MSFT Options History — December 2012

In December 2012, MSFT traded between $26.37 and $27.68. ATM implied volatility averaged 21.5%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.2% (HV 20d: 20.2%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2012-12-18: Highest Volume — 225,003 contracts
2012-12-12: Largest IV drop — 14.2% change
2012-12-31: Highest IV Rank — 60.6%
2012-12-28: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.97	$26.37	$27.68	$26.43	$26.71
Max Pain	$28.00	$28.00	$28.00	$28.00	$28.00
ATM IV	21.5%	18.5%	24.5%	23.4%	24.5%
Expected Move	5.9%	5.5%	6.5%	6.2%	6.1%
HV 20d	20.2%	17.3%	23.9%	23.7%	17.3%
HV 60d	20.6%	19.8%	21.1%	21.0%	21.1%
IV Rank	41.7%	23.4%	60.6%	53.4%	60.6%
IV Percentile	59.3%	22.2%	88.5%	81.3%	88.5%
Term Structure	1.7%	0.5%	2.4%	0.5%	1.6%
VWIV	21.4%	19.6%	23.1%	21.5%	22.8%
Skew 25d	2.0%	1.4%	3.3%	1.6%	2.1%
Skew 10d	4.8%	2.8%	7.8%	2.8%	3.3%
Call IV 25d	20.6%	19.4%	22.7%	21.2%	21.5%
Put IV 25d	22.6%	21.1%	25.0%	22.7%	23.7%
Bid-Ask Spread %	6.88	2.32	9.63	7.41	3.77
Gamma HHI	0.12	0.10	0.16	0.12	0.12
Net GEX	13.8M	-9.6M	69.6M	-9.6M	4.7M
Net DEX	441.7M	-135.8M	904.4M	901.1M	447.8M
Net VEX	-11.6M	-12.6M	-10.9M	-11.8M	-10.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.17	1.09	0.37	0.71
Total Volume	124,956.25	50,664	225,003	184,150	98,756
Total OI	3,950,046	3,693,314	4,197,372	3,918,195	3,797,757

Daily Data (20 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
2012-12-03	$26.43	$28.00	23.4%	6.2%	23.7%	53.4%	21.5%	1.6%	0.5%	-9.6M	901.1M	-11.8M	0.37	7.41	N/A	N/A	134,100	50,050	2,308,975	1,609,220
2012-12-04	$26.37	$28.00	22.7%	6.0%	23.5%	49.2%	21.1%	2.0%	0.6%	-8.9M	904.4M	-11.6M	1.09	2.48	N/A	N/A	66,392	72,394	2,321,257	1,615,462
2012-12-05	$26.67	$28.00	23.6%	5.8%	23.8%	54.7%	21.0%	1.4%	0.6%	-3.2M	709.8M	-11.9M	0.35	8.76	N/A	N/A	109,625	38,051	2,338,423	1,610,889
2012-12-06	$26.73	$28.00	21.1%	5.6%	22.6%	39.6%	20.5%	2.1%	1.0%	1.5M	656.5M	-11.8M	0.92	9.63	N/A	N/A	43,412	40,016	2,355,517	1,602,097
2012-12-07	$26.46	$28.00	20.6%	6.2%	22.6%	36.4%	21.5%	2.4%	1.6%	-1.3M	857.7M	-11.3M	0.65	7.11	N/A	N/A	54,439	35,653	2,358,909	1,602,458
2012-12-10	$26.94	$28.00	22.4%	5.9%	23.9%	47.8%	22.0%	2.3%	1.9%	5.4M	537.6M	-11.7M	0.33	6.27	N/A	N/A	154,657	50,512	2,344,729	1,596,944
2012-12-11	$27.32	$28.00	21.6%	5.7%	23.7%	42.2%	20.3%	1.8%	2.2%	17.6M	242.5M	-11.6M	0.69	9.29	N/A	N/A	85,547	58,707	2,364,697	1,608,899
2012-12-12	$27.24	$28.00	18.5%	5.7%	18.6%	23.4%	20.5%	1.9%	2.0%	16.3M	349.5M	-11.8M	0.31	8.14	N/A	N/A	66,437	20,269	2,372,286	1,612,644
2012-12-13	$27.11	$28.00	20.7%	5.9%	18.4%	36.8%	20.7%	2.2%	2.0%	13.2M	425.7M	-11.8M	0.43	8.91	N/A	N/A	73,898	31,905	2,375,152	1,617,922
2012-12-14	$26.81	$28.00	20.6%	5.9%	18.7%	36.7%	21.5%	2.7%	1.9%	2.0M	655.1M	-11.4M	0.50	7.90	N/A	N/A	33,880	16,784	2,410,398	1,624,122
2012-12-17	$27.10	$28.00	20.1%	5.7%	18.9%	33.0%	22.0%	2.0%	2.4%	13.6M	440.1M	-11.3M	0.53	7.55	N/A	N/A	71,121	37,994	2,399,463	1,612,820
2012-12-18	$27.56	$28.00	19.2%	5.5%	19.6%	27.5%	19.6%	1.7%	2.4%	39.4M	47.4M	-11.8M	0.17	5.63	N/A	N/A	192,099	32,904	2,421,359	1,617,948
2012-12-19	$27.31	$28.00	20.7%	5.9%	19.9%	36.8%	20.7%	1.4%	2.1%	41.6M	191.9M	-11.6M	0.26	6.76	N/A	N/A	103,348	26,807	2,541,304	1,612,962
2012-12-20	$27.68	$28.00	20.4%	5.9%	20.2%	35.2%	21.0%	1.6%	1.8%	69.6M	-135.8M	-12.6M	0.42	6.79	N/A	N/A	72,880	30,616	2,564,566	1,615,751
2012-12-21	$27.45	$28.00	21.1%	6.1%	18.0%	39.7%	21.3%	1.4%	2.0%	54.8M	-76.2M	-12.3M	0.85	8.31	N/A	N/A	89,851	76,429	2,576,551	1,620,821
2012-12-24	$27.06	$28.00	21.4%	6.1%	18.3%	41.3%	22.4%	2.2%	2.0%	7.4M	321.6M	-11.5M	0.68	2.32	N/A	N/A	52,717	35,745	2,201,403	1,491,911
2012-12-26	$26.86	$28.00	21.1%	6.1%	18.0%	39.7%	22.4%	3.3%	1.9%	3.4M	465.5M	-11.2M	0.69	5.97	N/A	N/A	70,637	48,503	2,220,189	1,502,080
2012-12-27	$26.96	$28.00	21.4%	6.1%	17.6%	41.5%	22.8%	2.5%	2.1%	6.2M	372.7M	-11.3M	0.55	7.60	N/A	N/A	76,372	41,987	2,241,351	1,514,509
2012-12-28	$26.55	$28.00	24.3%	6.5%	17.7%	59.2%	23.1%	2.3%	1.4%	1.6M	518.2M	-11.2M	0.79	7.03	N/A	N/A	57,736	45,895	2,269,537	1,527,638
2012-12-31	$26.71	$28.00	24.5%	6.1%	17.3%	60.6%	22.8%	2.1%	1.6%	4.7M	447.8M	-10.9M	0.71	3.77	N/A	N/A	57,628	41,128	2,264,080	1,533,677