MSFT Options History — April 2013 In April 2013, MSFT traded between $28.56 and $33.10. ATM implied volatility averaged 21.6%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.6% (HV 20d: 21.0%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2013-04-25 : Highest Volume — 651,290 contracts2013-04-09 : Largest IV spike — 47.2% change2013-04-29 : Highest IV Rank — 97.7%2013-04-18 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $29.87 $28.56 $33.10 $28.61 $33.10 Max Pain $28.64 $28.00 $29.00 $28.00 $29.00 ATM IV 21.6% 14.2% 30.4% 16.0% 26.3% Expected Move 6.2% 5.0% 7.1% 5.0% 6.7% HV 20d 21.0% 7.9% 32.1% 8.5% 32.1% HV 60d 16.7% 12.2% 21.0% 13.1% 21.0% IV Rank 53.2% 15.8% 97.7% 24.5% 76.8% IV Percentile 59.9% 2.0% 99.2% 9.5% 96.0% Term Structure -2.1% -3.8% -0.3% -0.5% -2.0% VWIV 22.1% 17.9% 25.8% 17.9% 25.8% Skew 25d 1.6% 0.9% 2.4% 1.5% 2.3% Skew 10d 3.4% 1.7% 6.4% 3.3% 6.4% Call IV 25d 21.2% 17.7% 24.7% 17.7% 22.0% Put IV 25d 22.8% 19.3% 26.8% 19.3% 24.3% Bid-Ask Spread % 4.10 2.26 8.53 4.51 6.22 Gamma HHI 0.18 0.13 0.29 0.22 0.14 Net GEX 78.2M 42.5M 127.9M 72.7M 127.9M Net DEX -1.45B -3.45B -554.1M -823.3M -3.45B Net VEX -13.4M -16.3M -11.9M -12.1M -15.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.25 2.66 0.50 0.52 Total Volume 234,856.364 54,107 651,290 61,368 265,049 Total OI 2,982,618.182 2,522,736 3,333,389 2,790,372 3,106,049
Daily Data (22 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 2013-04-01 $28.61 $28.00 16.0% 5.0% 8.5% 24.5% 17.9% 1.5% -0.5% 72.7M -823.3M -12.1M 0.50 4.51 N/A N/A 41,037 20,331 1,839,127 951,245 2013-04-02 $28.80 $28.00 15.3% 5.2% 8.4% 21.2% 18.8% 1.1% -1.4% 85.8M -978.5M -12.0M 1.11 8.53 N/A N/A 33,365 37,076 1,858,403 958,213 2013-04-03 $28.56 $28.00 18.6% 5.7% 8.7% 38.1% 20.3% 1.6% -2.6% 68.9M -773.0M -12.1M 1.30 5.52 N/A N/A 34,567 44,812 1,864,100 971,885 2013-04-04 $28.60 $28.00 15.7% 6.1% 8.0% 23.1% 22.3% 1.1% -3.1% 66.9M -778.0M -12.4M 0.90 7.82 N/A N/A 28,509 25,598 1,866,595 991,341 2013-04-05 $28.70 $28.00 14.2% 5.3% 8.0% 15.8% 19.3% 1.9% -1.3% 67.5M -827.3M -12.3M 0.56 2.46 N/A N/A 42,174 23,566 1,877,440 999,658 2013-04-08 $28.59 $28.00 15.7% 5.3% 7.9% 23.1% 19.0% 1.9% -1.5% 66.2M -754.4M -11.9M 1.62 3.44 N/A N/A 25,928 41,998 1,869,130 993,315 2013-04-09 $29.61 $28.00 23.1% 5.6% 14.2% 60.5% 19.9% 1.5% -2.4% 96.0M -1.54B -12.3M 0.47 4.72 N/A N/A 215,768 101,720 1,874,068 999,040 2013-04-10 $30.28 $28.00 29.4% 6.2% 15.7% 92.4% 21.9% 1.4% -3.5% 98.3M -1.99B -12.9M 0.78 3.00 N/A N/A 300,525 233,028 1,921,772 1,055,152 2013-04-11 $28.94 $29.00 21.6% 6.2% 23.6% 53.0% 21.9% 1.0% -2.7% 59.8M -736.5M -13.0M 1.64 2.87 N/A N/A 158,351 260,278 1,994,249 1,182,026 2013-04-12 $28.79 $29.00 21.8% 6.2% 23.6% 53.8% 22.3% 1.6% -2.7% 42.5M -554.1M -13.0M 0.52 2.26 N/A N/A 113,687 59,193 2,027,761 1,273,227 2013-04-15 $28.69 $29.00 23.6% 6.8% 23.6% 63.1% 24.5% 1.6% -3.8% 48.6M -599.4M -12.8M 0.72 3.42 N/A N/A 47,987 34,411 2,018,852 1,202,111 2013-04-16 $28.97 $29.00 23.7% 6.8% 23.8% 63.6% 24.5% 1.4% -3.6% 51.5M -809.3M -12.9M 0.53 2.77 N/A N/A 123,231 64,927 2,004,108 1,208,830 2013-04-17 $28.83 $29.00 24.8% 7.1% 23.9% 69.1% 25.4% 1.8% -3.3% 45.5M -738.7M -13.3M 2.66 3.43 N/A N/A 61,387 163,361 2,028,693 1,244,911 2013-04-18 $28.79 $29.00 24.9% 7.1% 23.8% 69.6% 25.6% 2.2% -3.0% 53.6M -706.9M -13.2M 0.85 5.43 N/A N/A 174,262 147,463 2,036,640 1,220,056 2013-04-19 $29.77 $29.00 19.0% 5.4% 26.3% 39.7% 19.4% 2.4% -0.3% 95.8M -1.62B -12.9M 0.40 2.77 N/A N/A 273,895 109,485 2,080,362 1,253,027 2013-04-22 $30.83 $29.00 20.7% 5.9% 28.6% 48.3% 20.9% 1.6% -1.1% 82.2M -1.80B -13.3M 0.41 2.39 N/A N/A 281,023 115,063 1,628,937 893,799 2013-04-23 $30.60 $29.00 20.2% 5.8% 28.8% 45.7% 21.4% 1.8% -1.1% 83.9M -1.68B -14.0M 0.57 2.90 N/A N/A 107,624 61,519 1,729,190 931,123 2013-04-24 $31.76 $29.00 22.9% 6.6% 31.0% 59.5% 23.5% 0.9% -1.2% 89.7M -2.48B -14.9M 0.44 3.20 N/A N/A 214,523 94,336 1,774,730 945,953 2013-04-25 $31.94 $29.00 24.2% 6.9% 31.0% 66.2% 24.4% 1.5% -2.1% 96.8M -2.61B -15.1M 0.48 2.58 N/A N/A 438,968 212,322 1,848,403 968,837 2013-04-26 $31.79 $29.00 24.1% 6.6% 31.3% 65.6% 23.4% 1.5% -1.6% 108.6M -2.55B -16.3M 0.87 2.80 N/A N/A 73,541 64,306 2,052,087 1,056,807 2013-04-29 $32.61 $29.00 30.4% 6.9% 32.0% 97.7% 24.7% 2.2% -2.0% 112.0M -3.02B -16.3M 0.25 7.15 N/A N/A 156,875 39,771 1,997,165 1,019,183 2013-04-30 $33.10 $29.00 26.3% 6.7% 32.1% 76.8% 25.8% 2.3% -2.0% 127.9M -3.45B -15.8M 0.52 6.22 N/A N/A 174,409 90,640 2,072,032 1,034,017
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