MSFT Options History — August 2012 In August 2012, MSFT traded between $29.19 and $30.90. ATM implied volatility averaged 17.4%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.2% (HV 20d: 18.6%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.70.
Notable Days 2012-08-13 : Highest Volume — 1,159,216 contracts2012-08-02 : Largest IV drop — 25.1% change2012-08-01 : Highest IV Rank — 24.3%2012-08-01 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $30.36 $29.19 $30.90 $29.41 $30.82 Max Pain $29.74 $29.00 $30.00 $30.00 $30.00 ATM IV 17.4% 14.7% 27.0% 27.0% 15.6% Expected Move 4.9% 4.4% 6.1% 6.1% 4.8% HV 20d 18.6% 13.0% 24.9% 24.2% 13.0% HV 60d 23.2% 21.7% 24.1% 23.8% 21.9% IV Rank 6.2% 0.0% 24.3% 24.3% 2.9% IV Percentile 11.0% 0.0% 72.6% 72.6% 2.8% Term Structure 2.7% -0.5% 3.7% -0.5% 3.6% VWIV 18.2% 15.9% 23.6% 22.3% 17.8% Skew 25d 2.3% 1.7% 2.8% 2.6% 2.5% Skew 10d 5.1% 2.1% 7.6% 4.1% 5.7% Call IV 25d 16.7% 14.9% 19.9% 19.9% 16.6% Put IV 25d 19.1% 17.4% 22.5% 22.5% 19.1% Bid-Ask Spread % 4.85 2.69 12.38 6.47 12.38 Gamma HHI 0.12 0.10 0.26 0.10 0.10 Net GEX 74.7M 39.6M 144.4M 46.2M 78.6M Net DEX -1.43B -1.72B -717.2M -865.9M -1.72B Net VEX -15.6M -16.3M -15.2M -15.4M -15.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.02 1.29 0.65 0.64 Total Volume 133,574.522 58,104 1,159,216 66,196 113,145 Total OI 3,113,016.87 2,985,315 3,204,317 3,074,050 3,145,519
Daily Data (23 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 2012-08-01 $29.41 $30.00 27.0% 6.1% 24.2% 24.3% 22.3% 2.6% -0.5% 46.2M -865.9M -15.4M 0.65 6.47 N/A N/A 40,166 26,030 1,829,495 1,244,555 2012-08-02 $29.19 $30.00 20.2% 5.8% 24.3% 10.0% 21.3% 2.6% -0.0% 39.6M -717.2M -15.3M 1.08 3.87 N/A N/A 38,933 42,184 1,841,196 1,250,537 2012-08-03 $29.75 $30.00 17.9% 5.4% 24.8% 5.1% 18.9% 1.7% 0.8% 53.8M -1.08B -15.7M 0.27 2.99 N/A N/A 190,977 52,037 1,848,272 1,262,874 2012-08-06 $29.95 $29.00 20.1% 5.4% 24.8% 9.7% 19.0% 2.4% 2.3% 66.8M -1.23B -15.3M 0.37 5.94 N/A N/A 46,720 17,277 1,869,158 1,267,884 2012-08-07 $30.26 $29.00 20.7% 5.3% 24.9% 11.0% 18.9% 2.6% 2.5% 76.0M -1.42B -15.6M 0.42 3.93 N/A N/A 43,642 18,327 1,879,963 1,268,730 2012-08-08 $30.33 $29.00 18.0% 5.2% 24.2% 7.8% 19.0% 2.4% 2.9% 79.0M -1.48B -15.5M 1.11 5.19 N/A N/A 29,750 32,900 1,891,815 1,268,769 2012-08-09 $30.50 $29.00 17.7% 5.1% 22.3% 6.9% 18.4% 2.4% 2.8% 83.1M -1.61B -15.4M 0.50 2.69 N/A N/A 58,039 29,160 1,897,576 1,276,696 2012-08-10 $30.42 $29.00 16.5% 4.9% 20.7% 3.5% 17.8% 2.6% 3.0% 80.7M -1.54B -15.3M 0.58 7.74 N/A N/A 44,008 25,715 1,902,438 1,290,205 2012-08-13 $30.39 $29.00 18.1% 4.8% 20.7% 8.5% 23.6% 2.4% 3.0% 84.1M -1.49B -15.2M 0.02 2.92 N/A N/A 1,131,518 27,698 1,910,369 1,293,948 2012-08-14 $30.13 $30.00 16.2% 4.8% 20.9% 2.4% 17.4% 2.4% 3.3% 55.7M -1.15B -16.0M 0.39 6.11 N/A N/A 72,147 28,296 1,827,376 1,305,949 2012-08-15 $30.20 $30.00 14.7% 4.7% 18.6% 0.0% 17.1% 2.1% 3.2% 57.8M -1.27B -15.6M 0.43 5.10 N/A N/A 61,554 26,393 1,854,686 1,308,305 2012-08-16 $30.78 $30.00 16.6% 4.8% 19.7% 6.0% 17.6% 2.6% 2.9% 98.1M -1.64B -16.3M 0.70 3.07 N/A N/A 70,543 49,052 1,856,206 1,304,001 2012-08-17 $30.90 $30.00 15.6% 4.5% 18.5% 2.7% 16.4% 2.8% 3.4% 144.4M -1.71B -16.2M 0.97 4.10 N/A N/A 40,452 39,045 1,860,271 1,312,771 2012-08-20 $30.74 $30.00 15.3% 4.4% 15.1% 1.7% 15.9% 2.6% 3.4% 77.2M -1.64B -15.5M 0.88 4.25 N/A N/A 42,748 37,680 1,767,148 1,218,167 2012-08-21 $30.80 $30.00 15.3% 4.4% 14.9% 1.9% 16.2% 2.8% 3.5% 78.3M -1.66B -16.0M 0.81 4.22 N/A N/A 49,458 40,159 1,789,385 1,233,537 2012-08-22 $30.54 $30.00 15.4% 4.4% 14.6% 2.4% 16.2% 1.9% 3.5% 74.1M -1.53B -15.5M 0.70 3.30 N/A N/A 49,512 34,677 1,808,127 1,245,383 2012-08-23 $30.26 $30.00 17.1% 4.9% 14.8% 7.5% 17.1% 1.8% 3.2% 67.7M -1.36B -15.5M 0.87 3.31 N/A N/A 47,494 41,453 1,811,063 1,245,296 2012-08-24 $30.56 $30.00 16.3% 4.7% 13.5% 4.9% 16.9% 2.0% 3.1% 75.1M -1.49B -16.1M 0.59 3.44 N/A N/A 36,567 21,679 1,810,679 1,252,178 2012-08-27 $30.69 $30.00 16.4% 4.7% 13.4% 5.4% 17.2% 2.0% 2.9% 79.6M -1.63B -15.4M 1.10 5.38 N/A N/A 34,488 38,041 1,804,352 1,244,237 2012-08-28 $30.63 $30.00 16.0% 4.6% 13.2% 4.0% 17.0% 2.1% 3.7% 78.7M -1.60B -15.4M 1.29 5.14 N/A N/A 25,377 32,727 1,823,007 1,260,597 2012-08-29 $30.65 $30.00 16.2% 4.6% 13.1% 4.8% 17.2% 1.9% 3.4% 76.0M -1.59B -15.4M 0.80 5.41 N/A N/A 37,499 29,986 1,825,022 1,273,804 2012-08-30 $30.32 $30.00 17.8% 5.1% 13.5% 9.8% 19.1% 2.7% 3.3% 68.0M -1.35B -16.0M 0.82 4.70 N/A N/A 42,196 34,765 1,834,206 1,283,636 2012-08-31 $30.82 $30.00 15.6% 4.8% 13.0% 2.9% 17.8% 2.5% 3.6% 78.6M -1.72B -15.7M 0.64 12.38 N/A N/A 68,844 44,301 1,842,697 1,302,822
« Jul 2012 | All History | Sep 2012 » Home MSFT History August 2012