MSFT Options History — March 2013

In March 2013, MSFT traded between $27.87 and $28.61. ATM implied volatility averaged 15.6%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.9% (HV 20d: 11.8%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-03-05: Highest Volume — 150,800 contracts
  • 2013-03-14: Largest IV spike — 40.3% change
  • 2013-03-22: Highest IV Rank — 32.5%
  • 2013-03-05: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.14$27.87$28.61$27.95$28.61
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV15.6%11.1%18.5%15.2%16.5%
Expected Move4.8%4.3%5.2%4.7%4.7%
HV 20d11.8%8.2%15.0%15.0%8.6%
HV 60d16.0%14.7%17.0%17.0%14.7%
IV Rank17.8%0.0%32.5%3.2%27.2%
IV Percentile10.4%0.0%27.0%0.8%13.5%
Term Structure0.9%-0.1%1.4%1.4%-0.1%
VWIV17.0%15.4%20.4%16.8%17.5%
Skew 25d1.8%1.4%3.0%1.7%1.7%
Skew 10d4.1%2.2%7.9%2.5%3.6%
Call IV 25d16.5%15.1%17.6%17.1%16.8%
Put IV 25d18.3%16.7%20.5%18.8%18.6%
Bid-Ask Spread %4.271.599.069.067.09
Gamma HHI0.200.150.370.220.22
Net GEX66.6M45.4M122.2M82.5M68.9M
Net DEX-539.5M-824.1M-292.5M-474.7M-824.1M
Net VEX-12.1M-12.7M-11.4M-12.5M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.361.640.390.48
Total Volume82,547.630,254150,800113,79475,009
Total OI2,825,672.82,626,1072,965,8582,812,4702,789,959

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$27.95$28.0015.2%4.7%15.0%3.2%16.8%1.7%1.4%82.5M-474.7M-12.5M0.399.06N/AN/A82,04431,7501,819,718992,752
2013-03-04$28.15$28.0018.5%5.2%14.0%23.5%20.4%3.0%0.9%70.2M-577.8M-12.4M0.517.77N/AN/A75,64638,8861,830,352992,029
2013-03-05$28.35$28.0017.7%5.2%12.4%18.5%17.8%2.3%0.9%85.5M-770.1M-12.7M0.545.49N/AN/A98,12652,6741,862,0401,010,776
2013-03-06$28.09$28.0014.5%4.9%13.0%0.0%18.0%1.8%1.0%77.3M-575.8M-12.4M0.498.91N/AN/A68,55933,8061,865,8561,026,796
2013-03-07$28.14$28.0013.8%4.8%12.7%0.0%16.7%2.1%1.1%74.4M-551.5M-12.3M0.564.33N/AN/A32,30418,0481,865,1261,037,698
2013-03-08$28.00$28.0012.7%4.6%12.8%0.0%16.8%1.8%1.3%82.8M-457.0M-11.9M1.012.00N/AN/A36,24536,6571,875,7371,044,908
2013-03-11$27.87$28.0013.0%4.5%12.6%1.9%16.3%2.7%1.1%52.0M-292.5M-11.4M0.762.02N/AN/A40,88231,0391,858,6171,037,064
2013-03-12$27.91$28.0012.7%4.5%12.0%0.1%16.1%2.1%1.2%60.4M-342.0M-11.6M0.512.05N/AN/A46,80023,7791,867,1251,051,291
2013-03-13$27.92$28.0011.1%4.5%12.0%0.0%16.3%2.0%1.3%65.4M-351.5M-11.7M0.362.24N/AN/A59,20421,4291,882,1181,054,027
2013-03-14$28.14$28.0015.6%4.5%12.1%22.6%15.8%1.8%1.1%82.8M-580.2M-12.0M0.393.39N/AN/A56,95222,4791,899,0311,046,404
2013-03-15$28.04$28.0015.0%4.3%12.2%20.0%15.4%1.6%1.3%122.2M-504.6M-11.8M0.434.04N/AN/A81,16034,9611,913,1071,052,751
2013-03-18$28.10$28.0015.8%4.5%12.2%23.8%16.1%1.6%1.0%45.4M-469.8M-11.9M0.538.96N/AN/A55,09828,9871,715,031911,076
2013-03-19$28.18$28.0016.7%4.8%12.3%28.4%17.0%1.6%1.0%46.6M-533.0M-12.1M0.391.85N/AN/A78,33030,7921,743,369923,104
2013-03-20$28.32$28.0016.8%4.8%12.1%28.9%16.7%1.7%1.0%55.0M-637.1M-12.3M0.811.71N/AN/A39,90332,3021,791,846934,278
2013-03-21$28.11$28.0017.5%5.0%11.3%32.4%17.6%1.5%0.5%45.5M-528.5M-12.4M1.641.90N/AN/A32,65753,4131,803,497949,088
2013-03-22$28.25$28.0017.5%5.0%10.9%32.5%17.3%1.5%0.4%51.0M-604.9M-12.5M0.511.59N/AN/A46,03723,4091,811,618957,393
2013-03-25$28.16$28.0017.4%5.0%9.5%31.7%17.4%1.7%0.3%52.1M-535.0M-12.1M1.181.88N/AN/A24,18428,4681,809,260940,746
2013-03-26$28.16$28.0016.9%4.8%9.5%29.3%17.3%1.5%0.4%50.3M-519.7M-11.9M0.611.79N/AN/A18,74311,5111,816,530950,822
2013-03-27$28.37$28.0017.3%5.0%8.2%31.5%17.2%1.4%0.0%61.8M-659.2M-12.0M0.757.32N/AN/A27,82620,8531,826,794953,722
2013-03-28$28.61$28.0016.5%4.7%8.6%27.2%17.5%1.7%-0.1%68.9M-824.1M-12.3M0.487.09N/AN/A50,73424,2751,835,132954,827