MSFT Options History — May 2013 In May 2013, MSFT traded between $32.66 and $35.08. ATM implied volatility averaged 19.9%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 4.5% (HV 20d: 24.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.71.
Notable Days 2013-05-13 : Highest Volume — 2,709,925 contracts2013-05-02 : Largest IV drop — 18.2% change2013-05-01 : Highest IV Rank — 81.3%2013-05-01 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $33.95 $32.66 $35.08 $32.72 $34.90 Max Pain $31.41 $30.00 $32.00 $30.00 $32.00 ATM IV 19.9% 16.6% 27.2% 27.2% 18.9% Expected Move 5.6% 5.1% 6.5% 6.5% 5.2% HV 20d 24.4% 17.2% 32.4% 32.3% 17.2% HV 60d 21.3% 20.7% 21.8% 20.7% 21.7% IV Rank 44.5% 27.7% 81.3% 81.3% 39.3% IV Percentile 44.1% 15.5% 96.8% 96.8% 33.3% Term Structure 0.9% -1.3% 2.8% -0.9% 2.8% VWIV 20.9% 18.6% 27.5% 23.5% 19.8% Skew 25d 3.4% 2.6% 5.0% 3.6% 3.2% Skew 10d 7.9% 5.2% 13.1% 7.5% 7.9% Call IV 25d 18.3% 16.8% 21.3% 21.3% 17.8% Put IV 25d 21.8% 19.7% 24.9% 24.9% 21.0% Bid-Ask Spread % 4.83 2.61 9.49 5.31 5.39 Gamma HHI 0.14 0.11 0.17 0.14 0.13 Net GEX 138.9M 112.2M 173.6M 125.4M 139.4M Net DEX -3.47B -4.12B -2.95B -3.17B -3.67B Net VEX -16.8M -17.7M -16.1M -16.1M -16.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.02 1.60 0.24 1.40 Total Volume 256,406.5 59,955 2,709,925 323,440 184,909 Total OI 3,223,449.545 2,957,564 3,492,759 3,195,929 3,186,811
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 2013-05-01 $32.72 $30.00 27.2% 6.5% 32.3% 81.3% 23.5% 3.6% -0.9% 125.4M -3.17B -16.1M 0.24 5.31 N/A N/A 260,532 62,908 2,109,660 1,086,269 2013-05-02 $33.16 $30.00 22.3% 6.2% 32.4% 56.3% 23.5% 4.2% -1.0% 143.0M -3.51B -16.6M 0.79 7.83 N/A N/A 55,274 43,659 2,162,709 1,105,140 2013-05-03 $33.49 $30.00 21.0% 6.2% 32.3% 50.2% 22.8% 3.8% -1.3% 173.6M -3.81B -16.5M 0.48 5.24 N/A N/A 114,463 55,191 2,173,611 1,104,654 2013-05-06 $33.75 $30.00 23.4% 5.6% 32.0% 61.9% 20.1% 3.1% 0.7% 145.4M -3.99B -16.2M 0.64 5.18 N/A N/A 94,152 60,147 2,180,278 1,093,437 2013-05-07 $33.31 $31.00 22.5% 5.7% 31.3% 57.6% 21.2% 2.8% 0.4% 142.6M -3.60B -16.3M 1.20 4.86 N/A N/A 57,509 69,028 2,199,797 1,128,419 2013-05-08 $32.99 $31.00 21.4% 5.8% 31.1% 52.1% 20.7% 2.6% -0.1% 140.0M -3.36B -16.4M 0.49 7.74 N/A N/A 96,743 47,202 2,217,767 1,168,515 2013-05-09 $32.66 $31.00 20.7% 5.8% 25.7% 48.4% 20.8% 2.8% 0.4% 138.4M -3.02B -17.6M 0.99 9.49 N/A N/A 70,737 70,237 2,257,978 1,184,720 2013-05-10 $32.69 $31.00 19.1% 5.6% 25.4% 40.4% 20.9% 2.6% 0.4% 146.6M -3.11B -16.7M 0.54 2.61 N/A N/A 90,006 48,333 2,281,894 1,203,499 2013-05-13 $33.03 $31.00 19.7% 5.6% 25.2% 43.6% 27.5% 2.6% 0.6% 156.6M -3.51B -16.6M 0.02 4.71 N/A N/A 2,667,791 42,134 2,293,455 1,199,304 2013-05-14 $33.53 $32.00 18.9% 5.4% 25.3% 39.2% 20.2% 3.0% 0.8% 151.7M -3.10B -16.4M 0.82 5.70 N/A N/A 77,955 63,878 1,984,053 1,212,070 2013-05-15 $33.85 $32.00 16.6% 5.3% 24.9% 27.7% 19.4% 2.7% 1.0% 158.8M -3.36B -16.7M 0.80 3.92 N/A N/A 53,374 42,946 1,998,628 1,233,553 2013-05-16 $34.08 $32.00 18.2% 5.2% 24.7% 36.0% 18.8% 3.0% 1.2% 158.7M -3.52B -16.1M 0.46 3.36 N/A N/A 117,549 54,615 1,979,655 1,234,448 2013-05-17 $34.87 $32.00 17.9% 5.1% 23.5% 34.2% 19.3% 2.8% 1.4% 135.6M -4.12B -16.5M 0.62 5.24 N/A N/A 114,192 70,855 2,017,819 1,261,688 2013-05-20 $35.08 $32.00 17.6% 5.1% 21.2% 32.9% 18.6% 2.9% 1.7% 120.9M -3.74B -16.3M 0.54 3.40 N/A N/A 120,976 64,725 1,878,381 1,079,183 2013-05-21 $34.85 $32.00 17.9% 5.1% 21.2% 34.2% 18.6% 3.3% 2.0% 129.6M -3.59B -17.5M 0.58 3.74 N/A N/A 65,715 38,077 1,950,495 1,103,019 2013-05-22 $34.61 $32.00 18.2% 5.2% 18.3% 36.1% 19.8% 3.7% 1.4% 121.8M -3.33B -17.2M 0.97 3.13 N/A N/A 51,604 50,259 1,936,765 1,117,305 2013-05-23 $34.15 $32.00 20.2% 5.8% 19.3% 45.9% 22.6% 4.2% 0.9% 112.2M -2.95B -17.7M 1.24 4.09 N/A N/A 54,114 66,938 1,944,087 1,132,210 2013-05-24 $34.27 $32.00 19.4% 5.6% 19.1% 41.8% 19.6% 4.4% 1.3% 124.4M -3.07B -17.4M 1.60 3.30 N/A N/A 23,052 36,903 1,966,406 1,150,745 2013-05-28 $35.02 $32.00 19.1% 5.5% 18.5% 40.2% 20.2% 5.0% 1.5% 123.4M -3.64B -17.1M 0.56 5.25 N/A N/A 72,617 40,901 1,950,599 1,153,851 2013-05-29 $34.88 $32.00 19.0% 5.5% 18.2% 40.1% 21.5% 4.9% 1.7% 132.0M -3.58B -17.0M 0.42 2.69 N/A N/A 43,841 18,303 1,973,973 1,170,478 2013-05-30 $35.03 $32.00 19.1% 5.5% 17.4% 40.3% 19.8% 4.2% 1.9% 136.6M -3.69B -17.0M 0.31 4.04 N/A N/A 81,677 24,922 1,974,854 1,173,708 2013-05-31 $34.90 $32.00 18.9% 5.2% 17.2% 39.3% 19.8% 3.2% 2.8% 139.4M -3.67B -16.8M 1.40 5.39 N/A N/A 77,095 107,814 2,005,055 1,181,756
« Apr 2013 | All History | Jun 2013 » Home MSFT History May 2013