MSFT Options History — October 2012

In October 2012, MSFT traded between $27.88 and $30.03. ATM implied volatility averaged 21.8%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.7% (HV 20d: 15.0%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2012-10-19: Highest Volume — 427,216 contracts
2012-10-10: Largest IV spike — 19.9% change
2012-10-10: Highest IV Rank — 60.9%
2012-10-18: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.07	$27.88	$30.03	$29.49	$28.54
Max Pain	$29.76	$29.00	$30.00	$30.00	$29.00
ATM IV	21.8%	18.2%	25.9%	21.8%	22.1%
Expected Move	6.4%	5.8%	7.2%	6.9%	6.2%
HV 20d	15.0%	12.2%	17.8%	17.5%	17.8%
HV 60d	17.0%	15.3%	18.9%	18.9%	16.2%
IV Rank	36.2%	19.0%	60.9%	22.7%	40.1%
IV Percentile	55.7%	19.0%	87.7%	55.2%	63.5%
Term Structure	-1.3%	-4.1%	0.0%	-1.1%	0.0%
VWIV	22.8%	20.8%	24.8%	24.8%	22.2%
Skew 25d	2.3%	1.6%	2.9%	2.6%	2.4%
Skew 10d	4.2%	3.2%	5.8%	3.6%	3.4%
Call IV 25d	21.5%	19.5%	23.3%	22.6%	20.8%
Put IV 25d	23.8%	21.7%	25.9%	25.2%	23.2%
Bid-Ask Spread %	4.91	1.76	8.32	8.32	6.56
Gamma HHI	0.10	0.08	0.11	0.09	0.11
Net GEX	36.8M	8.7M	65.3M	42.1M	44.1M
Net DEX	-485.2M	-1.17B	165.2M	-674.3M	-414.9M
Net VEX	-16.4M	-17.7M	-14.5M	-16.1M	-15.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.21	2.05	2.05	0.61
Total Volume	205,083.19	98,985	427,216	283,973	116,067
Total OI	3,885,717.667	3,578,535	4,227,683	3,662,206	3,826,613

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
2012-10-01	$29.49	$30.00	21.8%	6.9%	17.5%	22.7%	24.8%	2.6%	-1.1%	42.1M	-674.3M	-16.1M	2.05	8.32	N/A	N/A	93,091	190,882	2,152,244	1,509,962
2012-10-02	$29.66	$30.00	22.4%	6.5%	17.1%	24.6%	23.2%	2.5%	-0.8%	57.9M	-862.5M	-16.4M	0.21	7.17	N/A	N/A	331,858	68,591	2,196,396	1,486,494
2012-10-03	$29.86	$30.00	21.3%	6.6%	17.3%	25.8%	23.7%	2.4%	-1.0%	64.9M	-1.07B	-16.5M	1.09	1.76	N/A	N/A	82,978	90,530	2,237,967	1,505,464
2012-10-04	$30.03	$30.00	19.7%	6.6%	12.9%	26.2%	24.1%	2.9%	-0.9%	65.3M	-1.17B	-17.6M	1.27	6.65	N/A	N/A	74,676	95,175	2,266,260	1,545,192
2012-10-05	$29.85	$30.00	18.2%	6.2%	12.3%	19.0%	22.6%	2.4%	-1.3%	54.4M	-955.7M	-17.7M	1.72	4.27	N/A	N/A	59,224	101,762	2,278,733	1,597,667
2012-10-08	$29.78	$30.00	20.5%	6.3%	12.2%	31.2%	22.6%	2.2%	-1.6%	52.0M	-908.4M	-17.6M	0.50	4.21	N/A	N/A	65,824	33,161	2,273,766	1,625,074
2012-10-09	$29.28	$30.00	21.6%	6.7%	13.2%	37.6%	22.6%	2.7%	-1.6%	30.5M	-449.0M	-17.2M	0.55	4.87	N/A	N/A	125,627	69,604	2,286,527	1,637,396
2012-10-10	$28.98	$30.00	25.9%	6.5%	13.5%	60.9%	22.1%	2.2%	-1.6%	19.1M	-249.7M	-16.8M	0.53	3.60	N/A	N/A	142,210	75,047	2,307,948	1,643,676
2012-10-11	$28.95	$30.00	22.0%	6.3%	13.1%	39.5%	22.1%	1.8%	-1.7%	21.6M	-252.7M	-16.6M	0.85	7.41	N/A	N/A	81,012	68,914	2,326,039	1,629,731
2012-10-12	$29.20	$30.00	21.8%	6.3%	13.1%	38.6%	21.8%	1.6%	-2.0%	32.6M	-500.0M	-16.9M	0.57	4.40	N/A	N/A	79,268	45,340	2,357,432	1,646,925
2012-10-15	$29.51	$30.00	22.2%	6.4%	14.0%	40.4%	23.0%	2.0%	-2.3%	48.9M	-769.0M	-17.1M	0.78	6.09	N/A	N/A	81,209	62,940	2,368,798	1,639,732
2012-10-16	$29.49	$30.00	23.4%	6.7%	14.0%	47.2%	23.3%	2.4%	-2.8%	45.8M	-771.2M	-17.2M	0.49	5.15	N/A	N/A	75,722	36,729	2,397,671	1,663,890
2012-10-17	$29.59	$30.00	22.6%	6.5%	14.2%	42.7%	23.0%	2.0%	-2.5%	52.9M	-886.4M	-17.1M	0.93	2.49	N/A	N/A	87,724	81,806	2,424,220	1,657,270
2012-10-18	$29.50	$30.00	25.1%	7.2%	13.0%	56.2%	24.6%	2.6%	-4.1%	53.4M	-816.3M	-17.2M	0.91	3.06	N/A	N/A	217,053	196,441	2,431,794	1,664,346
2012-10-19	$28.64	$30.00	20.2%	5.8%	15.9%	29.9%	20.8%	2.2%	-0.1%	14.6M	147.4M	-15.5M	1.09	2.29	N/A	N/A	204,870	222,346	2,502,994	1,724,689
2012-10-22	$28.00	$30.00	21.3%	6.1%	17.0%	35.6%	21.6%	1.8%	-0.3%	8.7M	111.5M	-14.5M	0.74	6.95	N/A	N/A	215,436	159,233	2,125,725	1,452,810
2012-10-23	$28.05	$29.00	22.1%	6.3%	16.8%	40.0%	22.9%	2.5%	-0.8%	14.2M	50.2M	-15.2M	0.46	4.75	N/A	N/A	121,589	55,358	2,217,460	1,509,726
2012-10-24	$27.90	$29.00	21.5%	6.2%	16.8%	36.7%	22.6%	2.4%	-0.4%	10.4M	144.9M	-14.7M	0.97	4.99	N/A	N/A	59,087	57,224	2,263,311	1,528,038
2012-10-25	$27.88	$29.00	21.0%	6.0%	16.8%	34.0%	22.5%	2.1%	0.0%	11.4M	165.2M	-14.9M	0.44	2.81	N/A	N/A	92,597	40,288	2,277,527	1,542,966
2012-10-26	$28.21	$29.00	20.4%	6.2%	17.3%	30.7%	22.1%	2.2%	-0.4%	27.2M	-59.6M	-15.6M	0.56	5.33	N/A	N/A	95,112	53,142	2,317,170	1,552,428
2012-10-31	$28.54	$29.00	22.1%	6.2%	17.8%	40.1%	22.2%	2.4%	0.0%	44.1M	-414.9M	-15.5M	0.61	6.56	N/A	N/A	72,107	43,960	2,304,008	1,522,605