25.00	20.9%	6.0%	20.7%	16.1%	21.5%	3.3%	1.1%	80.4M	-668.6M	-14.4M	0.53	2.48	N/A	N/A	46,999	24,795	2,238,814	1,636,176
2011-12-27	$26.04	$25.00	21.8%	6.2%	19.3%	17.8%	22.5%	1.6%	0.8%	44.0M	-702.8M	-14.2M	0.49	4.19	N/A	N/A	34,898	17,101	2,232,366	1,625,520
2011-12-28	$25.82	$25.00	22.5%	6.4%	19.7%	19.1%	22.8%	2.4%	1.0%	38.6M	-529.1M	-14.0M	0.58	3.03	N/A	N/A	72,111	41,798	2,248,291	1,631,366
2011-12-29	$26.02	$25.00	22.0%	6.3%	17.0%	18.1%	22.7%	2.0%	1.0%	45.6M	-674.3M	-14.1M	0.71	4.95	N/A	N/A	36,391	25,885	2,252,563	1,647,545
2011-12-30	$25.96	$25.00	16.3%	6.5%	16.4%	6.9%	23.4%	1.9%	0.6%	53.2M	-665.7M	-13.9M	1.02	2.38	N/A	N/A	35,388	36,067	2,254,619	1,654,195