MSFT Options History — February 2013

In February 2013, MSFT traded between $27.28 and $28.05. ATM implied volatility averaged 17.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.3% (HV 20d: 14.9%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2013-02-15: Highest Volume — 899,917 contracts
  • 2013-02-25: Largest IV spike — 58.8% change
  • 2013-02-25: Highest IV Rank — 57.5%
  • 2013-02-25: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.70$27.28$28.05$27.93$27.80
Max Pain$27.47$27.00$28.00$27.00$28.00
ATM IV17.3%15.1%24.0%16.5%15.6%
Expected Move4.9%4.4%5.9%5.0%4.6%
HV 20d14.9%14.0%16.0%15.6%15.9%
HV 60d18.6%17.0%21.0%20.8%17.0%
IV Rank15.9%2.6%57.5%10.9%5.3%
IV Percentile17.0%0.4%86.5%7.5%3.6%
Term Structure1.9%-0.1%2.7%1.8%1.5%
VWIV17.9%16.0%24.1%18.3%16.6%
Skew 25d2.1%0.9%2.9%2.1%1.5%
Skew 10d5.2%1.8%6.9%4.6%4.7%
Call IV 25d16.8%15.2%19.6%17.3%16.5%
Put IV 25d18.9%16.9%22.1%19.4%17.9%
Bid-Ask Spread %4.092.267.034.042.44
Gamma HHI0.190.120.450.190.17
Net GEX52.5M26.1M152.4M62.4M54.6M
Net DEX-292.7M-604.6M-768.9K-389.7M-349.6M
Net VEX-12.1M-12.4M-11.7M-12.2M-12.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.061.020.590.61
Total Volume138,397.68456,078899,917110,89463,401
Total OI2,800,798.8952,630,4782,954,7142,754,5042,805,552

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$27.93$27.0016.5%5.0%15.6%10.9%18.3%2.1%1.8%62.4M-389.7M-12.2M0.594.04N/AN/A69,62641,2681,726,7201,027,784
2013-02-04$27.44$27.0019.9%5.2%15.4%32.2%18.4%1.8%1.3%34.3M-84.3M-11.8M1.024.54N/AN/A52,47353,5241,717,1031,028,438
2013-02-05$27.50$27.0019.6%5.3%15.4%30.0%18.4%2.0%1.7%37.6M-115.7M-11.9M0.524.30N/AN/A53,81028,0361,737,9971,041,937
2013-02-06$27.34$27.0016.7%5.1%15.4%12.5%18.3%2.8%1.9%29.0M-24.0M-11.8M0.615.59N/AN/A48,88429,9101,764,0251,048,083
2013-02-07$27.28$27.0017.9%5.1%15.4%19.5%18.4%2.5%2.2%26.1M-768.9K-11.7M0.476.08N/AN/A61,63329,1681,775,4951,054,300
2013-02-08$27.55$27.0017.0%4.9%15.2%14.1%17.6%2.9%2.5%36.9M-191.5M-12.1M0.437.03N/AN/A67,15128,8971,803,2811,065,358
2013-02-11$27.86$27.0016.9%4.8%15.0%13.4%17.8%2.2%2.3%65.9M-413.7M-12.1M0.362.58N/AN/A66,12024,0671,814,5891,061,008
2013-02-12$27.88$27.0016.2%4.6%15.0%9.2%16.9%2.5%2.5%78.8M-433.3M-12.1M0.495.51N/AN/A66,95433,0831,837,4041,069,584
2013-02-13$28.03$27.0016.1%4.6%14.6%8.8%16.5%1.9%2.6%93.5M-546.8M-12.4M0.574.94N/AN/A81,28546,0741,866,6401,076,221
2013-02-14$28.04$27.0015.8%4.5%14.3%6.6%16.8%1.7%2.7%152.4M-604.6M-12.2M0.574.42N/AN/A53,41730,5561,884,4171,055,039
2013-02-15$28.01$28.0015.5%4.4%14.1%5.0%24.1%0.9%2.6%41.2M-478.0M-12.1M0.063.42N/AN/A849,37750,5401,889,0051,065,709
2013-02-19$28.05$28.0015.3%4.4%14.1%3.9%16.0%2.1%2.6%50.3M-448.5M-12.2M0.442.52N/AN/A68,06630,2101,685,127945,351
2013-02-20$27.87$28.0015.9%4.6%14.3%7.3%16.2%1.6%1.9%43.5M-359.8M-12.2M0.722.26N/AN/A69,12150,0921,711,668956,898
2013-02-21$27.49$28.0017.7%5.1%14.0%18.7%17.7%2.5%1.4%26.2M-144.1M-12.0M0.713.53N/AN/A65,46346,2781,741,953970,879
2013-02-22$27.76$28.0015.1%4.6%14.4%2.6%16.5%1.9%2.1%45.4M-325.3M-12.2M0.722.48N/AN/A52,75437,7701,759,413975,154
2013-02-25$27.37$28.0024.0%5.9%14.9%57.5%19.8%2.5%-0.1%34.6M-164.7M-12.2M0.875.34N/AN/A60,82952,7881,765,634957,541
2013-02-26$27.37$28.0019.7%5.5%14.9%30.9%18.7%2.6%1.0%31.7M-111.3M-12.1M0.613.78N/AN/A34,82321,2551,782,269976,324
2013-02-27$27.81$28.0016.9%4.8%16.0%13.8%17.6%2.3%1.2%52.4M-375.9M-12.1M0.392.96N/AN/A79,53731,3161,791,171980,108
2013-02-28$27.80$28.0015.6%4.6%15.9%5.3%16.6%1.5%1.5%54.6M-349.6M-12.2M0.612.44N/AN/A39,34424,0571,814,853990,699