MSFT Options History — June 2012

In June 2012, MSFT traded between $28.45 and $30.93. ATM implied volatility averaged 24.0%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.2% (HV 20d: 24.2%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2012-06-19: Highest Volume — 309,700 contracts
2012-06-29: Largest IV drop — 34.3% change
2012-06-01: Highest IV Rank — 31.3%
2012-06-01: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.68	$28.45	$30.93	$28.45	$30.59
Max Pain	$28.14	$28.00	$31.00	$31.00	$28.00
ATM IV	24.0%	16.4%	29.2%	29.2%	16.4%
Expected Move	7.2%	6.5%	8.0%	8.0%	6.5%
HV 20d	24.2%	18.8%	28.6%	20.1%	27.1%
HV 60d	21.7%	19.6%	23.8%	19.6%	23.8%
IV Rank	20.9%	5.5%	31.3%	31.3%	5.5%
IV Percentile	55.6%	4.0%	80.6%	80.6%	4.0%
Term Structure	-0.3%	-1.3%	0.9%	0.9%	-0.4%
VWIV	25.6%	23.4%	27.7%	27.2%	23.4%
Skew 25d	4.2%	2.3%	5.6%	4.0%	3.9%
Skew 10d	7.4%	4.1%	11.2%	6.7%	5.6%
Call IV 25d	23.6%	22.0%	25.9%	25.9%	22.0%
Put IV 25d	27.7%	24.8%	31.4%	29.9%	25.8%
Bid-Ask Spread %	6.58	4.09	11.11	5.15	7.99
Gamma HHI	0.10	0.07	0.13	0.07	0.11
Net GEX	64.2M	34.2M	96.4M	34.2M	87.0M
Net DEX	-1.35B	-2.31B	-486.0M	-486.0M	-2.05B
Net VEX	-17.7M	-18.2M	-17.2M	-17.7M	-17.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.41	1.29	0.75	0.48
Total Volume	116,390.333	53,662	309,700	103,615	87,388
Total OI	3,427,511.048	3,249,770	3,521,179	3,347,599	3,475,137

Daily Data (21 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
2012-06-01	$28.45	$31.00	29.2%	8.0%	20.1%	31.3%	27.2%	4.0%	0.9%	34.2M	-486.0M	-17.7M	0.75	5.15	N/A	N/A	59,306	44,309	1,975,921	1,371,678
2012-06-04	$28.55	$28.00	28.9%	7.9%	19.0%	30.8%	27.2%	5.5%	0.0%	35.0M	-535.9M	-17.5M	0.59	11.11	N/A	N/A	110,402	65,045	1,989,992	1,377,939
2012-06-05	$28.51	$28.00	28.0%	7.6%	18.8%	29.0%	26.5%	5.1%	-0.0%	37.6M	-564.3M	-17.6M	0.60	7.77	N/A	N/A	73,554	44,427	2,025,561	1,397,705
2012-06-06	$29.35	$28.00	22.8%	7.2%	22.1%	18.4%	26.4%	4.5%	0.3%	57.6M	-1.10B	-18.0M	0.95	10.77	N/A	N/A	51,670	49,281	2,049,219	1,400,662
2012-06-07	$29.23	$28.00	20.6%	7.1%	21.8%	14.0%	24.8%	4.7%	0.3%	48.4M	-995.0M	-17.8M	0.60	4.81	N/A	N/A	43,276	25,773	2,052,208	1,416,882
2012-06-08	$29.65	$28.00	19.2%	6.7%	22.6%	11.2%	27.7%	4.4%	0.4%	58.6M	-1.28B	-17.9M	1.13	4.09	N/A	N/A	26,633	29,996	2,059,903	1,418,053
2012-06-11	$28.90	$28.00	23.8%	7.4%	23.3%	20.5%	25.9%	4.2%	0.0%	46.2M	-796.9M	-17.3M	0.86	4.43	N/A	N/A	48,629	41,794	2,045,366	1,402,165
2012-06-12	$29.29	$28.00	21.6%	7.3%	23.6%	15.9%	25.5%	5.1%	-0.1%	51.0M	-1.02B	-17.6M	0.97	4.75	N/A	N/A	30,035	29,230	2,060,360	1,415,864
2012-06-13	$29.13	$28.00	21.1%	7.7%	23.1%	14.9%	27.7%	5.6%	-0.5%	46.4M	-927.5M	-17.8M	0.89	5.58	N/A	N/A	31,647	28,065	2,067,572	1,424,891
2012-06-14	$29.34	$28.00	26.5%	7.6%	23.1%	25.9%	25.9%	5.4%	-0.4%	49.9M	-1.05B	-17.7M	1.26	8.12	N/A	N/A	61,505	77,390	2,064,198	1,438,397
2012-06-15	$30.02	$28.00	24.9%	7.1%	24.5%	22.6%	25.5%	4.7%	-0.2%	73.3M	-1.60B	-18.0M	0.45	6.39	N/A	N/A	123,857	55,655	2,083,730	1,437,449
2012-06-18	$29.84	$28.00	25.5%	7.3%	24.0%	23.8%	25.6%	4.1%	-1.1%	66.1M	-1.45B	-17.7M	0.42	5.10	N/A	N/A	105,212	44,509	1,947,680	1,302,090
2012-06-19	$30.70	$28.00	22.8%	6.5%	25.3%	18.5%	23.7%	2.3%	-0.5%	90.1M	-2.10B	-17.6M	0.44	5.63	N/A	N/A	214,580	95,120	1,992,488	1,319,963
2012-06-20	$30.93	$28.00	23.4%	6.7%	25.4%	19.6%	23.9%	3.3%	-0.7%	96.4M	-2.31B	-18.2M	1.29	5.86	N/A	N/A	71,613	92,130	2,064,003	1,343,471
2012-06-21	$30.14	$28.00	25.4%	7.3%	25.9%	23.8%	25.3%	2.6%	-0.6%	81.0M	-1.73B	-17.9M	0.55	9.64	N/A	N/A	64,591	35,748	2,065,490	1,369,626
2012-06-22	$30.70	$28.00	23.0%	6.6%	26.5%	18.8%	23.8%	2.8%	-0.4%	85.4M	-2.08B	-17.9M	0.61	5.26	N/A	N/A	61,740	37,388	2,060,991	1,362,663
2012-06-25	$29.87	$28.00	25.9%	7.4%	28.6%	24.6%	25.0%	4.0%	-1.3%	72.9M	-1.53B	-17.2M	0.65	5.64	N/A	N/A	68,784	44,877	2,035,486	1,358,358
2012-06-26	$30.02	$28.00	25.4%	7.3%	28.1%	23.6%	25.6%	3.5%	-0.9%	75.8M	-1.58B	-17.7M	0.55	4.77	N/A	N/A	36,780	20,376	2,039,875	1,378,828
2012-06-27	$30.17	$28.00	25.1%	7.2%	27.9%	23.2%	25.2%	4.2%	-0.7%	80.4M	-1.69B	-17.6M	0.41	5.10	N/A	N/A	38,062	15,600	2,047,280	1,391,868
2012-06-28	$29.91	$28.00	25.0%	7.2%	28.1%	22.9%	25.6%	3.4%	-0.9%	75.6M	-1.52B	-17.4M	0.92	10.23	N/A	N/A	82,388	75,832	2,052,538	1,394,182
2012-06-29	$30.59	$28.00	16.4%	6.5%	27.1%	5.5%	23.4%	3.9%	-0.4%	87.0M	-2.05B	-17.4M	0.48	7.99	N/A	N/A	59,152	28,236	2,067,672	1,407,465