MSFT Options History — February 2012

In February 2012, MSFT traded between $29.89 and $31.87. ATM implied volatility averaged 18.8%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.1% (HV 20d: 21.0%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.75.

Notable Days

2012-02-13: Highest Volume — 6,603,966 contracts
2012-02-08: Largest IV drop — 21.1% change
2012-02-16: Highest IV Rank — 16.9%
2012-02-16: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.82	$29.89	$31.87	$29.89	$31.74
Max Pain	$29.00	$27.00	$30.00	$27.00	$30.00
ATM IV	18.8%	16.1%	21.4%	18.6%	19.3%
Expected Move	5.3%	4.8%	6.1%	5.0%	5.0%
HV 20d	21.0%	17.5%	26.3%	24.0%	17.8%
HV 60d	21.8%	20.3%	24.0%	24.0%	20.3%
IV Rank	11.9%	6.4%	16.9%	11.4%	12.9%
IV Percentile	17.4%	2.0%	38.9%	13.5%	23.4%
Term Structure	2.0%	1.1%	2.8%	1.1%	2.3%
VWIV	19.9%	17.8%	35.0%	17.8%	18.4%
Skew 25d	2.1%	0.7%	3.5%	2.9%	0.7%
Skew 10d	5.5%	2.8%	8.1%	4.9%	2.8%
Call IV 25d	18.0%	15.7%	21.0%	16.4%	18.0%
Put IV 25d	20.1%	18.4%	22.4%	19.3%	18.8%
Bid-Ask Spread %	4.63	2.15	7.43	7.43	2.94
Gamma HHI	0.16	0.12	0.24	0.22	0.14
Net GEX	91.1M	49.0M	112.1M	98.4M	91.4M
Net DEX	-2.69B	-3.16B	-1.81B	-2.47B	-2.86B
Net VEX	-18.2M	-19.0M	-16.8M	-17.4M	-18.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.01	1.35	0.33	0.86
Total Volume	498,112.1	82,659	6,603,966	270,796	138,563
Total OI	3,183,386.55	2,981,776	3,354,436	3,027,394	3,296,639

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
2012-02-01	$29.89	$27.00	18.6%	5.0%	24.0%	11.4%	17.8%	2.9%	1.1%	98.4M	-2.47B	-17.4M	0.33	7.43	N/A	N/A	204,360	66,436	1,790,523	1,236,871
2012-02-02	$29.95	$27.00	16.9%	4.9%	23.1%	8.0%	18.0%	2.7%	1.6%	112.1M	-2.61B	-17.9M	0.49	4.38	N/A	N/A	123,534	61,052	1,877,904	1,260,677
2012-02-03	$30.24	$28.00	17.4%	5.1%	23.1%	9.1%	17.9%	3.5%	1.8%	105.4M	-2.83B	-17.8M	0.36	5.97	N/A	N/A	122,368	44,172	1,898,170	1,269,349
2012-02-06	$30.20	$28.00	18.5%	5.1%	22.8%	11.3%	18.0%	3.4%	1.7%	109.5M	-2.77B	-17.5M	0.90	5.78	N/A	N/A	46,240	41,527	1,897,079	1,274,429
2012-02-07	$30.35	$28.00	20.3%	5.2%	21.9%	14.9%	18.0%	3.0%	1.6%	110.9M	-2.97B	-16.8M	0.96	7.19	N/A	N/A	75,482	72,492	1,912,778	1,276,049
2012-02-08	$30.66	$28.00	16.1%	4.8%	22.0%	6.4%	18.5%	2.5%	2.2%	107.8M	-3.15B	-17.0M	1.04	6.17	N/A	N/A	80,478	83,708	1,923,816	1,313,857
2012-02-09	$30.77	$28.00	17.3%	5.0%	21.7%	8.9%	19.0%	2.7%	2.1%	102.2M	-3.16B	-18.0M	0.63	6.06	N/A	N/A	120,700	76,333	1,933,265	1,341,013
2012-02-10	$30.50	$28.00	19.0%	5.5%	22.2%	12.3%	20.6%	2.7%	2.4%	97.7M	-2.92B	-18.4M	0.65	7.03	N/A	N/A	108,704	70,211	1,951,935	1,376,792
2012-02-13	$30.58	$28.00	18.1%	5.2%	22.1%	10.3%	35.0%	3.0%	2.7%	99.3M	-2.94B	-18.4M	0.01	3.20	N/A	N/A	6,549,683	54,283	1,951,960	1,402,476
2012-02-14	$30.25	$30.00	19.2%	5.5%	22.7%	12.7%	19.7%	2.5%	2.3%	56.4M	-1.85B	-18.2M	0.54	4.41	N/A	N/A	161,157	86,741	1,625,363	1,430,992
2012-02-15	$30.05	$30.00	19.2%	5.5%	22.9%	12.7%	19.9%	2.9%	2.4%	49.0M	-1.81B	-18.9M	1.34	3.50	N/A	N/A	35,773	47,860	1,706,030	1,461,718
2012-02-16	$31.29	$30.00	21.4%	6.1%	26.3%	16.9%	21.8%	1.4%	1.3%	87.5M	-2.69B	-18.5M	0.62	2.15	N/A	N/A	269,682	167,818	1,697,176	1,476,308
2012-02-17	$31.25	$30.00	20.1%	5.7%	18.7%	14.3%	20.4%	1.7%	1.5%	84.5M	-2.70B	-18.0M	0.67	2.75	N/A	N/A	82,914	55,838	1,744,799	1,503,036
2012-02-21	$31.44	$30.00	19.1%	5.5%	18.7%	12.4%	20.0%	1.3%	2.1%	86.0M	-2.62B	-18.4M	0.94	3.04	N/A	N/A	113,612	107,133	1,704,010	1,277,766
2012-02-22	$31.27	$30.00	18.8%	5.4%	18.0%	11.8%	19.3%	1.1%	2.4%	84.1M	-2.55B	-18.9M	1.27	3.01	N/A	N/A	56,131	71,377	1,753,510	1,336,217
2012-02-23	$31.37	$30.00	18.6%	5.3%	18.0%	11.4%	18.7%	1.3%	2.1%	83.9M	-2.62B	-19.0M	0.58	3.28	N/A	N/A	58,375	33,764	1,771,861	1,359,697
2012-02-24	$31.48	$30.00	18.3%	5.1%	17.9%	10.9%	18.3%	1.0%	2.8%	85.3M	-2.76B	-18.5M	1.35	4.74	N/A	N/A	73,379	99,093	1,794,891	1,374,730
2012-02-27	$31.35	$30.00	18.9%	5.1%	17.5%	12.1%	18.5%	0.9%	2.6%	81.2M	-2.59B	-18.7M	1.16	3.75	N/A	N/A	38,318	44,341	1,786,293	1,432,174
2012-02-28	$31.87	$30.00	21.2%	5.3%	17.8%	16.7%	19.2%	0.9%	1.8%	88.9M	-2.97B	-18.5M	0.38	5.91	N/A	N/A	158,159	60,451	1,792,135	1,453,443
2012-02-29	$31.74	$30.00	19.3%	5.0%	17.8%	12.9%	18.4%	0.7%	2.3%	91.4M	-2.86B	-18.8M	0.86	2.94	N/A	N/A	74,632	63,931	1,821,597	1,475,042