MSFT Options History — March 2012 In March 2012, MSFT traded between $31.56 and $32.85. ATM implied volatility averaged 18.5%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.9% (HV 20d: 16.6%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2012-03-01 : Highest Volume — 274,491 contracts2012-03-06 : Largest IV spike — 30.1% change2012-03-06 : Highest IV Rank — 22.8%2012-03-06 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $32.20 $31.56 $32.85 $32.29 $32.26 Max Pain $29.64 $29.00 $30.00 $30.00 $30.00 ATM IV 18.5% 15.4% 24.3% 17.6% 16.3% Expected Move 5.7% 5.2% 6.2% 5.3% 5.8% HV 20d 16.6% 13.4% 19.7% 18.3% 13.4% HV 60d 20.0% 18.7% 20.5% 20.4% 18.7% IV Rank 11.3% 5.2% 22.8% 9.5% 7.0% IV Percentile 19.2% 1.2% 61.5% 7.1% 4.0% Term Structure 0.5% -0.6% 3.0% 2.9% -0.5% VWIV 20.2% 18.7% 22.4% 19.3% 20.2% Skew 25d 1.9% 0.9% 3.3% 1.4% 1.7% Skew 10d 4.5% 2.4% 8.5% 3.5% 5.2% Call IV 25d 19.3% 17.9% 21.1% 18.4% 19.5% Put IV 25d 21.2% 19.6% 24.4% 19.8% 21.2% Bid-Ask Spread % 4.47 2.15 10.18 7.49 10.18 Gamma HHI 0.12 0.11 0.14 0.14 0.12 Net GEX 81.8M 69.0M 101.6M 95.1M 81.1M Net DEX -2.97B -3.55B -2.55B -3.26B -2.93B Net VEX -18.0M -19.2M -16.6M -18.5M -16.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.43 1.63 0.68 0.95 Total Volume 105,304.409 46,767 274,491 274,491 54,565 Total OI 3,337,529.136 3,132,059 3,536,629 3,299,388 3,358,309
Daily Data (22 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 2012-03-01 $32.29 $30.00 17.6% 5.3% 18.3% 9.5% 19.3% 1.4% 2.9% 95.1M -3.26B -18.5M 0.68 7.49 N/A N/A 163,528 110,963 1,818,504 1,480,884 2012-03-02 $32.08 $30.00 17.3% 5.2% 18.6% 8.8% 18.7% 1.5% 3.0% 92.7M -3.09B -19.0M 0.88 2.15 N/A N/A 53,878 47,180 1,847,785 1,534,090 2012-03-05 $31.80 $29.00 18.7% 6.0% 18.9% 11.6% 21.7% 2.7% 0.8% 85.1M -2.86B -18.7M 1.18 3.81 N/A N/A 36,874 43,401 1,842,978 1,509,150 2012-03-06 $31.56 $29.00 24.3% 6.2% 19.2% 22.8% 22.4% 3.3% 0.3% 75.9M -2.61B -19.2M 1.13 5.43 N/A N/A 54,308 61,366 1,847,448 1,524,233 2012-03-07 $31.84 $29.00 18.5% 6.0% 19.4% 11.2% 22.2% 2.9% 0.6% 83.6M -2.86B -19.1M 0.71 4.52 N/A N/A 31,370 22,178 1,863,624 1,541,551 2012-03-08 $32.01 $29.00 18.2% 6.0% 19.2% 10.6% 20.9% 2.6% 0.3% 92.9M -3.04B -18.5M 0.62 3.82 N/A N/A 52,661 32,734 1,866,905 1,546,726 2012-03-09 $31.99 $29.00 16.1% 5.8% 19.2% 6.5% 20.9% 2.3% 0.7% 97.0M -3.03B -18.4M 0.67 5.07 N/A N/A 38,131 25,368 1,871,734 1,551,522 2012-03-12 $32.04 $29.00 16.8% 5.9% 18.8% 7.9% 20.7% 2.4% 0.1% 101.6M -3.07B -18.2M 1.43 3.30 N/A N/A 44,900 64,343 1,868,705 1,537,929 2012-03-13 $32.67 $29.00 15.6% 5.5% 19.7% 5.5% 20.1% 2.4% 0.4% 92.0M -3.51B -17.7M 0.52 4.37 N/A N/A 101,201 52,977 1,865,391 1,579,183 2012-03-14 $32.77 $29.00 15.4% 5.6% 19.0% 5.2% 20.4% 2.4% 0.5% 90.1M -3.54B -17.7M 1.63 4.52 N/A N/A 54,865 89,419 1,861,782 1,581,568 2012-03-15 $32.85 $30.00 20.0% 5.7% 18.6% 14.2% 20.2% 2.4% 0.4% 87.1M -3.55B -17.7M 0.51 3.91 N/A N/A 85,895 43,658 1,859,830 1,628,324 2012-03-16 $32.60 $30.00 19.3% 5.5% 13.4% 12.8% 19.7% 2.1% 0.4% 72.8M -3.34B -18.1M 0.43 3.76 N/A N/A 73,348 31,802 1,885,432 1,651,197 2012-03-19 $32.20 $30.00 19.5% 5.6% 14.3% 13.2% 19.7% 1.8% 0.5% 69.9M -2.69B -18.0M 0.73 3.52 N/A N/A 67,799 49,448 1,745,121 1,386,938 2012-03-20 $31.99 $30.00 19.7% 5.6% 14.4% 13.7% 19.8% 1.5% 0.1% 69.2M -2.55B -18.1M 0.84 2.83 N/A N/A 57,114 47,850 1,759,754 1,398,935 2012-03-21 $31.91 $30.00 18.9% 5.4% 14.3% 12.0% 19.1% 1.3% 0.5% 71.4M -2.57B -17.8M 0.78 4.38 N/A N/A 34,713 27,142 1,781,679 1,419,212 2012-03-22 $32.00 $30.00 19.1% 5.5% 14.3% 12.4% 19.3% 1.4% 0.2% 74.4M -2.62B -17.8M 0.61 4.02 N/A N/A 41,170 25,016 1,792,100 1,433,663 2012-03-23 $32.01 $30.00 18.6% 5.3% 14.3% 11.4% 18.9% 1.1% 0.6% 70.9M -2.62B -17.9M 0.62 4.29 N/A N/A 28,902 17,865 1,801,253 1,441,405 2012-03-26 $32.59 $30.00 18.2% 5.2% 15.4% 10.6% 18.7% 1.7% 0.1% 79.2M -3.00B -17.3M 1.15 4.36 N/A N/A 31,706 36,330 1,791,464 1,438,500 2012-03-27 $32.52 $30.00 19.1% 5.5% 14.4% 12.4% 19.5% 1.5% -0.6% 75.2M -3.03B -16.6M 0.80 3.96 N/A N/A 109,175 87,535 1,798,478 1,453,721 2012-03-28 $32.19 $30.00 19.8% 5.7% 14.9% 13.9% 19.9% 0.9% 0.1% 73.1M -2.82B -17.6M 0.57 3.66 N/A N/A 54,128 30,921 1,875,749 1,450,397 2012-03-29 $32.12 $30.00 20.8% 6.0% 13.5% 15.8% 21.2% 1.5% -0.6% 69.0M -2.73B -18.2M 0.62 4.88 N/A N/A 61,191 37,779 1,879,730 1,452,758 2012-03-30 $32.26 $30.00 16.3% 5.8% 13.4% 7.0% 20.2% 1.7% -0.5% 81.1M -2.93B -16.9M 0.95 10.18 N/A N/A 27,919 26,646 1,897,567 1,460,742
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