MSFT Options History — May 2012

In May 2012, MSFT traded between $29.06 and $32.01. ATM implied volatility averaged 22.7%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.3% (HV 20d: 20.5%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2012-05-14: Highest Volume — 1,278,985 contracts
2012-05-30: Largest IV spike — 21.2% change
2012-05-30: Highest IV Rank — 34.1%
2012-05-18: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.23	$29.06	$32.01	$32.01	$29.19
Max Pain	$31.18	$31.00	$32.00	$32.00	$31.00
ATM IV	22.7%	17.1%	30.5%	17.2%	26.0%
Expected Move	6.4%	4.9%	7.8%	4.9%	7.0%
HV 20d	20.5%	14.7%	24.0%	24.0%	18.7%
HV 60d	19.1%	18.2%	19.7%	19.0%	19.1%
IV Rank	18.3%	6.8%	34.1%	7.2%	24.8%
IV Percentile	50.1%	6.3%	86.1%	6.3%	69.8%
Term Structure	1.5%	0.6%	2.7%	0.6%	1.6%
VWIV	22.8%	17.7%	26.8%	17.7%	24.0%
Skew 25d	3.5%	0.7%	5.1%	0.7%	3.9%
Skew 10d	7.5%	3.5%	11.5%	4.0%	7.6%
Call IV 25d	21.3%	16.8%	25.2%	17.1%	22.8%
Put IV 25d	24.8%	17.8%	30.4%	17.8%	26.7%
Bid-Ask Spread %	4.65	3.40	6.64	4.92	3.77
Gamma HHI	0.09	0.07	0.13	0.13	0.08
Net GEX	55.9M	36.5M	89.4M	89.4M	44.8M
Net DEX	-1.47B	-2.58B	-822.6M	-2.58B	-905.1M
Net VEX	-18.2M	-19.4M	-16.9M	-17.9M	-18.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.03	2.23	0.36	0.34
Total Volume	160,533.864	39,737	1,278,985	57,068	66,841
Total OI	3,374,660.091	3,248,287	3,547,550	3,324,996	3,333,484

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
2012-05-01	$32.01	$32.00	17.2%	4.9%	24.0%	7.2%	17.7%	0.7%	0.6%	89.4M	-2.58B	-17.9M	0.36	4.92	N/A	N/A	42,011	15,057	1,953,436	1,371,560
2012-05-02	$31.80	$32.00	17.8%	5.0%	23.8%	8.2%	18.1%	2.2%	0.6%	84.5M	-2.45B	-17.3M	0.73	6.64	N/A	N/A	28,364	20,715	1,961,560	1,375,415
2012-05-03	$31.76	$32.00	17.1%	5.1%	22.3%	6.8%	19.6%	1.8%	1.2%	83.7M	-2.43B	-17.3M	0.47	5.85	N/A	N/A	44,817	20,843	1,943,884	1,365,910
2012-05-04	$30.98	$31.00	18.9%	5.8%	23.8%	10.6%	20.5%	2.4%	1.5%	67.2M	-1.88B	-17.2M	0.46	3.76	N/A	N/A	90,243	41,388	1,955,091	1,373,357
2012-05-07	$30.65	$31.00	21.1%	5.7%	23.6%	14.9%	21.2%	2.4%	1.7%	61.7M	-1.69B	-16.9M	0.59	3.81	N/A	N/A	55,574	32,690	1,963,167	1,375,510
2012-05-08	$30.50	$31.00	23.3%	6.0%	22.5%	19.5%	20.8%	2.7%	2.1%	56.8M	-1.57B	-17.2M	0.50	4.32	N/A	N/A	120,200	59,640	1,981,940	1,389,210
2012-05-09	$30.76	$31.00	21.3%	6.0%	22.6%	15.4%	21.7%	3.3%	1.7%	59.5M	-1.71B	-18.3M	0.43	5.46	N/A	N/A	64,393	27,647	2,010,951	1,403,002
2012-05-10	$30.74	$31.00	21.1%	6.0%	21.3%	15.0%	22.4%	3.1%	1.7%	62.5M	-1.73B	-18.1M	0.56	4.94	N/A	N/A	60,751	33,864	2,021,128	1,407,018
2012-05-11	$31.16	$31.00	21.5%	6.2%	21.8%	15.7%	22.0%	2.5%	1.6%	70.8M	-2.08B	-18.1M	0.40	5.27	N/A	N/A	83,048	32,917	2,044,339	1,414,566
2012-05-14	$30.68	$31.00	22.4%	6.4%	22.3%	17.6%	25.2%	2.9%	1.0%	60.7M	-1.70B	-18.3M	0.03	3.49	N/A	N/A	1,240,802	38,183	2,061,881	1,415,257
2012-05-15	$30.21	$31.00	24.5%	7.0%	22.4%	21.8%	24.8%	3.7%	1.3%	46.6M	-1.34B	-18.9M	0.58	4.10	N/A	N/A	93,562	54,511	2,028,637	1,422,571
2012-05-16	$29.90	$31.00	24.8%	7.1%	22.4%	22.4%	26.7%	4.3%	1.2%	43.7M	-1.20B	-19.1M	2.23	6.23	N/A	N/A	72,372	161,118	2,076,027	1,421,734
2012-05-17	$29.72	$32.00	25.4%	7.3%	22.4%	23.7%	25.5%	4.8%	1.4%	38.5M	-1.09B	-19.4M	0.76	5.12	N/A	N/A	73,712	56,134	2,088,313	1,438,718
2012-05-18	$29.27	$31.00	27.3%	7.8%	14.7%	27.5%	26.8%	5.1%	1.2%	36.5M	-826.4M	-19.2M	0.95	4.49	N/A	N/A	75,501	72,026	2,104,584	1,442,966
2012-05-21	$29.75	$31.00	22.9%	6.6%	16.4%	18.5%	23.9%	4.5%	1.6%	47.9M	-1.21B	-18.8M	0.74	3.84	N/A	N/A	71,058	52,240	1,909,277	1,339,010
2012-05-22	$29.76	$31.00	22.4%	6.4%	16.4%	17.6%	22.9%	4.6%	2.0%	51.2M	-1.25B	-18.7M	0.34	5.01	N/A	N/A	64,452	22,041	1,933,380	1,345,361
2012-05-23	$29.11	$31.00	24.2%	6.9%	17.0%	21.3%	24.5%	4.1%	1.5%	43.3M	-822.6M	-18.4M	0.60	6.36	N/A	N/A	129,929	78,327	1,945,457	1,350,180
2012-05-24	$29.07	$31.00	24.0%	6.9%	17.0%	20.9%	23.8%	4.7%	1.8%	40.4M	-840.7M	-18.4M	0.63	3.71	N/A	N/A	44,875	28,434	1,945,797	1,369,727
2012-05-25	$29.06	$31.00	21.1%	6.5%	17.1%	15.0%	22.6%	4.0%	2.7%	42.4M	-862.6M	-18.1M	0.53	3.40	N/A	N/A	52,815	27,918	1,949,976	1,369,140
2012-05-29	$29.56	$31.00	25.2%	6.2%	18.7%	23.3%	23.3%	4.4%	2.1%	49.9M	-1.14B	-18.1M	0.59	3.91	N/A	N/A	25,055	14,682	1,950,421	1,363,053
2012-05-30	$29.34	$31.00	30.5%	7.1%	18.7%	34.1%	24.5%	4.4%	1.3%	47.8M	-1.04B	-18.2M	0.98	3.87	N/A	N/A	20,709	20,286	1,958,200	1,368,327
2012-05-31	$29.19	$31.00	26.0%	7.0%	18.7%	24.8%	24.0%	3.9%	1.6%	44.8M	-905.1M	-18.0M	0.34	3.77	N/A	N/A	49,875	16,966	1,962,717	1,370,767