MSFT Options History — July 2012

In July 2012, MSFT traded between $28.63 and $30.76. ATM implied volatility averaged 22.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.1% (HV 20d: 25.6%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2012-07-19: Highest Volume — 397,921 contracts
2012-07-11: Largest IV spike — 27.1% change
2012-07-11: Highest IV Rank — 32.5%
2012-07-16: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.76	$28.63	$30.76	$30.56	$29.47
Max Pain	$29.71	$28.00	$30.00	$28.00	$30.00
ATM IV	22.5%	17.6%	30.9%	18.4%	25.5%
Expected Move	6.5%	5.7%	7.1%	6.6%	6.3%
HV 20d	25.6%	24.3%	27.5%	27.2%	24.4%
HV 60d	23.5%	22.2%	24.4%	23.7%	23.9%
IV Rank	15.0%	4.4%	32.5%	9.6%	21.2%
IV Percentile	43.7%	8.3%	88.1%	12.7%	67.5%
Term Structure	-1.0%	-2.4%	0.8%	-1.2%	-0.9%
VWIV	23.1%	20.7%	24.9%	24.6%	22.4%
Skew 25d	3.4%	2.3%	4.5%	3.2%	2.7%
Skew 10d	6.2%	3.8%	9.2%	5.8%	3.8%
Call IV 25d	21.2%	19.0%	23.3%	22.5%	20.4%
Put IV 25d	24.6%	21.9%	26.6%	25.7%	23.0%
Bid-Ask Spread %	6.06	1.71	12.15	5.87	9.66
Gamma HHI	0.11	0.09	0.15	0.12	0.10
Net GEX	65.3M	33.5M	104.3M	92.1M	44.2M
Net DEX	-1.31B	-2.22B	-465.8M	-2.04B	-873.4M
Net VEX	-16.0M	-17.2M	-15.0M	-16.7M	-15.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.33	1.58	0.89	0.62
Total Volume	142,899.095	44,314	397,921	118,831	85,302
Total OI	3,432,970.619	2,900,341	3,902,215	3,465,051	2,991,797

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
2012-07-02	$30.56	$28.00	18.4%	6.6%	27.2%	9.6%	24.6%	3.2%	-1.2%	92.1M	-2.04B	-16.7M	0.89	5.87	N/A	N/A	62,826	56,005	2,066,213	1,398,838
2012-07-03	$30.76	$28.00	17.6%	6.5%	27.1%	4.4%	23.4%	3.5%	-1.7%	97.2M	-2.20B	-17.0M	0.65	7.26	N/A	N/A	26,850	17,464	2,109,874	1,422,867
2012-07-05	$30.70	$28.00	19.5%	6.9%	25.5%	8.4%	24.9%	3.0%	-2.4%	96.9M	-2.17B	-16.9M	0.86	6.99	N/A	N/A	27,739	23,925	2,110,920	1,426,297
2012-07-06	$30.19	$30.00	21.6%	6.7%	26.3%	12.9%	23.6%	4.3%	-1.1%	83.1M	-1.75B	-17.2M	1.58	7.44	N/A	N/A	52,321	82,586	2,121,067	1,435,495
2012-07-09	$30.00	$30.00	23.9%	6.8%	26.0%	17.7%	23.6%	4.4%	-1.5%	76.7M	-1.55B	-17.1M	0.91	4.90	N/A	N/A	46,382	42,016	2,121,093	1,480,066
2012-07-10	$29.74	$30.00	24.3%	6.7%	24.4%	18.6%	23.8%	4.3%	-1.2%	71.1M	-1.33B	-16.5M	0.57	5.67	N/A	N/A	86,216	49,458	2,138,690	1,506,283
2012-07-11	$29.30	$30.00	30.9%	7.0%	24.6%	32.5%	24.5%	4.5%	-1.4%	57.0M	-968.7M	-16.1M	0.84	6.61	N/A	N/A	74,791	62,897	2,127,899	1,515,270
2012-07-12	$28.63	$30.00	23.8%	6.8%	25.9%	17.6%	24.0%	4.2%	-1.4%	47.4M	-465.8M	-15.4M	0.81	4.89	N/A	N/A	71,874	58,031	2,147,622	1,531,891
2012-07-13	$29.39	$30.00	23.5%	6.7%	27.5%	16.9%	23.2%	3.2%	-1.4%	62.4M	-1.09B	-16.2M	0.92	5.51	N/A	N/A	99,786	92,215	2,162,605	1,538,074
2012-07-16	$29.44	$30.00	24.7%	7.1%	26.2%	19.4%	23.8%	3.1%	-2.1%	65.5M	-1.15B	-15.8M	0.36	4.77	N/A	N/A	63,578	22,758	2,160,212	1,541,014
2012-07-17	$29.66	$30.00	23.0%	6.6%	26.3%	15.9%	23.8%	2.3%	-1.1%	72.6M	-1.34B	-15.9M	1.29	7.18	N/A	N/A	77,114	99,427	2,184,261	1,549,757
2012-07-18	$30.45	$30.00	23.1%	6.6%	26.0%	16.0%	22.9%	3.3%	-1.9%	93.7M	-2.01B	-15.9M	0.71	8.28	N/A	N/A	172,406	122,648	2,190,072	1,566,790
2012-07-19	$30.67	$30.00	23.3%	6.7%	25.9%	16.5%	23.6%	2.5%	-1.9%	104.3M	-2.22B	-15.7M	0.70	3.36	N/A	N/A	234,219	163,702	2,223,140	1,584,277
2012-07-20	$30.12	$30.00	20.7%	5.9%	25.1%	11.0%	20.7%	2.7%	0.2%	67.0M	-1.63B	-16.1M	0.53	11.52	N/A	N/A	155,589	82,656	2,278,227	1,623,988
2012-07-23	$29.28	$30.00	22.4%	6.4%	26.0%	14.6%	22.3%	3.1%	-0.5%	37.9M	-748.3M	-15.3M	0.80	12.15	N/A	N/A	82,613	65,949	1,717,768	1,182,573
2012-07-24	$29.15	$30.00	22.3%	6.4%	24.3%	14.5%	23.2%	3.3%	-0.4%	34.3M	-694.8M	-15.5M	0.71	4.59	N/A	N/A	75,415	53,537	1,727,100	1,206,014
2012-07-25	$28.83	$30.00	21.1%	6.1%	24.4%	11.9%	22.0%	3.8%	0.6%	33.5M	-520.9M	-15.0M	0.64	2.64	N/A	N/A	62,507	39,746	1,759,646	1,224,696
2012-07-26	$29.16	$30.00	20.8%	6.0%	24.7%	11.2%	21.6%	3.1%	-0.0%	38.3M	-674.0M	-15.5M	0.59	2.75	N/A	N/A	66,090	39,250	1,766,804	1,233,964
2012-07-27	$29.76	$30.00	19.6%	5.7%	25.8%	8.6%	21.4%	2.8%	0.2%	48.6M	-1.01B	-16.0M	0.64	3.47	N/A	N/A	79,424	50,433	1,783,944	1,238,443
2012-07-30	$29.64	$30.00	22.4%	5.8%	24.3%	14.6%	21.5%	3.3%	0.8%	48.5M	-998.2M	-15.5M	0.33	1.71	N/A	N/A	55,061	18,075	1,770,330	1,226,502
2012-07-31	$29.47	$30.00	25.5%	6.3%	24.4%	21.2%	22.4%	2.7%	-0.9%	44.2M	-873.4M	-15.3M	0.62	9.66	N/A	N/A	52,755	32,547	1,762,539	1,229,258