MSFT Options History — November 2012

In November 2012, MSFT traded between $26.52 and $29.86. ATM implied volatility averaged 20.7%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 4.4% (HV 20d: 25.0%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2012-11-12: Highest Volume — 1,290,150 contracts
2012-11-05: Largest IV spike — 25.3% change
2012-11-05: Highest IV Rank — 69.2%
2012-11-07: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.81	$26.52	$29.86	$29.52	$26.62
Max Pain	$28.62	$28.00	$29.00	$29.00	$28.00
ATM IV	20.7%	17.4%	25.9%	19.9%	20.9%
Expected Move	5.8%	5.0%	6.3%	5.8%	5.7%
HV 20d	25.0%	21.5%	27.4%	21.7%	23.8%
HV 60d	19.6%	17.5%	21.2%	17.6%	21.0%
IV Rank	36.3%	16.6%	69.2%	28.1%	38.2%
IV Percentile	46.0%	13.1%	90.5%	38.1%	52.0%
Term Structure	0.7%	-1.4%	1.7%	0.1%	0.7%
VWIV	20.6%	18.1%	22.9%	21.2%	20.3%
Skew 25d	2.3%	0.4%	3.1%	2.1%	1.6%
Skew 10d	4.3%	0.5%	5.7%	4.6%	2.6%
Call IV 25d	19.7%	17.0%	21.6%	19.6%	19.9%
Put IV 25d	22.0%	19.4%	24.2%	21.7%	21.5%
Bid-Ask Spread %	6.86	3.40	11.63	9.10	9.18
Gamma HHI	0.11	0.09	0.13	0.12	0.13
Net GEX	21.5M	-30.2M	95.1M	80.3M	-5.2M
Net DEX	75.9M	-1.51B	1.23B	-1.26B	826.9M
Net VEX	-14.1M	-17.1M	-11.9M	-16.5M	-11.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.06	1.69	0.52	0.82
Total Volume	234,722.762	88,771	1,290,150	223,263	213,163
Total OI	3,926,983.571	3,679,417	4,145,481	3,868,296	3,915,833

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
2012-11-01	$29.52	$29.00	19.9%	5.8%	21.7%	28.1%	21.2%	2.1%	0.1%	80.3M	-1.26B	-16.5M	0.52	9.10	N/A	N/A	146,816	76,447	2,329,613	1,538,683
2012-11-02	$29.50	$29.00	20.7%	6.2%	21.5%	32.4%	21.9%	0.4%	-1.4%	86.2M	-1.28B	-16.8M	0.69	5.69	N/A	N/A	133,879	91,946	2,358,098	1,549,972
2012-11-05	$29.63	$29.00	25.9%	5.9%	21.5%	69.2%	21.2%	2.3%	0.7%	89.9M	-1.33B	-16.7M	1.18	11.63	N/A	N/A	50,226	59,411	2,386,852	1,573,100
2012-11-06	$29.86	$29.00	25.3%	6.1%	21.6%	65.5%	21.9%	2.6%	0.5%	95.1M	-1.51B	-17.1M	0.61	8.68	N/A	N/A	120,269	72,953	2,395,524	1,595,027
2012-11-07	$29.08	$29.00	22.7%	6.3%	23.6%	49.4%	22.8%	2.4%	0.6%	59.9M	-755.2M	-16.6M	0.99	8.48	N/A	N/A	90,567	89,298	2,412,489	1,611,092
2012-11-08	$28.81	$29.00	21.5%	6.3%	23.0%	41.9%	22.9%	2.7%	0.6%	44.5M	-466.0M	-16.0M	0.80	7.72	N/A	N/A	66,717	53,128	2,424,265	1,641,838
2012-11-09	$28.83	$29.00	21.1%	6.3%	22.8%	39.3%	22.0%	2.6%	0.7%	48.4M	-470.2M	-16.1M	0.48	10.74	N/A	N/A	78,616	37,394	2,429,508	1,654,421
2012-11-12	$28.22	$29.00	22.4%	6.3%	24.0%	47.3%	22.8%	2.5%	0.8%	12.0M	75.7M	-14.6M	0.06	7.59	N/A	N/A	1,220,471	69,679	2,415,814	1,634,058
2012-11-13	$27.09	$29.00	22.6%	6.2%	27.4%	48.5%	22.0%	2.6%	0.7%	-23.3M	883.5M	-13.4M	0.60	7.40	N/A	N/A	378,878	228,039	2,421,626	1,656,180
2012-11-14	$26.84	$29.00	20.0%	6.3%	27.0%	32.9%	22.0%	2.3%	0.6%	-25.9M	929.6M	-13.3M	1.05	4.99	N/A	N/A	73,858	77,605	2,442,214	1,654,489
2012-11-15	$26.66	$29.00	21.5%	6.2%	26.9%	42.1%	21.5%	2.9%	0.8%	-30.2M	1.09B	-13.0M	0.93	5.60	N/A	N/A	66,774	62,129	2,449,747	1,674,968
2012-11-16	$26.52	$29.00	20.1%	5.7%	26.8%	33.0%	20.2%	3.1%	1.0%	-23.5M	1.23B	-12.5M	1.27	4.59	N/A	N/A	92,737	117,757	2,466,337	1,679,144
2012-11-19	$26.73	$29.00	18.7%	5.4%	27.2%	24.8%	18.5%	2.7%	1.6%	-6.7M	681.9M	-12.5M	0.25	5.79	N/A	N/A	136,885	34,757	2,169,988	1,509,429
2012-11-20	$26.71	$28.00	18.1%	5.2%	25.6%	20.7%	19.0%	2.8%	1.7%	-336.7K	696.8M	-12.4M	0.68	3.40	N/A	N/A	62,343	42,695	2,217,084	1,509,214
2012-11-21	$26.95	$28.00	17.7%	5.1%	24.9%	18.7%	18.1%	2.4%	1.6%	8.0M	554.2M	-12.6M	0.49	5.89	N/A	N/A	113,166	54,959	2,217,108	1,524,594
2012-11-23	$27.70	$28.00	17.4%	5.0%	27.0%	16.6%	18.3%	2.5%	1.5%	19.1M	-6.6M	-13.7M	0.63	7.17	N/A	N/A	73,775	46,592	2,245,732	1,537,643
2012-11-26	$27.39	$28.00	19.3%	5.5%	27.2%	28.4%	18.7%	2.9%	0.9%	8.2M	312.8M	-12.9M	0.52	4.77	N/A	N/A	58,392	30,379	2,244,164	1,538,632
2012-11-27	$27.08	$28.00	19.4%	5.6%	27.4%	28.9%	19.4%	1.3%	0.3%	3.6M	467.6M	-12.4M	0.90	3.80	N/A	N/A	68,581	61,830	2,229,152	1,552,953
2012-11-28	$27.36	$28.00	19.7%	5.6%	27.4%	30.6%	19.7%	2.1%	0.5%	8.8M	325.2M	-12.9M	0.64	5.40	N/A	N/A	68,530	43,557	2,259,410	1,565,892
2012-11-29	$26.95	$28.00	19.0%	5.5%	27.3%	26.7%	18.8%	1.9%	0.7%	2.0M	602.2M	-12.1M	1.69	6.54	N/A	N/A	98,039	165,941	2,274,219	1,560,549
2012-11-30	$26.62	$28.00	20.9%	5.7%	23.8%	38.2%	20.3%	1.6%	0.7%	-5.2M	826.9M	-11.9M	0.82	9.18	N/A	N/A	116,915	96,248	2,300,291	1,615,542