MSFT Options History — January 2013

In January 2013, MSFT traded between $26.46 and $28.01. ATM implied volatility averaged 19.6%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.6% (HV 20d: 20.2%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2013-01-24: Highest Volume — 565,487 contracts
2013-01-10: Largest IV spike — 31.0% change
2013-01-24: Highest IV Rank — 57.5%
2013-01-24: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.24	$26.46	$28.01	$27.62	$27.45
Max Pain	$27.10	$27.00	$28.00	$28.00	$27.00
ATM IV	19.6%	16.5%	24.0%	18.1%	18.1%
Expected Move	5.6%	4.7%	6.9%	4.7%	5.1%
HV 20d	20.2%	15.2%	22.2%	20.7%	15.2%
HV 60d	22.0%	20.3%	22.6%	22.2%	20.5%
IV Rank	30.4%	11.1%	57.5%	21.2%	20.9%
IV Percentile	39.4%	7.5%	86.5%	19.4%	19.0%
Term Structure	-0.0%	-3.2%	3.1%	3.1%	0.2%
VWIV	19.8%	17.2%	24.3%	18.0%	17.4%
Skew 25d	1.5%	-0.3%	2.5%	2.4%	1.5%
Skew 10d	3.1%	-0.7%	5.9%	5.9%	2.0%
Call IV 25d	19.4%	16.6%	24.8%	16.6%	17.3%
Put IV 25d	20.9%	17.4%	24.5%	19.0%	18.8%
Bid-Ask Spread %	6.18	2.52	14.28	9.16	4.07
Gamma HHI	0.13	0.09	0.16	0.10	0.14
Net GEX	24.5M	-7.0M	55.2M	27.0M	33.0M
Net DEX	77.6M	-445.1M	665.5M	-123.7M	-89.3M
Net VEX	-10.8M	-12.2M	-9.7M	-11.2M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.32	1.48	0.46	0.94
Total Volume	174,086.905	78,671	565,487	140,706	118,551
Total OI	3,442,356.571	2,261,153	4,181,001	3,810,881	2,716,789

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
2013-01-02	$27.62	$28.00	18.1%	4.7%	20.7%	21.2%	18.0%	2.4%	3.1%	27.0M	-123.7M	-11.2M	0.46	9.16	N/A	N/A	96,146	44,560	2,271,922	1,538,959
2013-01-03	$27.25	$28.00	19.1%	5.3%	21.4%	26.8%	18.2%	2.4%	2.8%	19.6M	126.0M	-10.8M	0.75	7.80	N/A	N/A	82,053	61,571	2,283,848	1,546,841
2013-01-04	$26.74	$27.00	18.7%	5.9%	22.2%	24.4%	21.1%	2.1%	0.2%	-2.0M	509.9M	-10.2M	0.57	3.58	N/A	N/A	112,125	63,649	2,309,680	1,556,927
2013-01-07	$26.69	$27.00	20.3%	5.9%	22.2%	34.4%	20.9%	2.2%	-0.1%	-1.5M	538.3M	-10.0M	0.51	3.52	N/A	N/A	54,768	27,892	2,331,592	1,560,684
2013-01-08	$26.55	$27.00	19.4%	5.9%	22.0%	29.0%	21.3%	1.9%	-0.3%	-4.2M	602.5M	-9.7M	0.95	5.47	N/A	N/A	73,823	70,109	2,354,798	1,569,698
2013-01-09	$26.70	$27.00	16.5%	5.8%	21.1%	11.1%	20.6%	2.5%	-0.2%	-73.3K	530.5M	-10.1M	1.04	3.05	N/A	N/A	46,577	48,566	2,393,415	1,606,240
2013-01-10	$26.46	$27.00	21.6%	6.2%	20.6%	42.7%	21.2%	1.9%	-0.3%	-7.0M	665.5M	-9.7M	0.75	6.26	N/A	N/A	106,975	79,876	2,408,642	1,606,883
2013-01-11	$26.83	$27.00	19.9%	5.7%	21.3%	31.8%	20.6%	2.0%	-0.2%	10.1M	404.8M	-10.3M	1.19	2.52	N/A	N/A	71,835	85,551	2,439,963	1,624,684
2013-01-14	$26.89	$27.00	20.2%	5.8%	21.2%	33.9%	20.4%	1.7%	-0.2%	17.3M	336.8M	-10.3M	0.37	5.70	N/A	N/A	94,345	35,114	2,433,114	1,608,135
2013-01-15	$27.21	$27.00	20.7%	5.9%	21.3%	36.9%	20.7%	1.7%	-0.4%	38.4M	40.2M	-10.4M	0.32	5.65	N/A	N/A	149,121	47,775	2,459,728	1,613,745
2013-01-16	$27.04	$27.00	20.5%	5.9%	21.1%	35.8%	20.9%	1.5%	-0.2%	23.8M	220.6M	-10.5M	1.48	7.90	N/A	N/A	48,364	71,812	2,487,164	1,623,002
2013-01-17	$27.25	$27.00	20.8%	6.0%	20.3%	37.4%	21.0%	0.9%	-0.2%	38.3M	7.0M	-10.7M	0.69	5.61	N/A	N/A	92,186	63,500	2,494,348	1,647,255
2013-01-18	$27.25	$27.00	19.6%	5.6%	20.1%	29.9%	19.8%	1.3%	0.2%	29.2M	82.9M	-10.6M	0.44	6.92	N/A	N/A	105,908	46,964	2,508,140	1,672,861
2013-01-22	$27.15	$27.00	19.5%	5.6%	19.4%	29.3%	19.7%	1.4%	-0.6%	22.9M	-27.8M	-10.1M	0.72	9.44	N/A	N/A	96,992	69,647	1,445,097	816,056
2013-01-23	$27.61	$27.00	20.1%	5.8%	20.2%	33.4%	20.6%	1.3%	-2.1%	33.4M	-238.8M	-11.1M	0.46	8.48	N/A	N/A	99,883	45,536	1,499,178	855,257
2013-01-24	$27.63	$27.00	24.0%	6.9%	19.5%	57.5%	24.3%	-0.3%	-3.2%	37.1M	-343.0M	-11.3M	0.77	14.28	N/A	N/A	318,852	246,635	1,539,650	860,179
2013-01-25	$27.88	$27.00	16.8%	4.8%	19.4%	13.0%	17.2%	0.4%	0.1%	44.0M	-417.4M	-11.6M	0.71	2.70	N/A	N/A	218,458	154,698	1,683,798	995,464
2013-01-28	$27.91	$27.00	19.0%	4.9%	19.4%	26.6%	17.3%	0.7%	0.3%	48.7M	-395.0M	-11.7M	0.58	6.02	N/A	N/A	126,338	73,297	1,637,687	953,389
2013-01-29	$28.01	$27.00	19.9%	5.0%	18.3%	32.3%	17.6%	1.0%	0.3%	55.2M	-445.1M	-12.0M	0.81	7.23	N/A	N/A	70,180	56,922	1,677,088	970,403
2013-01-30	$27.85	$27.00	19.5%	5.0%	18.5%	29.5%	17.9%	1.1%	0.5%	50.9M	-355.3M	-12.2M	1.03	4.45	N/A	N/A	38,668	40,003	1,698,753	988,432
2013-01-31	$27.45	$27.00	18.1%	5.1%	15.2%	20.9%	17.4%	1.5%	0.2%	33.0M	-89.3M	-11.8M	0.94	4.07	N/A	N/A	61,178	57,373	1,707,443	1,009,346