MSFT Options History — June 2013

In June 2013, MSFT traded between $33.27 and $35.67. ATM implied volatility averaged 22.6%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.4% (HV 20d: 20.2%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2013-06-03: Highest Volume — 187,474 contracts
2013-06-20: Largest IV spike — 22.8% change
2013-06-05: Highest IV Rank — 78.5%
2013-06-20: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.63	$33.27	$35.67	$35.59	$34.55
Max Pain	$31.85	$31.00	$32.00	$32.00	$32.00
ATM IV	22.6%	17.4%	26.6%	20.5%	17.4%
Expected Move	6.4%	5.4%	7.5%	5.4%	6.1%
HV 20d	20.2%	18.0%	22.6%	18.0%	22.5%
HV 60d	23.5%	22.0%	25.0%	22.0%	24.9%
IV Rank	58.2%	31.7%	78.5%	47.7%	31.7%
IV Percentile	74.5%	21.0%	97.2%	54.4%	21.0%
Term Structure	-0.2%	-1.4%	2.2%	2.2%	-0.5%
VWIV	23.3%	20.9%	25.7%	20.9%	21.8%
Skew 25d	3.5%	2.4%	4.3%	2.4%	2.6%
Skew 10d	7.7%	4.4%	12.1%	6.0%	4.4%
Call IV 25d	21.2%	18.8%	23.6%	18.8%	20.8%
Put IV 25d	24.7%	21.2%	27.9%	21.2%	23.4%
Bid-Ask Spread %	4.94	1.98	7.75	4.12	7.75
Gamma HHI	0.11	0.09	0.13	0.12	0.12
Net GEX	107.3M	74.5M	134.1M	133.9M	105.4M
Net DEX	-3.08B	-4.13B	-1.92B	-4.13B	-2.55B
Net VEX	-16.6M	-18.0M	-15.4M	-17.4M	-15.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.31	1.33	0.32	0.66
Total Volume	118,935.3	46,910	187,474	187,474	46,910
Total OI	3,175,575.05	2,674,565	3,403,500	3,208,887	2,791,346

Daily Data (20 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
2013-06-03	$35.59	$32.00	20.5%	5.4%	18.0%	47.7%	20.9%	2.4%	2.2%	133.9M	-4.13B	-17.4M	0.32	4.12	N/A	N/A	142,077	45,397	2,013,664	1,195,223
2013-06-04	$34.99	$32.00	23.8%	5.9%	19.3%	64.4%	22.1%	3.9%	2.0%	134.1M	-3.61B	-17.4M	0.79	2.98	N/A	N/A	78,102	61,739	2,055,414	1,212,725
2013-06-05	$34.78	$32.00	26.6%	6.1%	18.7%	78.5%	24.7%	4.0%	1.6%	128.3M	-3.34B	-17.4M	0.73	4.28	N/A	N/A	64,987	47,421	2,029,901	1,228,975
2013-06-06	$34.96	$32.00	22.0%	6.0%	18.2%	54.8%	22.5%	4.2%	1.8%	126.9M	-3.46B	-18.0M	1.15	4.13	N/A	N/A	41,796	47,918	2,040,896	1,245,408
2013-06-07	$35.67	$31.00	19.5%	5.9%	18.5%	42.6%	21.8%	3.6%	0.1%	131.8M	-4.10B	-16.9M	0.74	6.05	N/A	N/A	94,011	69,627	2,045,004	1,269,475
2013-06-10	$35.47	$31.00	22.0%	6.4%	18.8%	55.1%	22.5%	3.4%	-0.3%	131.7M	-3.93B	-16.8M	1.18	4.97	N/A	N/A	31,597	37,397	2,017,881	1,276,347
2013-06-11	$34.84	$31.00	23.8%	6.7%	20.2%	64.3%	23.3%	3.7%	-0.7%	121.4M	-3.43B	-16.9M	0.66	5.95	N/A	N/A	58,309	38,625	2,028,151	1,293,702
2013-06-12	$35.00	$32.00	20.6%	6.8%	19.7%	48.2%	25.6%	3.8%	-1.0%	121.7M	-3.63B	-17.4M	0.31	4.70	N/A	N/A	118,909	37,151	2,049,537	1,296,242
2013-06-13	$34.72	$32.00	22.7%	6.5%	19.8%	58.4%	24.1%	3.5%	-0.6%	109.5M	-3.31B	-16.6M	1.33	5.28	N/A	N/A	44,065	58,742	2,010,478	1,310,829
2013-06-14	$34.40	$32.00	23.5%	6.8%	20.0%	62.9%	23.4%	3.7%	-0.6%	105.2M	-2.94B	-17.1M	1.09	4.29	N/A	N/A	60,606	65,835	2,012,897	1,327,152
2013-06-17	$35.00	$32.00	22.7%	6.5%	19.3%	58.5%	24.5%	3.7%	-0.7%	111.0M	-3.49B	-16.6M	0.58	5.29	N/A	N/A	72,647	41,896	1,998,447	1,342,655
2013-06-18	$34.98	$32.00	22.5%	6.5%	19.1%	57.8%	22.7%	3.5%	-0.7%	114.2M	-3.53B	-16.1M	0.49	4.61	N/A	N/A	95,269	46,359	2,013,176	1,357,815
2013-06-19	$34.59	$32.00	21.2%	6.1%	19.4%	51.0%	21.8%	3.2%	-0.3%	95.7M	-3.25B	-15.9M	0.62	6.69	N/A	N/A	46,323	28,751	2,030,365	1,368,459
2013-06-20	$33.49	$32.00	26.0%	7.5%	22.4%	75.4%	25.1%	4.3%	-1.4%	74.5M	-2.09B	-16.5M	0.96	5.96	N/A	N/A	80,401	77,412	2,020,528	1,367,993
2013-06-21	$33.27	$32.00	24.5%	7.0%	22.1%	67.7%	23.8%	3.8%	-1.0%	75.9M	-1.92B	-15.8M	0.95	6.06	N/A	N/A	94,714	89,923	2,018,078	1,385,422
2013-06-24	$33.72	$32.00	24.8%	7.1%	22.6%	69.0%	25.7%	3.6%	-1.4%	76.5M	-1.98B	-15.9M	0.68	3.56	N/A	N/A	78,871	53,335	1,654,457	1,020,108
2013-06-25	$33.67	$32.00	23.6%	6.8%	21.0%	63.0%	24.1%	3.4%	-0.7%	74.5M	-1.92B	-16.1M	1.13	6.45	N/A	N/A	46,373	52,218	1,667,814	1,039,007
2013-06-26	$34.35	$32.00	23.3%	6.7%	22.4%	61.6%	23.5%	3.0%	-0.7%	83.5M	-2.38B	-15.9M	0.31	1.98	N/A	N/A	71,562	22,153	1,678,358	1,050,502
2013-06-27	$34.62	$32.00	21.4%	6.1%	22.5%	52.0%	22.4%	2.5%	-0.4%	90.1M	-2.54B	-15.9M	0.93	3.65	N/A	N/A	46,154	43,124	1,691,865	1,055,205
2013-06-28	$34.55	$32.00	17.4%	6.1%	22.5%	31.7%	21.8%	2.6%	-0.5%	105.4M	-2.55B	-15.4M	0.66	7.75	N/A	N/A	28,250	18,660	1,709,572	1,081,774