MSFT Options History — July 2013 In July 2013, MSFT traded between $31.39 and $36.27. ATM implied volatility averaged 20.8%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 10.7% (HV 20d: 31.5%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2013-07-19 : Highest Volume — 1,036,288 contracts2013-07-10 : Largest IV spike — 32.6% change2013-07-10 : Highest IV Rank — 80.0%2013-07-03 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $33.65 $31.39 $36.27 $34.36 $31.84 Max Pain $32.64 $32.00 $34.00 $32.00 $32.00 ATM IV 20.8% 18.4% 26.9% 20.1% 21.7% Expected Move 6.1% 5.3% 7.1% 6.9% 5.5% HV 20d 31.5% 18.8% 47.8% 21.3% 47.2% HV 60d 26.3% 20.7% 32.0% 25.0% 31.4% IV Rank 49.7% 37.8% 80.0% 45.6% 54.9% IV Percentile 58.5% 30.2% 98.0% 50.8% 74.2% Term Structure -1.1% -2.6% 0.8% -1.6% -0.2% VWIV 21.5% 18.6% 25.0% 23.3% 19.5% Skew 25d 2.2% 0.9% 3.5% 2.7% 0.9% Skew 10d 4.1% 1.1% 6.9% 4.1% 1.1% Call IV 25d 20.2% 17.8% 23.8% 22.2% 18.7% Put IV 25d 22.4% 19.1% 26.2% 24.9% 19.6% Bid-Ask Spread % 5.04 2.06 11.24 5.86 4.00 Gamma HHI 0.13 0.10 0.15 0.13 0.14 Net GEX 75.2M 37.8M 104.6M 85.7M 66.1M Net DEX -1.89B -3.62B 61.3M -2.34B -775.9M Net VEX -14.2M -15.7M -12.3M -15.6M -14.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.35 1.46 0.93 0.68 Total Volume 167,062.409 34,465 1,036,288 57,175 77,328 Total OI 2,784,237.727 2,457,004 3,032,441 2,761,522 2,730,217
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 2013-07-01 $34.36 $32.00 20.1% 6.9% 21.3% 45.6% 23.3% 2.7% -1.6% 85.7M -2.34B -15.6M 0.93 5.86 N/A N/A 29,669 27,506 1,691,596 1,069,926 2013-07-02 $33.94 $32.00 19.0% 7.0% 20.9% 39.9% 25.0% 2.5% -1.9% 76.6M -2.07B -15.5M 1.14 5.64 N/A N/A 47,420 54,272 1,696,693 1,084,424 2013-07-03 $34.01 $32.00 20.4% 7.1% 20.8% 46.9% 24.6% 2.4% -2.1% 73.6M -2.11B -15.7M 0.57 4.25 N/A N/A 21,987 12,478 1,717,179 1,119,960 2013-07-05 $34.21 $33.00 19.0% 6.5% 20.9% 39.9% 22.8% 3.4% -1.1% 84.2M -2.26B -15.1M 1.36 9.82 N/A N/A 28,027 38,127 1,722,627 1,119,401 2013-07-08 $34.33 $33.00 20.8% 6.5% 19.4% 48.8% 22.9% 3.5% -1.3% 87.8M -2.35B -14.9M 1.01 5.15 N/A N/A 37,499 37,834 1,718,135 1,106,295 2013-07-09 $34.35 $33.00 20.3% 6.4% 19.4% 46.6% 22.4% 3.4% -1.4% 88.7M -2.37B -14.7M 0.65 5.18 N/A N/A 42,051 27,309 1,719,559 1,116,239 2013-07-10 $34.70 $33.00 26.9% 6.2% 18.8% 80.0% 22.3% 3.4% -1.1% 95.7M -2.61B -14.6M 0.40 5.55 N/A N/A 79,020 31,760 1,733,872 1,135,424 2013-07-11 $35.69 $33.00 20.8% 6.0% 21.3% 49.2% 21.3% 2.8% -1.2% 104.6M -3.33B -14.3M 0.49 6.19 N/A N/A 140,227 68,892 1,757,849 1,153,862 2013-07-12 $35.67 $33.00 21.3% 6.1% 21.0% 51.8% 21.9% 2.4% -1.4% 100.7M -3.33B -14.2M 1.46 8.72 N/A N/A 45,957 67,257 1,757,732 1,177,872 2013-07-15 $36.17 $33.00 21.7% 6.2% 21.1% 53.5% 22.2% 2.6% -2.3% 95.7M -3.52B -14.0M 0.82 4.72 N/A N/A 89,548 73,172 1,741,563 1,176,518 2013-07-16 $36.27 $33.00 22.3% 6.4% 20.4% 58.0% 23.0% 2.8% -2.6% 94.8M -3.62B -14.2M 0.73 4.73 N/A N/A 74,098 53,892 1,760,643 1,192,559 2013-07-17 $35.74 $34.00 21.8% 6.3% 21.2% 55.4% 22.5% 2.0% -2.2% 90.2M -3.25B -14.0M 0.84 6.85 N/A N/A 67,429 56,701 1,772,259 1,218,413 2013-07-18 $35.44 $34.00 21.6% 6.2% 21.0% 54.4% 21.9% 2.5% -1.8% 89.0M -2.96B -14.1M 1.32 11.24 N/A N/A 96,730 127,915 1,758,154 1,217,727 2013-07-19 $31.40 $34.00 22.4% 6.4% 47.1% 58.3% 22.2% 0.9% -1.5% 37.8M 61.3M -12.3M 0.74 2.22 N/A N/A 596,933 439,355 1,770,133 1,262,308 2013-07-22 $32.01 $32.00 20.3% 5.8% 47.8% 47.4% 20.7% 1.6% -0.8% 58.0M -824.6M -13.0M 0.40 4.22 N/A N/A 267,751 107,463 1,543,456 913,548 2013-07-23 $31.82 $32.00 18.8% 5.4% 47.4% 39.8% 19.0% 1.4% -0.6% 55.4M -695.3M -13.6M 0.85 4.57 N/A N/A 71,329 60,386 1,596,581 932,994 2013-07-24 $31.96 $32.00 18.5% 5.3% 47.5% 38.3% 18.7% 1.3% -0.4% 64.5M -799.1M -13.5M 0.49 2.06 N/A N/A 49,158 24,086 1,608,911 948,371 2013-07-25 $31.39 $32.00 19.1% 5.5% 47.0% 41.4% 19.3% 1.4% -0.3% 43.1M -420.9M -13.4M 0.66 2.09 N/A N/A 90,145 59,718 1,627,569 956,627 2013-07-26 $31.62 $32.00 18.4% 5.3% 47.0% 37.8% 18.6% 1.7% 0.8% 49.3M -585.4M -13.8M 0.59 2.39 N/A N/A 86,096 50,667 1,650,900 982,531 2013-07-29 $31.54 $32.00 20.7% 5.5% 47.0% 49.8% 19.8% 1.5% 0.6% 51.8M -579.7M -13.9M 0.62 2.46 N/A N/A 59,918 37,365 1,637,825 979,898 2013-07-30 $31.85 $32.00 21.9% 5.6% 47.3% 56.0% 19.8% 1.4% -0.4% 61.3M -772.8M -14.3M 0.35 3.03 N/A N/A 89,568 31,330 1,670,160 1,004,720 2013-07-31 $31.84 $32.00 21.7% 5.5% 47.2% 54.9% 19.5% 0.9% -0.2% 66.1M -775.9M -14.4M 0.68 4.00 N/A N/A 46,067 31,261 1,709,155 1,021,062
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