MSFT Options History — April 2012 In April 2012, MSFT traded between $30.34 and $32.42. ATM implied volatility averaged 20.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.4% (HV 20d: 19.3%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.75.
Notable Days 2012-04-25 : Highest Volume — 487,416 contracts2012-04-09 : Largest IV spike — 29.6% change2012-04-11 : Highest IV Rank — 30.9%2012-04-10 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $31.50 $30.34 $32.42 $32.29 $32.02 Max Pain $30.55 $30.00 $32.00 $30.00 $32.00 ATM IV 20.7% 15.7% 28.3% 19.1% 17.0% Expected Move 6.1% 5.0% 7.1% 6.1% 5.1% HV 20d 19.3% 13.0% 24.9% 13.0% 24.0% HV 60d 19.0% 17.0% 20.3% 18.6% 19.0% IV Rank 14.8% 4.0% 30.9% 12.4% 6.6% IV Percentile 35.5% 1.6% 79.0% 24.2% 6.0% Term Structure -0.9% -1.9% 0.4% -1.3% 0.1% VWIV 21.7% 17.7% 25.5% 21.3% 18.6% Skew 25d 2.5% 0.9% 5.2% 1.7% 0.9% Skew 10d 5.7% 1.5% 12.3% 3.4% 1.5% Call IV 25d 20.2% 16.8% 22.5% 20.4% 17.5% Put IV 25d 22.8% 18.3% 27.6% 22.1% 18.3% Bid-Ask Spread % 3.95 2.30 8.04 4.30 5.10 Gamma HHI 0.11 0.10 0.14 0.12 0.11 Net GEX 73.4M 50.8M 91.5M 77.3M 80.8M Net DEX -2.26B -3.46B -1.37B -2.91B -2.63B Net VEX -17.3M -18.3M -15.7M -17.4M -17.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.15 2.08 0.56 0.51 Total Volume 165,822.6 52,072 487,416 52,819 52,072 Total OI 3,399,482.65 3,029,720 3,701,251 3,350,090 3,252,419
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 2012-04-02 $32.29 $30.00 19.1% 6.1% 13.0% 12.4% 21.3% 1.7% -1.3% 77.3M -2.91B -17.4M 0.56 4.30 N/A N/A 33,891 18,928 1,893,942 1,456,148 2012-04-03 $31.94 $30.00 19.0% 6.0% 13.3% 12.2% 21.1% 2.0% -1.1% 72.4M -2.58B -18.1M 0.79 3.49 N/A N/A 69,427 54,698 1,903,503 1,463,602 2012-04-04 $31.21 $30.00 20.6% 6.6% 15.4% 15.5% 23.0% 1.9% -1.8% 70.8M -2.08B -17.5M 0.59 3.73 N/A N/A 72,966 43,065 1,928,133 1,480,071 2012-04-05 $31.52 $30.00 16.1% 6.3% 15.7% 6.4% 22.5% 1.8% -1.6% 73.4M -2.30B -17.6M 0.91 3.79 N/A N/A 49,907 45,633 1,939,403 1,480,596 2012-04-09 $31.10 $30.00 20.8% 6.5% 16.3% 15.8% 22.5% 3.3% -0.9% 67.1M -2.03B -17.4M 1.82 3.03 N/A N/A 49,279 89,694 1,931,010 1,482,724 2012-04-10 $30.47 $30.00 26.8% 7.1% 17.6% 27.7% 24.3% 5.2% -0.9% 50.8M -1.42B -18.3M 0.81 4.50 N/A N/A 97,741 78,723 1,945,713 1,530,164 2012-04-11 $30.34 $30.00 28.3% 7.0% 15.6% 30.9% 25.5% 4.3% -1.2% 54.0M -1.37B -18.1M 1.05 3.32 N/A N/A 84,724 88,665 1,960,483 1,537,890 2012-04-12 $30.98 $30.00 22.6% 6.5% 17.8% 19.4% 24.2% 3.1% -0.6% 66.9M -1.92B -17.8M 0.69 3.63 N/A N/A 53,316 36,948 1,989,305 1,572,979 2012-04-13 $30.81 $30.00 23.5% 6.7% 17.7% 21.3% 23.2% 3.2% -1.6% 67.8M -1.73B -18.1M 0.48 3.91 N/A N/A 64,860 31,267 1,990,855 1,562,677 2012-04-16 $31.07 $30.00 22.8% 6.5% 18.0% 18.5% 23.3% 3.1% -1.2% 72.1M -1.97B -17.8M 0.75 3.00 N/A N/A 43,416 32,352 1,992,943 1,556,723 2012-04-17 $31.44 $30.00 22.6% 6.5% 18.3% 17.9% 23.2% 3.0% -1.6% 77.6M -2.34B -17.0M 2.08 2.93 N/A N/A 49,846 103,723 2,002,111 1,557,211 2012-04-18 $31.14 $31.00 22.0% 6.3% 18.5% 16.9% 23.6% 3.2% -1.0% 72.0M -2.03B -16.9M 0.37 2.89 N/A N/A 91,440 34,042 1,996,801 1,557,016 2012-04-19 $31.01 $31.00 23.4% 6.7% 18.5% 19.7% 23.3% 2.7% -1.9% 72.5M -1.94B -17.1M 0.58 8.04 N/A N/A 274,105 159,248 2,025,134 1,569,837 2012-04-20 $32.42 $31.00 19.8% 5.7% 24.6% 12.3% 20.0% 2.2% -0.7% 86.3M -3.46B -16.1M 0.30 6.23 N/A N/A 374,102 111,060 2,080,320 1,620,931 2012-04-23 $32.12 $31.00 19.5% 5.6% 24.9% 11.7% 20.1% 2.0% -0.5% 74.5M -2.43B -16.3M 0.66 3.17 N/A N/A 69,315 45,418 1,722,367 1,307,353 2012-04-24 $31.92 $31.00 19.0% 5.4% 24.1% 10.6% 19.4% 2.0% -0.7% 72.7M -2.27B -15.8M 0.77 3.09 N/A N/A 62,772 48,562 1,719,274 1,323,119 2012-04-25 $32.20 $31.00 18.1% 5.2% 24.3% 9.0% 18.3% 2.0% -0.1% 81.2M -2.45B -15.7M 0.15 2.30 N/A N/A 424,046 63,370 1,739,832 1,334,194 2012-04-26 $32.11 $31.00 17.6% 5.1% 24.1% 7.9% 18.6% 1.7% 0.1% 86.1M -2.68B -18.1M 0.83 3.33 N/A N/A 56,530 46,705 1,916,967 1,368,650 2012-04-27 $31.98 $32.00 15.7% 5.0% 24.1% 4.0% 17.7% 1.2% 0.4% 91.5M -2.57B -18.2M 0.24 5.14 N/A N/A 88,854 21,742 1,923,898 1,373,355 2012-04-30 $32.02 $32.00 17.0% 5.1% 24.0% 6.6% 18.6% 0.9% 0.1% 80.8M -2.63B -17.1M 0.51 5.10 N/A N/A 34,529 17,543 1,893,420 1,358,999
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