MSFT Options History — January 2012

In January 2012, MSFT traded between $26.77 and $29.73. ATM implied volatility averaged 21.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.9% (HV 20d: 22.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2012-01-20: Highest Volume — 506,644 contracts
2012-01-11: Largest IV spike — 31.6% change
2012-01-11: Highest IV Rank — 30.8%
2012-01-04: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.52	$26.77	$29.73	$26.77	$29.53
Max Pain	$26.20	$25.00	$27.00	$25.00	$27.00
ATM IV	21.1%	16.9%	28.3%	18.9%	20.0%
Expected Move	6.1%	5.1%	6.9%	6.7%	5.1%
HV 20d	22.0%	18.0%	25.5%	19.4%	25.5%
HV 60d	23.6%	22.6%	25.4%	22.6%	24.2%
IV Rank	16.5%	8.1%	30.8%	12.0%	14.3%
IV Percentile	33.8%	4.8%	78.6%	13.9%	25.4%
Term Structure	-0.9%	-2.2%	0.6%	-0.6%	0.6%
VWIV	22.0%	18.4%	24.6%	23.9%	18.4%
Skew 25d	3.4%	1.4%	5.0%	1.4%	3.1%
Skew 10d	7.5%	3.6%	10.8%	3.6%	7.7%
Call IV 25d	20.0%	17.0%	23.9%	23.5%	17.0%
Put IV 25d	23.4%	19.9%	26.1%	24.8%	20.1%
Bid-Ask Spread %	4.36	2.41	6.82	3.49	6.27
Gamma HHI	0.17	0.13	0.39	0.14	0.20
Net GEX	99.4M	69.8M	193.6M	69.8M	89.9M
Net DEX	-2.30B	-3.86B	-1.40B	-1.40B	-2.20B
Net VEX	-16.0M	-17.7M	-14.2M	-14.2M	-17.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.30	1.25	0.37	0.60
Total Volume	221,748.6	84,620	506,644	189,901	88,594
Total OI	3,751,160.7	2,786,583	4,560,372	3,893,026	3,005,112

Daily Data (20 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
2012-01-03	$26.77	$25.00	18.9%	6.7%	19.4%	12.0%	23.9%	1.4%	-0.6%	69.8M	-1.40B	-14.2M	0.37	3.49	N/A	N/A	138,497	51,404	2,244,727	1,648,299
2012-01-04	$27.40	$25.00	24.4%	6.9%	19.9%	23.0%	24.6%	2.2%	-0.8%	88.5M	-1.93B	-14.4M	0.43	3.54	N/A	N/A	200,854	86,996	2,275,807	1,644,717
2012-01-05	$27.68	$25.00	19.4%	6.9%	20.0%	13.1%	24.3%	2.5%	-2.2%	96.3M	-2.13B	-14.6M	0.64	3.18	N/A	N/A	110,600	70,882	2,317,822	1,664,730
2012-01-06	$28.11	$26.00	20.7%	6.5%	20.2%	15.6%	24.6%	3.9%	-1.1%	102.9M	-2.51B	-14.6M	0.59	4.28	N/A	N/A	201,488	118,518	2,320,004	1,697,094
2012-01-09	$27.74	$26.00	25.9%	6.6%	20.7%	26.1%	24.0%	3.5%	-1.4%	96.2M	-2.21B	-14.5M	0.70	3.87	N/A	N/A	114,799	80,719	2,343,233	1,726,712
2012-01-10	$27.84	$26.00	21.5%	6.5%	20.6%	17.2%	22.4%	4.2%	-1.3%	96.3M	-2.20B	-14.5M	0.36	3.75	N/A	N/A	133,411	48,461	2,351,706	1,762,421
2012-01-11	$27.72	$26.00	28.3%	6.6%	20.4%	30.8%	23.7%	3.2%	-1.2%	98.4M	-2.13B	-14.7M	0.85	5.74	N/A	N/A	102,556	87,138	2,418,106	1,771,759
2012-01-12	$28.00	$26.00	22.1%	6.3%	20.4%	18.3%	23.3%	4.4%	-1.4%	96.0M	-2.32B	-15.1M	0.69	6.82	N/A	N/A	106,180	73,609	2,429,410	1,814,646
2012-01-13	$28.25	$26.00	22.0%	6.3%	20.0%	18.3%	23.4%	4.5%	-1.6%	105.4M	-2.54B	-15.6M	0.30	3.77	N/A	N/A	319,755	97,482	2,453,102	1,855,594
2012-01-17	$28.25	$26.00	22.0%	6.3%	20.0%	18.3%	22.1%	3.9%	-2.0%	117.9M	-2.56B	-16.5M	0.61	4.49	N/A	N/A	181,894	110,718	2,510,531	1,864,663
2012-01-18	$28.23	$26.00	22.4%	6.4%	19.6%	19.0%	24.1%	5.0%	-1.7%	109.1M	-2.47B	-16.4M	0.69	4.46	N/A	N/A	151,056	104,608	2,517,534	1,904,018
2012-01-19	$28.12	$26.00	23.0%	6.6%	18.0%	20.2%	23.0%	3.9%	-2.2%	103.8M	-2.36B	-16.4M	0.45	5.46	N/A	N/A	205,127	92,419	2,544,743	1,955,263
2012-01-20	$29.71	$26.00	18.7%	5.4%	24.9%	11.7%	20.1%	3.1%	-0.0%	193.6M	-3.86B	-16.3M	0.44	3.74	N/A	N/A	352,421	154,223	2,577,261	1,983,111
2012-01-23	$29.73	$27.00	18.5%	5.3%	24.3%	11.3%	19.8%	3.5%	0.1%	89.9M	-2.41B	-16.8M	0.82	4.57	N/A	N/A	120,322	98,115	1,681,854	1,104,729
2012-01-24	$29.34	$27.00	19.2%	5.5%	25.3%	12.6%	19.6%	2.8%	-0.4%	87.4M	-2.12B	-17.1M	1.21	2.83	N/A	N/A	63,691	77,088	1,710,542	1,144,061
2012-01-25	$29.56	$27.00	18.2%	5.2%	25.3%	10.7%	19.4%	3.3%	0.1%	89.8M	-2.24B	-17.2M	0.75	4.17	N/A	N/A	76,438	57,296	1,723,820	1,170,707
2012-01-26	$29.50	$27.00	19.6%	5.6%	25.4%	13.4%	19.7%	3.3%	-0.2%	87.9M	-2.21B	-17.6M	1.25	5.03	N/A	N/A	37,658	46,962	1,746,166	1,199,212
2012-01-27	$29.23	$27.00	16.9%	5.3%	25.4%	8.1%	19.4%	2.5%	0.2%	83.1M	-1.97B	-17.4M	0.86	5.42	N/A	N/A	61,208	52,617	1,750,661	1,226,050
2012-01-30	$29.61	$27.00	20.6%	5.4%	25.5%	15.5%	20.3%	3.0%	0.1%	86.6M	-2.22B	-17.6M	0.99	2.41	N/A	N/A	80,067	79,101	1,744,857	1,218,430
2012-01-31	$29.53	$27.00	20.0%	5.1%	25.5%	14.3%	18.4%	3.1%	0.6%	89.9M	-2.20B	-17.7M	0.60	6.27	N/A	N/A	55,215	33,379	1,775,024	1,230,088