MSFT Options History — September 2012

In September 2012, MSFT traded between $29.76 and $31.45. ATM implied volatility averaged 19.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.6% (HV 20d: 17.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.75.

Notable Days

  • 2012-09-04: Highest Volume — 348,560 contracts
  • 2012-09-10: Largest IV spike — 21.0% change
  • 2012-09-04: Highest IV Rank — 23.8%
  • 2012-09-26: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.78$29.76$31.45$30.39$29.76
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV19.9%17.1%22.1%22.1%18.9%
Expected Move5.7%4.9%6.3%5.6%6.2%
HV 20d17.3%13.6%18.4%14.0%18.4%
HV 60d20.4%18.9%22.1%21.9%19.1%
IV Rank16.6%7.7%23.8%23.8%13.5%
IV Percentile34.9%11.1%54.8%50.8%25.0%
Term Structure1.2%0.0%3.4%3.3%0.1%
VWIV20.5%18.3%23.2%19.8%23.2%
Skew 25d2.7%2.2%3.2%2.6%2.5%
Skew 10d5.6%3.8%7.3%5.6%3.8%
Call IV 25d19.3%16.4%21.6%18.5%21.6%
Put IV 25d22.0%19.2%24.1%21.2%24.1%
Bid-Ask Spread %6.262.3611.688.9410.33
Gamma HHI0.110.090.140.100.09
Net GEX85.6M52.1M121.3M69.9M52.1M
Net DEX-1.71B-2.41B-846.7M-1.43B-846.7M
Net VEX-16.1M-16.8M-15.4M-15.6M-16.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.321.891.440.97
Total Volume138,01866,032348,560348,560222,884
Total OI3,522,104.5263,145,2703,701,7493,145,2703,625,884

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$30.39$30.0022.1%5.6%14.0%23.8%19.8%2.6%3.3%69.9M-1.43B-15.6M1.448.94N/AN/A142,877205,6831,844,7401,300,530
2012-09-05$30.39$30.0021.5%5.4%13.6%21.8%18.4%2.6%3.1%65.0M-1.37B-16.6M0.586.78N/AN/A48,31728,0181,915,3801,428,712
2012-09-06$31.35$30.0017.6%4.9%17.5%9.2%18.3%2.8%3.4%89.4M-2.09B-16.7M0.486.35N/AN/A115,94655,7581,921,1301,436,177
2012-09-07$30.95$30.0017.1%5.8%18.1%7.7%20.8%2.6%1.1%93.8M-1.85B-16.2M0.377.00N/AN/A104,05638,4111,951,3031,453,940
2012-09-10$30.72$30.0020.7%5.7%18.3%19.2%20.3%2.9%1.3%79.3M-1.68B-16.0M0.575.97N/AN/A82,08846,4311,977,9581,460,742
2012-09-11$30.79$30.0020.8%5.8%18.3%19.5%21.0%3.0%1.1%79.9M-1.71B-16.4M0.776.15N/AN/A90,98869,9551,997,2111,469,419
2012-09-12$30.78$30.0017.2%5.7%18.0%7.8%19.8%3.0%1.2%84.5M-1.70B-16.8M0.327.49N/AN/A66,66321,2752,057,4701,510,896
2012-09-13$30.94$30.0019.7%5.6%18.1%15.8%20.4%3.2%0.9%93.5M-1.89B-16.2M0.726.20N/AN/A75,53354,4032,069,4611,512,580
2012-09-14$31.21$30.0019.6%5.6%17.0%15.8%19.9%3.2%1.0%98.8M-2.07B-16.4M0.766.62N/AN/A80,18060,6952,083,6551,530,471
2012-09-17$31.21$30.0019.9%5.7%17.0%16.6%20.2%3.0%0.8%103.7M-2.07B-16.3M1.894.26N/AN/A30,67157,8832,107,3861,535,397
2012-09-18$31.18$30.0019.8%5.7%16.9%16.1%21.0%2.9%0.9%104.4M-2.09B-15.9M0.328.48N/AN/A54,00417,3562,110,3251,547,077
2012-09-19$31.05$30.0019.3%5.5%17.0%14.7%19.9%2.4%1.1%108.4M-2.01B-16.0M0.893.67N/AN/A35,02231,0102,143,6521,548,867
2012-09-20$31.45$30.0019.3%5.5%17.2%14.7%19.5%2.2%1.2%121.3M-2.41B-15.9M0.375.46N/AN/A82,36030,2332,149,7151,552,034
2012-09-21$31.19$30.0019.1%5.5%17.1%13.9%19.3%2.8%1.3%118.3M-2.14B-16.1M0.554.47N/AN/A76,15541,9082,154,3811,543,658
2012-09-24$30.78$30.0020.1%5.8%17.6%17.1%20.4%2.6%0.0%83.6M-1.57B-15.6M0.812.36N/AN/A78,08762,9052,014,7071,405,361
2012-09-25$30.39$30.0021.6%6.2%18.1%21.9%21.8%2.6%0.2%66.3M-1.29B-15.7M1.253.70N/AN/A62,97078,7672,038,5571,428,411
2012-09-26$30.17$30.0021.9%6.3%18.2%22.9%22.9%2.4%0.2%55.9M-1.15B-15.4M0.563.08N/AN/A95,05753,3842,059,5791,450,386
2012-09-27$30.16$30.0021.9%6.3%18.2%22.9%21.9%2.3%0.0%58.3M-1.15B-16.3M0.5611.68N/AN/A79,69244,7172,108,6101,474,224
2012-09-28$29.76$30.0018.9%6.2%18.4%13.5%23.2%2.5%0.1%52.1M-846.7M-16.0M0.9710.33N/AN/A113,422109,4622,136,7621,489,122